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 35-day return is greater than 8%
- Sell — Sell when the 35-day return drops to 8% 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=35, threshold=0.08 |
65.6% | 43.0% | -61.2% | -86.8% | 1.47 | 145 | 37% |
| Ethereum n=18, threshold=0.06 |
77.4% | 29.8% | -43.4% | -95.6% | 1.37 | 218 | 36% |
| XRP (Ripple) n=10, threshold=0.13 |
76.4% | 28.3% | -55.8% | -95.9% | 1.13 | 160 | 14% |
| Samsung Electronics n=105, threshold=0.09 |
6.0% | 15.2% | -50.1% | -64.8% | 0.37 | 259 | 41% |
| Apple (AAPL) n=53, threshold=0.06 |
13.6% | 18.6% | -62.9% | -82.2% | 0.60 | 549 | 49% |
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.