Trend-Following Backtester · Guide · Strategies 한국어
Strategies
ROC momentum
Rides the trend when recent return (momentum) over a window is above a threshold.
The rules
- Buy — Buy when the last 32-day return is greater than 7%
- Sell — Sell when the 32-day return drops to 7% or below
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: n, threshold. 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 n=32, threshold=0.07 |
70.6% | 41.2% | -63.2% | -86.8% | 1.53 | 132 | 38% |
| Ethereum n=18, threshold=0.06 |
74.6% | 27.1% | -43.4% | -95.6% | 1.34 | 212 | 36% |
| XRP (Ripple) n=14, threshold=0.14 |
74.2% | 25.7% | -58.9% | -95.9% | 1.11 | 160 | 16% |
| Samsung Electronics n=49, threshold=-0.08 |
7.2% | 14.2% | -66.9% | -64.8% | 0.38 | 290 | 81% |
| Apple (AAPL) n=53, threshold=-0.03 |
16.2% | 18.8% | -83.2% | -82.2% | 0.63 | 525 | 68% |
When this one works
ROC momentum 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.