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 2-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 2-day average falls below the 35-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=2, slow=35 |
78.2% | 41.2% | -50.5% | -86.8% | 1.55 | 148 | 52% |
| Ethereum fast=6, slow=32 |
89.6% | 27.1% | -49.0% | -95.6% | 1.42 | 107 | 50% |
| XRP (Ripple) fast=9, slow=34 |
69.6% | 25.7% | -82.9% | -95.9% | 1.01 | 106 | 41% |
| Samsung Electronics fast=24, slow=89 |
12.2% | 14.2% | -42.5% | -64.8% | 0.57 | 75 | 58% |
| Apple (AAPL) fast=11, slow=34 |
15.6% | 18.8% | -55.9% | -82.2% | 0.63 | 355 | 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.