{"id":464,"date":"2026-10-09T05:01:12","date_gmt":"2026-10-08T20:01:12","guid":{"rendered":"https:\/\/quant.avalonquant.com\/?p=464"},"modified":"2026-10-11T09:31:50","modified_gmt":"2026-10-11T00:31:50","slug":"crypto-tsmom-trend-following-backtest","status":"publish","type":"post","link":"https:\/\/avalonquant.com\/blog\/2026\/10\/crypto-tsmom-trend-following-backtest.html","title":{"rendered":"\uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5 \ubc31\ud14c\uc2a4\ud2b8: \uc5f0 29.07%\u00b7\ucd5c\ub300 \ub099\ud3ed \u221229.23%, \ucd5c\uadfc 3\ub144\uc740 \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720\uc5d0 \ub4a4\uc84c\ub2e4"},"content":{"rendered":"<div data-avalon-research-ko=\"crypto-tsmom-trend-following-backtest\" data-article-kind=\"research\" data-source-strategy-id=\"crypto_tsmom_liu_tsyvinski_voltarget\" data-source-run-id=\"suite_commit=6de729c644599dbf02d6023c9a7e232a48561d70;source_sha=4f4ef9867800b0aa89906cbdb6dce7a238f59ca43d6885a31c86ae2fb4b621be\" data-data-version=\"2019-10-12~2026-10-05 (\ud329 0.1.1, \uc7ac\uc2e4\ud589 2026-10-06)\" data-translation-of=\"https:\/\/avalonquant.com\/blog\/2026\/10\/i-backtested-crypto-time-series-momentum-with-dynamic-volatility-targeting-heres-what-happened.html\">\n\n<h2>\ud575\uc2ec \uc694\uc57d<\/h2>\n<ul>\n<li>\uac70\ub798\ub300\uae08 \uc0c1\uc704 20\uac1c \ucf54\uc778 \uac00\uc6b4\ub370 \ucd5c\uadfc 1\uc8fc\u00b74\uc8fc \ucd94\uc138\uac00 \uc624\ub974\ub294 \ucf54\uc778\ub9cc \ub9e4\uc8fc \uace8\ub77c \ub871\uc73c\ub85c \ub4e4\uace0, \uc544\ub2c8\uba74 \ud604\uae08\uc73c\ub85c \ub450\ub294 \uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885(\uc2dc\uacc4\uc5f4 \ubaa8\uba58\ud140, TSMOM) \uc804\ub7b5\uc744 \ubc31\ud14c\uc2a4\ud2b8\ud588\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\uae30\uac04 2019-10-12 ~ 2026-10-05, \uac70\ub798\ub9c8\ub2e4 \ube44\uc6a9 0.10%\uc640 \uc2e4\uc81c \uacfc\uac70 \ud380\ub529\uc744 \ubc18\uc601\ud55c \uacb0\uacfc \uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960(CAGR)\uc740 29.07%, \ucd5c\ub300 \ub099\ud3ed(MDD)\uc740 \u221229.23%\uc600\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\uac19\uc740 \uae30\uac04 \ube44\ud2b8\ucf54\uc778 \ub2e8\uc21c \ubcf4\uc720\ub294 \uc5f0 39.84%\uc600\uc9c0\ub9cc \ucd5c\ub300 \ub099\ud3ed\uc774 \u221276.63%\uc600\uc2b5\ub2c8\ub2e4. \uc774 \uc804\ub7b5\uc740 \uc218\uc775\ub960\uc774 \ub0ae\uc740 \ub300\uc2e0 \ub099\ud3ed\uc744 \uc904\uc774\ub294 \ucabd\uc785\ub2c8\ub2e4.<\/li>\n<li>\uc57d\uc810\ub3c4 \ubd84\uba85\ud569\ub2c8\ub2e4. \ud45c\ubcf8 \ubc16 \uad6c\uac04(2022-12-31 ~ 2026-10-05)\uc5d0\uc11c\ub294 \uc5f0 15.29%\ub85c \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720(\uc5f0 54.87%)\uc5d0 \uc218\uc775\ub960\uacfc \uc704\ud5d8 \uc870\uc815 \uc131\uacfc \ubaa8\ub450 \ub4a4\uc84c\uace0, \ub514\ud50c\ub808\uc774\ud2f0\ub4dc \uc0e4\ud504 \ube44\uc728\uc774 \uc2e0\ub8b0 \uae30\uc900 0.95\uc5d0 \ubabb \ubbf8\uccd0 \uacb0\uacfc\uac00 \uc6b4\uc77c \uac00\ub2a5\uc131\uc744 \ubc30\uc81c\ud560 \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.<\/li>\n<li>\uc2e4\uac70\ub798\ub85c \uac80\uc99d\ub41c \uc804\ub7b5\uc774 \uc544\ub2d9\ub2c8\ub2e4. AI \ub9ac\uadf8 \uac00\uc0c1\uac70\ub798 \uae30\ub85d\uc740 \uc544\uc9c1 \uc9c4\ud589 \uc911\uc785\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n<h2>\uac80\uc99d\ud55c \uc804\ub7b5<\/h2>\n<p>Yukun Liu\uc640 Aleh Tsyvinski\uc758 \ub17c\ubb38 \u300cRisks and Returns of Cryptocurrency\u300d(Review of Financial Studies, 2021)\ub294 \ucf54\uc778\uc758 \ucd5c\uadfc 1~4\uc8fc \uc218\uc775\ub960\uc774 \uc774\ud6c4 \uc218\uc775\ub960\uc744 \uc608\uce21\ud55c\ub2e4\ub294 \uc2dc\uacc4\uc5f4 \ubaa8\uba58\ud140 \ud604\uc0c1\uc744 \ubcf4\uace0\ud588\uc2b5\ub2c8\ub2e4. \uc774 \uc804\ub7b5\uc740 \uadf8 \uc544\uc774\ub514\uc5b4\ub97c \ub2e4\uc74c \uaddc\uce59\uc73c\ub85c \uc62e\uae34 \uac83\uc785\ub2c8\ub2e4.<\/p>\n<ol>\n<li><strong>\uc885\ubaa9\uad70:<\/strong> \ucd5c\uadfc 30\uc77c \ub2ec\ub7ec \uac70\ub798\ub300\uae08\uc774 \uac00\uc7a5 \ub9ce\uc740 USDT \ub9c8\uc9c4 \ubb34\uae30\ud55c\uc120\ubb3c 20\uac1c. \ubc31\ud14c\uc2a4\ud2b8\uc5d0\uc11c\ub294 \ub0a0\uc9dc\ub9c8\ub2e4 \uadf8 \uc2dc\uc810\uc5d0 \uc0c1\uc7a5\ub3fc \uc788\ub358 \ubaa8\ub4e0 \ubb34\uae30\ud55c\uc120\ubb3c(\uc774\ud6c4 \uc0c1\uc7a5\ud3d0\uc9c0\ub41c \uc885\ubaa9 \ud3ec\ud568) \uac00\uc6b4\ub370\uc11c \uace8\ub790\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\uc2e0\ud638:<\/strong> \uc77c\uc8fc\uc77c\uc5d0 \ud55c \ubc88, \ucf54\uc778\ub9c8\ub2e4 7\uc77c \uc218\uc775\ub960\uacfc 28\uc77c \uc218\uc775\ub960 \ub450 \uac00\uc9c0\ub85c \ucd94\uc138\ub97c \ud310\uc815\ud569\ub2c8\ub2e4(\uc591\uc218\uba74 +1, \uc544\ub2c8\uba74 \u22121). \ub450 \uac12\uc758 \ud3c9\uade0\uc774 \uc591\uc218\uc778 \ucf54\uc778\ub9cc \ubcf4\uc720 \ud6c4\ubcf4\uac00 \ub429\ub2c8\ub2e4.<\/li>\n<li><strong>\ube44\uc911:<\/strong> \ud6c4\ubcf4 \ucf54\uc778\uc744 30\uc77c \ubcc0\ub3d9\uc131\uc758 \uc5ed\uc218\ub85c \ub098\ub220 \ub2f4\uace0, \ud569\uacc4\ub294 \ucd5c\ub300 1\ubc30\ub85c \uc81c\ud55c\ud569\ub2c8\ub2e4. \ud6c4\ubcf4\uac00 \uc5c6\uc73c\uba74 \ud604\uae08\uc73c\ub85c \ub461\ub2c8\ub2e4. \ub808\ubc84\ub9ac\uc9c0\uc640 \uacf5\ub9e4\ub3c4\ub294 \uc4f0\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.<\/li>\n<\/ol>\n<p>\ubaa8\ub4e0 \ud310\ub2e8\uc740 \ub9c8\uac10\ub41c \uc77c\ubd09 \uc885\uac00\ub85c \ud558\uace0, \uccb4\uacb0\uc740 \ub2e4\uc74c \ub0a0 \uc2dc\uac00\ub85c \uac00\uc815\ud569\ub2c8\ub2e4.<\/p>\n\n<h2>\ubc31\ud14c\uc2a4\ud2b8 \ud658\uacbd<\/h2>\n<table>\n<thead><tr><th>\ud56d\ubaa9<\/th><th>\ub0b4\uc6a9<\/th><\/tr><\/thead>\n<tbody>\n<tr><td>\ub370\uc774\ud130 \ucd9c\ucc98<\/td><td>\ubc14\uc774\ub0b8\uc2a4 USDT-M \ubb34\uae30\ud55c\uc120\ubb3c \uc77c\ubd09 \uacf5\uac1c \ub370\uc774\ud130(\ud380\ub529\ube44 \ud3ec\ud568)<\/td><\/tr>\n<tr><td>\uae30\uac04<\/td><td>2019-10-12 ~ 2026-10-05<\/td><\/tr>\n<tr><td>\uac70\ub798 \ube44\uc6a9<\/td><td>\uac70\ub798\ud558\ub294 \ucabd\ub9c8\ub2e4 \uac70\ub798 \uae08\uc561\uc758 0.10%(\uc218\uc218\ub8cc\u00b7\uc2a4\ud504\ub808\ub4dc\u00b7\uc2ac\ub9ac\ud53c\uc9c0\ub97c \ud569\uce5c \uac12)<\/td><\/tr>\n<tr><td>\uc2ac\ub9ac\ud53c\uc9c0<\/td><td>\uc704 0.10%\uc5d0 \ud3ec\ud568. \ub530\ub85c \ubd84\ub9ac\ud55c \uac12\uc740 \uc6d0\ucc9c \uc790\ub8cc\uc5d0 \uba85\uc2dc \uc5c6\uc74c<\/td><\/tr>\n<tr><td>\ud380\ub529\ube44<\/td><td>\uc2e4\uc81c \uacfc\uac70 \ud380\ub529\uc744 \ub9e4\uc77c \uc9c0\uae09\u00b7\uc218\ucde8\ud55c \uac83\uc73c\ub85c \uacc4\uc0b0<\/td><\/tr>\n<tr><td>\ub9ac\ubc38\ub7f0\uc2f1<\/td><td>\uc8fc 1\ud68c(\uccb4\uacb0\uc77c \uae30\uc900 ISO \uc8fc)<\/td><\/tr>\n<tr><td>\ubca4\uce58\ub9c8\ud06c<\/td><td>\uac19\uc740 \uae30\uac04 \ube44\ud2b8\ucf54\uc778 \ub2e8\uc21c \ubcf4\uc720<\/td><\/tr>\n<tr><td>\ucd08\uae30 \uc790\uae08<\/td><td>\uc6d0\ucc9c \uc790\ub8cc\uc5d0 \uba85\uc2dc \uc5c6\uc74c(\uc544\ub798 \ud658\uc0b0 \uae08\uc561\uc740 1\ub9cc \ub2ec\ub7ec\ub97c \ub123\uc5c8\ub2e4\uace0 \uac00\uc815\ud55c \uc608\uc2dc)<\/td><\/tr>\n<tr><td>\uccb4\uacb0 \uc2dc\uc810 \uac00\uc815<\/td><td>\ub9c8\uac10\ub41c \uc77c\ubd09 \uc885\uac00\ub85c \uc2e0\ud638 \uacc4\uc0b0, \ub2e4\uc74c \ub0a0 \uc2dc\uac00\uc5d0 \uccb4\uacb0<\/td><\/tr>\n<tr><td>\ud3ec\uc9c0\uc158 \uad00\ub9ac<\/td><td>\uaca9\ub9ac \ub9c8\uc9c4, \ub9e4\uc77c \uccad\uc0b0 \uc5ec\ubd80 \uc810\uac80<\/td><\/tr>\n<\/tbody>\n<\/table>\n\n<h2>\uacb0\uacfc<\/h2>\n<table>\n<thead><tr><th>\uc9c0\ud45c<\/th><th>\uc804\ub7b5<\/th><th>\ube44\ud2b8\ucf54\uc778 \ub2e8\uc21c \ubcf4\uc720(\uac19\uc740 \uae30\uac04)<\/th><\/tr><\/thead>\n<tbody>\n<tr><td>CAGR(\uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960)<\/td><td>29.07%<\/td><td>39.84%<\/td><\/tr>\n<tr><td>MDD(\ucd5c\ub300 \ub099\ud3ed)<\/td><td>\u221229.23%<\/td><td>\u221276.63%<\/td><\/tr>\n<tr><td>CAGR \u00f7 |\ucd5c\ub300 \ub099\ud3ed|<\/td><td>0.99<\/td><td>0.52<\/td><\/tr>\n<tr><td>\uc0e4\ud504\uc9c0\uc218<\/td><td>0.93<\/td><td>\ubbf8\uc0b0\ucd9c<\/td><\/tr>\n<tr><td>\ucd1d\uc218\uc775\ub960<\/td><td>+493.9%<\/td><td>\ubbf8\uc0b0\ucd9c<\/td><\/tr>\n<tr><td>1\ub9cc \ub2ec\ub7ec\ub97c \ub123\uc5c8\ub2e4\uba74<\/td><td>\uc57d 59,392\ub2ec\ub7ec<\/td><td>\ubbf8\uc0b0\ucd9c<\/td><\/tr>\n<tr><td>\uac70\ub798 \uc218<\/td><td>\ubbf8\uc0b0\ucd9c<\/td><td>\u2014<\/td><\/tr>\n<tr><td>\uc2b9\ub960<\/td><td>\ubbf8\uc0b0\ucd9c<\/td><td>\u2014<\/td><\/tr>\n<\/tbody>\n<\/table>\n<p>\uc5f0\ub3c4\ubcc4 \uc218\uc775\ub960\uc740 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4. 2019\ub144\uc740 10\uc6d4 12\uc77c\ubd80\ud130, 2026\ub144\uc740 10\uc6d4 5\uc77c\uae4c\uc9c0\uc758 \uc77c\ubd80 \uad6c\uac04\uc785\ub2c8\ub2e4. 8\uac1c \uc5f0\ub3c4 \uac00\uc6b4\ub370 5\uac1c \uc5f0\ub3c4\uac00 \ud50c\ub7ec\uc2a4\uc600\uc2b5\ub2c8\ub2e4.<\/p>\n<table>\n<thead><tr><th>2019<\/th><th>2020<\/th><th>2021<\/th><th>2022<\/th><th>2023<\/th><th>2024<\/th><th>2025<\/th><th>2026<\/th><\/tr><\/thead>\n<tbody><tr><td>\u22126.1%<\/td><td>+48.5%<\/td><td>+205.9%<\/td><td>\u221218.5%<\/td><td>+45.4%<\/td><td>+35.2%<\/td><td>+0.9%<\/td><td>\u221213.9%<\/td><\/tr><\/tbody>\n<\/table>\n\n<h2>\ucc28\ud2b8<\/h2>\n<p>\uc544\ub798 \ub450 \uadf8\ub9bc\uc740 \uac19\uc740 \ubc31\ud14c\uc2a4\ud2b8\uc5d0\uc11c \ub9cc\ub4e0 \uc790\uc0b0 \uace1\uc120\uacfc \ub099\ud3ed(\uace0\uc810 \ub300\ube44 \ud558\ub77d\ub960) \uace1\uc120\uc785\ub2c8\ub2e4. \uadf8\ub9bc \uc548\uc758 \ucd95 \uc774\ub984\uc740 \uc601\uc5b4\ub85c \ud45c\uae30\ub3fc \uc788\uc2b5\ub2c8\ub2e4. \uc5f0\ub3c4\ubcc4 \uc218\uc775\ub960\uc740 \uc704 \ud45c\ub85c \ub300\uc2e0\ud558\uba70, \ubca4\uce58\ub9c8\ud06c\ub97c \uacb9\uccd0 \uadf8\ub9b0 \ucc28\ud2b8\ub294 \uc6d0\ucc9c \uc790\ub8cc\uc5d0 \uc5c6\uc2b5\ub2c8\ub2e4.<\/p>\n<img decoding=\"async\" src=\"https:\/\/avalonquant.com\/blog\/wp-content\/uploads\/sites\/3\/2026\/10\/crypto-tsmom-trend-following-backtest-1.jpg\" alt=\"\uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5\uc758 \uc790\uc0b0 \uace1\uc120(2019-10-12 ~ 2026-10-05 \ubc31\ud14c\uc2a4\ud2b8)\" loading=\"lazy\" style=\"width:100%;max-width:720px;border-radius:8px;margin:1em 0;display:block\">\n<img decoding=\"async\" src=\"https:\/\/avalonquant.com\/blog\/wp-content\/uploads\/sites\/3\/2026\/10\/crypto-tsmom-trend-following-backtest-2.jpg\" alt=\"\uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5\uc758 \uace0\uc810 \ub300\ube44 \ud558\ub77d\ub960(\ub099\ud3ed) \uace1\uc120\" loading=\"lazy\" style=\"width:100%;max-width:720px;border-radius:8px;margin:1em 0;display:block\">\n\n<h2>\uc2e4\ud328 \uc870\uac74<\/h2>\n<p>\uc774 \uc804\ub7b5\uc774 \uc5b4\ub514\uc11c \uc57d\ud588\ub294\uc9c0, \uc5b4\ub5a4 \uac80\uc99d\uc744 \ud1b5\uacfc\ud558\uc9c0 \ubabb\ud588\ub294\uc9c0\ub97c \uadf8\ub300\ub85c \uc801\uc2b5\ub2c8\ub2e4.<\/p>\n<ul>\n<li><strong>\uc6b4\uc77c \uac00\ub2a5\uc131\uc744 \ubc30\uc81c\ud558\uc9c0 \ubabb\ud588\uc2b5\ub2c8\ub2e4.<\/strong> \uc5ec\ub7ec \ubc31\ud14c\uc2a4\ud2b8 \ud6c4\ubcf4 \uc911\uc5d0\uc11c \uace0\ub978 \uc804\ub7b5\uc774\ub77c, \uc120\ud0dd \ud3b8\ud5a5\uc744 \ubcf4\uc815\ud55c \ub514\ud50c\ub808\uc774\ud2f0\ub4dc \uc0e4\ud504 \ube44\uc728(DSR)\ub85c \ub2e4\uc2dc \ubd24\uc2b5\ub2c8\ub2e4. \ub9ac\uc11c\uce58 \ud329 \uc7ac\uc2e4\ud589(2026-10-06) \uae30\uc900 0.615\ub85c \uc2e0\ub8b0 \uae30\uc900 0.95\uc5d0 \ubabb \ubbf8\ucce4\uc2b5\ub2c8\ub2e4. 2026-10-07\uc5d0 \ubc1c\ud589\ud55c \uc601\ubb38 \uae00\uc5d0\ub294 \uac19\uc740 \uc9c0\ud45c\uac00 0.52\ub85c \uc801\ud600 \uc788\uc2b5\ub2c8\ub2e4. \uc5b4\ub290 \uac12\uc774\ub4e0 \uae30\uc900 \ubbf8\ub2ec\uc774\ub77c\ub294 \uacb0\ub860\uc740 \uac19\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\ucd5c\uadfc 3\ub144 \ub0a8\uc9d3\uc740 \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720\uc5d0 \ub4a4\uc84c\uc2b5\ub2c8\ub2e4.<\/strong> \ud45c\ubcf8 \ubc16 \uad6c\uac04(2022-12-31 ~ 2026-10-05)\uc5d0\uc11c \uc804\ub7b5\uc740 \uc5f0 15.29%, \ucd5c\ub300 \ub099\ud3ed \u221229.23%(\uc704\ud5d8 \uc870\uc815 0.52)\uc600\uace0, \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720\ub294 \uc5f0 54.87%, \ucd5c\ub300 \ub099\ud3ed \u221252.98%(\uc704\ud5d8 \uc870\uc815 1.04)\uc600\uc2b5\ub2c8\ub2e4. \uc218\uc775\ub960\uacfc \uc704\ud5d8 \uc870\uc815 \uc131\uacfc \ubaa8\ub450 \uc5f4\uc138\uc785\ub2c8\ub2e4.<\/li>\n<li><strong>\ud558\ub77d\uc7a5\uc5d0\uc11c\ub3c4 \uc190\uc2e4\uc740 \ub0ac\uc2b5\ub2c8\ub2e4.<\/strong> 2020\ub144 2~3\uc6d4 \u221218.34%(\ube44\ud2b8\ucf54\uc778 \u221254.00%), 2022\ub144 \u221223.95%(\ube44\ud2b8\ucf54\uc778 \u221266.94%)\uc600\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\uc2dc\uc791 \uc2dc\uc810\uc5d0 \ubbfc\uac10\ud569\ub2c8\ub2e4.<\/strong> 2019\ub144\uc774 \uc544\ub2c8\ub77c 2020~2021\ub144\uc5d0 \uc2dc\uc791\ud588\ub2e4\uba74, \ub098\uba38\uc9c0 \uae30\uac04\uc758 \uc5f0\ud3c9\uade0 \uc218\uc775\ub960\uc740 9.3%\uc5d0\uc11c 31.2% \uc0ac\uc774\ub85c \ud06c\uac8c \ub2ec\ub77c\uc84c\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\ube44\uad50 \uae30\uc900\uc744 \ub098\uc911\uc5d0 \uc815\ud588\uc2b5\ub2c8\ub2e4.<\/strong> \uc601\ubb38 \uc6d0\ubb38\uc740 &#8220;\uac19\uc740 \ucd5c\ub300 \ub099\ud3ed\uc744 \uac16\ub3c4\ub85d \ube44\ud2b8\ucf54\uc778 28%\u00b7\ud604\uae08 72%\ub85c \uc11e\uc740 \uc870\ud569&#8221;(\uc5f0 16.4%)\uacfc \ube44\uad50\ud588\ub294\ub370, \uc774 \ube44\uad50 \uae30\uc900\uc740 \uc55e\uc120 \uc120\ubcc4 \uacb0\uacfc\ub97c \ubcf8 \ub4a4\uc5d0 \ud655\uc815\ub3fc \uc120\ud0dd \ud3b8\ud5a5\uc744 \ubc30\uc81c\ud560 \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\ud6a1\ubcf4\uc7a5\uacfc \uae09\ubc18\ub4f1\uc5d0 \uc57d\ud569\ub2c8\ub2e4.<\/strong> \ucd94\uc138\uac00 \uc790\uc8fc \ub4a4\uc9d1\ud788\ub294 \uad6c\uac04\uc5d0\uc11c\ub294 \uc2e0\ud638\uac00 \ubc14\ub014 \ub54c\ub9c8\ub2e4 \uac70\ub798 \ube44\uc6a9\uc774 \uc313\uc774\uace0, \uae09\ubc18\ub4f1 \uad6c\uac04\uc5d0\uc11c\ub294 \ud604\uae08\uc73c\ub85c \ube60\uc838 \uc788\uc5b4 \uc0c1\uc2b9\uc744 \ub193\uce69\ub2c8\ub2e4.<\/li>\n<li><strong>\uc2e4\uac70\ub798 \uc885\ubaa9\uad70\uc774 \ub2e4\ub985\ub2c8\ub2e4.<\/strong> \ubc31\ud14c\uc2a4\ud2b8\ub294 \uc0c1\uc7a5\ud588\ub358 \ubaa8\ub4e0 \ubb34\uae30\ud55c\uc120\ubb3c\uc5d0\uc11c \uace8\ub790\uc9c0\ub9cc, \ud329\uc758 \uc2e4\ud589 \ucf54\ub4dc\ub294 \uc720\ub3d9\uc131 \ub192\uc740 \ubb34\uae30\ud55c\uc120\ubb3c 30\uac1c \uace0\uc815 \ubaa9\ub85d \uc548\uc5d0\uc11c \uace0\ub985\ub2c8\ub2e4. \ubaa9\ub85d \ubc16 \ucf54\uc778\uc740 \uc2e4\uc81c\ub85c\ub294 \uace0\ub97c \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.<\/li>\n<li><strong>\ube44\uc6a9\uc774 \ucee4\uc9c0\uba74 \uc218\uc775\uc774 \uc904\uc5b4\ub4ed\ub2c8\ub2e4.<\/strong> \uac70\ub798 \ube44\uc6a9\uc744 0.20%\ub85c \ub450 \ubc30 \uc62c\ub9ac\uba74 \uc5f0\ud3c9\uade0 \ubcf5\ub9ac\uc218\uc775\ub960\uc740 26.60%, \ucd5c\ub300 \ub099\ud3ed\uc740 \u221230.57%\uac00 \ub429\ub2c8\ub2e4.<\/li>\n<\/ul>\n\n<h2>\uc7ac\ud604 \uac00\ub2a5\uc131<\/h2>\n<p>\uc774 \uc22b\uc790\ub294 \ub9ac\uc11c\uce58 \ud329\uc5d0 \ub4e0 \ubc31\ud14c\uc2a4\ud2b8 \uc18c\uc2a4\ub97c \uace0\uce58\uc9c0 \uc54a\uace0 \uadf8\ub300\ub85c \ub3cc\ub9b0 \uacb0\uacfc\uc785\ub2c8\ub2e4. \uc18c\uc2a4\ub294 Python \ud45c\uc900 \ub77c\uc774\ube0c\ub7ec\ub9ac\ub9cc \uc4f0\uba70, \uc2e4\ud589\ud558\uba74 \ubc14\uc774\ub0b8\uc2a4 \uacf5\uac1c \ub370\uc774\ud130\ub97c \uc9c1\uc811 \ub0b4\ub824\ubc1b\uc2b5\ub2c8\ub2e4. \ub370\uc774\ud130 \ub204\ucd9c\uc744 \ub9c9\uae30 \uc704\ud574 \uc2e0\ud638\ub294 \uac70\ub798\uc77c \uc774\uc804\uc5d0 \ub9c8\uac10\ub41c \ubd09\uc73c\ub85c\ub9cc \uacc4\uc0b0\ud558\uace0, \uc885\ubaa9\uad70\uc740 \ub0a0\uc9dc\ubcc4 \uc2dc\uc810 \uae30\uc900(\uc0c1\uc7a5\ud3d0\uc9c0 \uc885\ubaa9 \ud3ec\ud568)\uc73c\ub85c \uace8\ub77c \uc0dd\uc874\uc790 \ud3b8\ud5a5\uc744 \uc904\uc600\uc2b5\ub2c8\ub2e4. \ucd5c\uadfc \ub0a0\uc9dc\uac00 \ub354\ud574\uc9c0\uba74 \ub2e4\uc2dc \ub3cc\ub9b4 \ub54c \uc22b\uc790\uac00 \uc870\uae08\uc529 \ub2ec\ub77c\uc9c8 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uac80\uc99d \ubc29\ubc95 \uc804\ubc18\uc740 <a href=\"https:\/\/avalonquant.com\/methodology?src=quant_blog&amp;campaign=crypto-tsmom-trend-following-backtest&amp;cta_id=methodology&amp;utm_source=quant_blog&amp;utm_medium=blog&amp;utm_campaign=crypto-tsmom-trend-following-backtest&amp;utm_content=methodology\">AvalonQuant \ubc31\ud14c\uc2a4\ud2b8 \ubc29\ubc95\ub860<\/a>\uc5d0 \uc815\ub9ac\ub3fc \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\n<h2>\uacb0\ub860<\/h2>\n<p><strong>\uc7a5\uc810.<\/strong> \ube44\ud2b8\ucf54\uc778\uc744 \uadf8\ub0e5 \ub4e4\uace0 \uc788\uc744 \ub54c \u221276.63%\uae4c\uc9c0 \ube60\uc84c\ub358 \uae30\uac04\uc5d0 \ucd5c\ub300 \ub099\ud3ed\uc744 \u221229.23%\ub85c \ubb36\uc5c8\uace0, 2020\ub144\uacfc 2022\ub144 \ud558\ub77d\uc7a5\uc5d0\uc11c\ub3c4 \uc190\uc2e4\uc774 \ube44\ud2b8\ucf54\uc778\uc758 \uc808\ubc18 \uc774\ud558\uc600\uc2b5\ub2c8\ub2e4. \uaddc\uce59\uc774 \ub2e8\uc21c\ud558\uace0 \ub808\ubc84\ub9ac\uc9c0\ub97c \uc4f0\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.<\/p>\n<p><strong>\ub2e8\uc810.<\/strong> \uc804\uccb4 \uae30\uac04 \uc218\uc775\ub960\uc740 \ube44\ud2b8\ucf54\uc778 \ubcf4\uc720\ubcf4\ub2e4 \ub0ae\uc558\uace0, \ucd5c\uadfc \ud45c\ubcf8 \ubc16 \uad6c\uac04\uc5d0\uc11c\ub294 \ucc28\uc774\uac00 \ub354 \ubc8c\uc5b4\uc84c\uc2b5\ub2c8\ub2e4. \ub514\ud50c\ub808\uc774\ud2f0\ub4dc \uc0e4\ud504 \ube44\uc728\uc774 \uae30\uc900\uc5d0 \ubabb \ubbf8\uccd0 \ubc31\ud14c\uc2a4\ud2b8 \uc131\uacfc\uac00 \uc6b4\uc77c \uc218 \uc788\uc73c\uba70, \uc2e4\uac70\ub798 \uac80\uc99d\ub3c4 \uc5c6\uc2b5\ub2c8\ub2e4. \uc774 \uacb0\uacfc\ub294 &#8220;\ub099\ud3ed\uc744 \uc904\uc774\ub294 \ub300\uc2e0 \uc0c1\uc2b9\uc7a5 \uc218\uc775 \uc77c\ubd80\ub97c \ud3ec\uae30\ud558\ub294 \uc804\ub7b5\uc774 \uacfc\uac70\uc5d0 \uc774\ub807\uac8c \uc6c0\uc9c1\uc600\ub2e4&#8221;\ub294 \uc5f0\uad6c \uc790\ub8cc\ub85c \uc77d\uc5b4\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\uac19\uc740 \uc804\ub7b5\uc758 \uc601\ubb38 \uae00: <a href=\"https:\/\/avalonquant.com\/blog\/2026\/10\/i-backtested-crypto-time-series-momentum-with-dynamic-volatility-targeting-heres-what-happened.html\" hreflang=\"en\" lang=\"en\">\uc601\ubb38 \uc6d0\ubb38 \ubcf4\uae30<\/a><\/p>\n\n<h2>\uba74\ucc45<\/h2>\n<p>\uc774 \uae00\uc740 \uacfc\uac70 \ub370\uc774\ud130\uc5d0 \ub300\ud55c \ubc31\ud14c\uc2a4\ud2b8(\uac00\uc0c1 \uc2dc\ubbac\ub808\uc774\uc158) \uacb0\uacfc\ub97c \uc124\uba85\ud558\ub294 \uad50\uc721\uc6a9 \uc5f0\uad6c \uc790\ub8cc\uc774\uba70 \ud22c\uc790 \uad8c\uc720\uac00 \uc544\ub2d9\ub2c8\ub2e4. \uc2e4\uc81c \uac70\ub798 \uacb0\uacfc\uac00 \uc544\ub2c8\uace0 \ubbf8\ub798 \uc218\uc775\uc744 \ubcf4\uc7a5\ud558\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4. \ubb34\uae30\ud55c\uc120\ubb3c\uc740 \uac70\ub798\uc18c \uc704\ud5d8\u00b7\ud380\ub529\ube44\u00b7\uccad\uc0b0 \uc704\ud5d8\uc774 \uc788\uc2b5\ub2c8\ub2e4. \ud22c\uc790 \ud310\ub2e8\uacfc \uc190\uc2e4 \ucc45\uc784\uc740 \ubcf8\uc778\uc5d0\uac8c \uc788\uc2b5\ub2c8\ub2e4. \uc790\uc138\ud55c \ub0b4\uc6a9\uc740 <a href=\"https:\/\/avalonquant.com\/risk-disclaimer?src=quant_blog&amp;campaign=crypto-tsmom-trend-following-backtest&amp;cta_id=risk_disclaimer&amp;utm_source=quant_blog&amp;utm_medium=blog&amp;utm_campaign=crypto-tsmom-trend-following-backtest&amp;utm_content=risk_disclaimer\">\uc704\ud5d8 \uace0\uc9c0<\/a>\ub97c \ud655\uc778\ud558\uc138\uc694.<\/p>\n<aside class=\"avq-cta\" data-avalon-cta=\"record\"><p>\uc804\ub7b5\uc774 \uc9c0\uae08 \uc5b4\ub5bb\uac8c \uc6c0\uc9c1\uc774\ub294\uc9c0\ub294 <a href=\"https:\/\/avalonquant.com\/?src=quant_blog&amp;cta_id=record_league\">\uacf5\uac1c \ub9ac\uadf8<\/a>\uc640 <a href=\"https:\/\/avalonquant.com\/track-record?src=quant_blog&amp;cta_id=record_track\">\uac00\uc0c1\uac70\ub798 \uc6b4\uc6a9 \uae30\ub85d<\/a>\uc5d0\uc11c \ub9e4\uc77c \ud655\uc778\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p><\/aside><aside class=\"avq-cta\" data-avalon-cta=\"book\"><p><strong>\ud568\uaed8 \uc77d\uc73c\uba74 \uc88b\uc740 \ucc45<\/strong><\/p><p><a href=\"https:\/\/link.coupang.com\/a\/hKv4YqaswK\" rel=\"sponsored nofollow noopener\" target=\"_blank\">\uc2e4\uc804 \uae08\uc735 \uba38\uc2e0\ub7ec\ub2dd \uc644\ubcbd \ubd84\uc11d<\/a> (\ub9c8\ub974\ucf54\uc2a4 \ub85c\ud398\uc988 \ub370 \ud504\ub77c\ub3c4, \uc5d0\uc774\ucf58\ucd9c\ud310) &#8212; \ubc31\ud14c\uc2a4\ud2b8 \uacfc\ucd5c\uc801\ud654, \ub514\ud50c\ub808\uc774\ud2f0\ub4dc \uc0e4\ud504 \ube44\uc728, \ubbf8\ub798 \ucc38\uc870 \uac19\uc740 \uac80\uc99d\uc758 \ud568\uc815\uc744 \ub2e4\ub8ec \uc6d0\uc804\uc785\ub2c8\ub2e4.<\/p><\/aside><p class=\"avq-affiliate-note\"><small>\uc774 \uac8c\uc2dc\ubb3c\uc740 \ucfe0\ud321 \ud30c\ud2b8\ub108\uc2a4 \ud65c\ub3d9\uc758 \uc77c\ud658\uc73c\ub85c, \uc774\uc5d0 \ub530\ub978 \uc77c\uc815\uc561\uc758 \uc218\uc218\ub8cc\ub97c \uc81c\uacf5\ubc1b\uc2b5\ub2c8\ub2e4.<\/small><\/p><\/div>","protected":false},"excerpt":{"rendered":"<p>\uac70\ub798\ub300\uae08 \uc0c1\uc704 20\uac1c \ucf54\uc778\uc758 1\uc8fc\u00b74\uc8fc \ucd94\uc138\ub85c \ub9e4\uc8fc \ub9ac\ubc38\ub7f0\uc2f1\ud55c \uc554\ud638\ud654\ud3d0 \ucd94\uc138\ucd94\uc885 \uc804\ub7b5\uc744 2019~2026\ub144 \ubc31\ud14c\uc2a4\ud2b8\ud588\uc2b5\ub2c8\ub2e4. \uc218\uc775\ub960\u00b7\ub099\ud3ed\u00b7\ud45c\ubcf8 \ubc16 \uc5f4\uc138\u00b7\uc6b4 \uace0\uc9c0\ub97c \ud568\uaed8 \uacf5\uac1c\ud569\ub2c8\ub2e4.<\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[16],"tags":[],"class_list":["post-464","post","type-post","status-publish","format-standard","hentry","category-crypto-backtest"],"blogger_post_id":null,"_links":{"self":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts\/464","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/comments?post=464"}],"version-history":[{"count":0,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/posts\/464\/revisions"}],"wp:attachment":[{"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/media?parent=464"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/categories?post=464"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/avalonquant.com\/blog\/wp-json\/wp\/v2\/tags?post=464"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}