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 (7/30) crosses above its 17-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 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin fast=7, slow=30, signal=17 |
54.9% | 41.2% | -60.3% | -86.8% | 1.24 | 190 | 52% |
| Ethereum fast=15, slow=41, signal=11 |
84.6% | 27.1% | -52.8% | -95.6% | 1.38 | 145 | 51% |
| XRP (Ripple) fast=9, slow=59, signal=15 |
95.5% | 25.7% | -61.4% | -95.9% | 1.19 | 158 | 49% |
| Samsung Electronics fast=28, slow=85, signal=48 |
11.3% | 14.2% | -37.6% | -64.8% | 0.55 | 142 | 52% |
| Apple (AAPL) fast=35, slow=67, signal=24 |
16.8% | 18.8% | -61.5% | -82.2% | 0.68 | 307 | 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.