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 (9/30) crosses above its 14-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=9, slow=30, signal=14 |
55.9% | 43.5% | -58.9% | -86.8% | 1.25 | 178 | 52% |
| Ethereum fast=18, slow=59, signal=11 |
87.2% | 30.6% | -52.9% | -95.6% | 1.41 | 142 | 50% |
| XRP (Ripple) fast=19, slow=58, signal=17 |
100.8% | 28.5% | -61.2% | -95.9% | 1.22 | 112 | 46% |
| Samsung Electronics fast=40, slow=156, signal=38 |
13.8% | 15.1% | -33.3% | -64.8% | 0.64 | 104 | 52% |
| Apple (AAPL) fast=17, slow=124, signal=39 |
18.6% | 18.8% | -52.9% | -82.2% | 0.73 | 297 | 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.