[研究3] MA50趋势制度 (BTC)
v1Grayscale Research: 价格>50日SMA持有,<平仓. 源(2012-2023): Sharpe1.9 vs 持有1.3,年化高于持有 | 我方: 2023-01-01→2026-08-22, 现实成本(6bp费+5bp滑) CAGR 34.9%, 39笔, 胜率28.2%, 最大回撤14.3%, Sharpe1.49 (9年满窗口29.5%)
Published 2026-08-29 09:57:01#trend
J
JC Quant
Backtest snapshot
Strategy performance
| Net PnL | $19,690.04 |
|---|---|
| Return | 196.9% |
| CAGR | 34.83% |
| Max drawdown | 14.35% |
| Sharpe | 1.49 |
| Profit factor | 3.89 |
| Trade freq (/day) | 0.03 |
| Win rate | 28.21% |
|---|---|
| Avg hold | 19.7d |
| Avg margin/trade | $10,005.00 |
| Initial equity | $10,000.00 |
| Total fees | $479.18 |
| Final equity | $29,690.04 |
Backtest parameters
| Symbol / timeframe | BTCUSDT · 1d |
|---|---|
| Bars | 1379 |
| Window | 2023-01-01 ~ 2026-08-22 |
| Leverage | 1× |
| Cost model | Fee 6bp · Slippage 5bp |
Spec summary
| Universe | binanceBTCUSDT1dLong |
|---|---|
| Entry | current close is greater than SMA(50) |
| Exit | current close is less than SMA(50) |
| Position | Order margin 10000 USDT · leverage 1× Stop-loss Not set |
The strategy logic is fully open — anyone can read the complete rules and clone them.