Trend-Following Backtester · Guide · Strategies 한국어
Strategies
SMA crossover
When the short average rises above the long average, it reads that as an uptrend starting.
The rules
- Buy — Buy when the 1-day average price crosses above the 30-day average
- Sell — Sell (to cash) when the 1-day average falls below the 30-day average
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: fast, slow. 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=1, slow=30 |
74.5% | 43.0% | -46.7% | -86.8% | 1.51 | 203 | 52% |
| Ethereum fast=6, slow=31 |
90.3% | 29.8% | -45.5% | -95.6% | 1.43 | 113 | 49% |
| XRP (Ripple) fast=3, slow=8 |
94.2% | 28.3% | -48.9% | -95.9% | 1.17 | 429 | 45% |
| Samsung Electronics fast=21, slow=45 |
14.1% | 15.2% | -40.1% | -64.8% | 0.63 | 144 | 56% |
| Apple (AAPL) fast=12, slow=43 |
15.8% | 18.6% | -70.7% | -82.2% | 0.63 | 288 | 58% |
When this one works
SMA crossover 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.