Trend-Following Backtester · Guide · Strategies 한국어
Strategies
MACD
Looks at the gap (MACD) between a short and long average crossing its own signal line.
The rules
- Buy — Buy when the MACD line (12/32) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 3 tunable values: fast, slow, signal. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 4 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin fast=12, slow=32, signal=19 |
54.9% | 43.0% | -61.0% | -86.8% | 1.25 | 147 | 53% |
| Ethereum fast=18, slow=55, signal=19 |
89.5% | 29.8% | -67.2% | -95.6% | 1.42 | 101 | 51% |
| XRP (Ripple) fast=19, slow=58, signal=17 |
101.7% | 28.3% | -62.1% | -95.9% | 1.23 | 113 | 46% |
| Samsung Electronics fast=43, slow=127, signal=36 |
13.9% | 15.2% | -39.0% | -64.8% | 0.64 | 114 | 52% |
| Apple (AAPL) fast=41, slow=122, signal=16 |
18.7% | 18.6% | -53.8% | -82.2% | 0.74 | 294 | 53% |
When this one works
MACD belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.