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 31-day average
- Sell — Sell (to cash) when the 1-day average falls below the 31-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 4 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin fast=1, slow=31 |
73.1% | 43.5% | -49.0% | -86.8% | 1.49 | 197 | 52% |
| Ethereum fast=6, slow=31 |
90.0% | 30.6% | -45.5% | -95.6% | 1.43 | 113 | 50% |
| XRP (Ripple) fast=8, slow=36 |
56.0% | 28.5% | -83.9% | -95.9% | 0.92 | 101 | 41% |
| Samsung Electronics fast=18, slow=43 |
15.1% | 15.1% | -38.6% | -64.8% | 0.66 | 159 | 56% |
| Apple (AAPL) fast=6, slow=81 |
16.9% | 18.8% | -74.1% | -82.2% | 0.66 | 255 | 62% |
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.