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 34-day return is greater than 12%
- Sell — Sell when the 34-day return drops to 12% 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=34, threshold=0.12 |
66.6% | 43.5% | -54.8% | -86.8% | 1.52 | 115 | 31% |
| Ethereum n=18, threshold=0.05 |
73.9% | 30.6% | -48.1% | -95.6% | 1.33 | 251 | 37% |
| XRP (Ripple) n=14, threshold=0.13 |
77.8% | 28.5% | -70.1% | -95.9% | 1.13 | 160 | 17% |
| Samsung Electronics n=79, threshold=0.07 |
5.4% | 15.1% | -62.3% | -64.8% | 0.34 | 320 | 43% |
| Apple (AAPL) n=39, threshold=-0.04 |
16.1% | 18.8% | -83.2% | -82.2% | 0.62 | 561 | 70% |
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.