50/200 SMA crosslongBacktest-Ergebnisse @ EURUSD • 1 Minute
Die Moving Average Crossover Strategie verwendet zwei gleitende Durchschnitte unterschiedlicher Perioden, um Kauf- und Verkaufssignale zu generieren. Sie nähert sich der Idee eines trendigen Marktes durch die Verwendung von 2 SMAs, einem kurzen schnellen SMA(50) und einem anderen langsamen längeren SMA(200). Sie kauft, wenn ein kurzer SMA(50) einen langen SMA(200) nach oben kreuzt, was impliziert, dass sich die Richtung des Marktes geändert hat. Sie verkauft, sobald ein kurzer SMA(50) einen langen SMA(200) nach unten kreuzt. Dies sind ziemlich lange MAs, was bedeutet, dass diese Strategie natürlicherweise dazu gedacht ist, größere Bewegungen zu erfassen, und daher möglicherweise nicht gut für kurze Zeitrahmen geeignet ist. Aber solche Annahmen bedeuten nichts, weil wir es backgetestet haben! Sieh es dir selbst an.
Eigenkapitalkurve
Der Backtest umfasst 9 days von EURUSD • 1 Minute (Euro vs USD spot (Interactive Brokers)) Daten, von July 2, 2025 bis July 11, 2025.
Die Eigenkapitalkurve zeigt die Leistung der Strategie im Zeitverlauf. Sie sollten sie mit der Buy & Hold Performance des Assets vergleichen. Im Allgemeinen sollte der blaue Bereich deutlich über dem grauen Bereich liegen.
Drawdown zeigt, wie viel Verluste (realisiert oder nicht realisiert) die Strategie im Vergleich zum höchsten Eigenkapitalpeak hatte. Vergleichen Sie dies mit dem Drawdown des Assets, um zu sehen, ob Ihre Strategie eine anständige Arbeit leistet, Sie von Abwärtsvolatilität zu isolieren. Im Allgemeinen muss der rote Bereich gut innerhalb des grauen Bereichs liegen.
Also haben wir 50/200 SMA cross über 9 days von EURUSD • 1 Minute Kerzen getestet. Dieser Backtest ergab 20 Positionen, mit einer durchschnittlichen Gewinnrate von 20% und einem Risiko-Rendite-Verhältnis von 1.13. Wenn Sie annehmen, dass das 1.13 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 47.0, um profitabel zu sein. Sie sind also am Arsch! Allerdings sind 20 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -1.10% vs -1.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -1.20% vs -1.20% für das Asset
- Exposition: Exposition: 60.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 20.0%, vs 47.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.13
Mit dieser Exposition können Sie erkennen, dass Sie bei 61% Marktzeit 110.00% des Asset-Aufwärtspotenzials und 100.00% des Asset-Abwärtspotenzials erhalten.
50/200 SMA cross: Position eingehen wenn
All of the following: # "Papa" 1min Simple Moving Average (50, 0, close) Crosses ↗ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross: Position verlassen wenn
All of the following: # "India" 1min Simple Moving Average (50, 0, close) Crosses ↘ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross @ EURUSD • 1 Minute (-1.1%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results show some serious problems with this SMA cross strategy. Let me tell you why I think this is not good for trading.
First of all, the win rate of 20% is terrible - only 4 winning trades out of 20 total trades. Even though the Risk/Reward ratio is slightly positive at 1.13, this can't compensate for such a low win rate. A strategy needs at least 46.9% win rate to be profitable with this R/R ratio, but we are far away from that. That's mathematically impossible to be profitable in the long run.
The second big problem I see is the high frequency of trades - 4.4 trades per day on average. With such high frequency and low win rate, you will just slowly bleed your account dry through death by thousand cuts. The average losing streak of 3.2 trades and maximum losing streak of 6 trades would be psychologically very difficult to handle, even if you would trade with perfect discipline which most people don't have.
I must say, as someone who believes in mathematical validation, this strategy should not be traded live. The negative expectancy of -0.6 means you are expected to lose money over time. While the drawdown of -1.2% doesn't look dramatic, remember this is just from 9 days of testing. Over longer periods, the drawdown would likely be much worse. I would completely reject this strategy and look for something with better statistical properties.
Sarah
AutorMadre mÃa, this is one of the most terrible strategies I've seen in my carrier! Let me tell you why this is complete basura.
First, your win rate is pathetic - only 20%! This means you're losing 4 trades out of 5. Even casino gives you better odds than that! And with such microscopic gains (0.11% average win vs -0.09% average loss), you're basically paying your broker to lose money. The fact that your max losing streak is 6 trades in a row should make you run away screaming.
Your net profit is -1.1%, which is even worse than if you just bought and held like a complete principiante (-1.0%). You're actively making things worse with your trading! With 60.7% market exposure, you're taking all this risk for absolutely nothing.
The only thing that looks decent is your Risk/Reward ratio of 1.13, but who cares when you're losing most of the time? This is like having a beautiful steering wheel on a car with no engine.
Mi consejo? Throw this strategy in the garbage where it belongs and start from scratch. And next time, please test your strategies properly before wasting my time with such nonsense. This is not trading, this is donating money to the market.
Tabellarische Metriken von 50/200 SMA cross getestet auf EURUSD • 1 Minute
| Gesamttrades | 20 | Nettogewinn | -1.1% | Buy & Hold Gewinn | -1.0% |
| Gewinnrate | 20% | Risiko/Rendite-Verhältnis | 1.13 | Maximaler Drawdown | -1.2% |
| Asset Maximaler Drawdown | -1.2% | Exposition | 60.7% | Durchschn. Kerzen in Position | 215.1 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 1 | Durchschn. Gewinnserie | 1.0 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 3.2 | Durchschn. Trades pro Monat | 133.3 | Durchschn. Trades pro Tag | 4.4 |
| Rendite Std Dev | 0.1 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.1 |
| Erwartungswert | -0.6 | Beta | 0.75 |
Alle Backtests für 50/200 SMA cross
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 57% | (5.4%/8.9%) 0.61x | (-2.0%/-1.9%) 1.05x | 39 | 5.4 |
EURUSD • 1 Minute | 61% | (-1.1%/-1.0%) 1.10x | (-1.2%/-1.2%) 1.00x | 20 | 1.1 |
GLD • 1 Minute | 52% | (1.7%/0.0%) Infinityx | (-2.5%/-5.5%) 0.45x | 36 | 2.5 |
NVDA • 1 Minute | 61% | (1.2%/16.7%) 0.07x | (-7.9%/-4.4%) 1.80x | 28 | 2.9 |
SPY • 1 Minute | 60% | (0.5%/4.6%) 0.11x | (-2.5%/-2.1%) 1.19x | 33 | 2.3 |
TSLA • 1 Minute | 47% | (6.6%/-10.3%) -0.64x | (-11.2%/-21.4%) 0.52x | 39 | 2.1 |
WMT • 1 Minute | 41% | (-0.5%/-5.4%) 0.09x | (-3.9%/-6.4%) 0.61x | 29 | 2.4 |
BTCUSDT • 10 Minutes | 57% | (18.2%/22.4%) 0.81x | (-8.6%/-12.1%) 0.71x | 41 | 3.1 |
EURUSD • 10 Minutes | 55% | (2.5%/5.8%) 0.43x | (-2.2%/-4.3%) 0.51x | 38 | 2.4 |
GLD • 10 Minutes | 58% | (26.1%/43.7%) 0.60x | (-5.9%/-8.3%) 0.71x | 54 | 3.1 |
NVDA • 10 Minutes | 57% | (5.0%/32.9%) 0.15x | (-33.4%/-42.8%) 0.78x | 44 | 1.4 |
SPY • 10 Minutes | 60% | (6.6%/14.3%) 0.46x | (-13.4%/-20.7%) 0.65x | 41 | 1.9 |
TSLA • 10 Minutes | 47% | (18.4%/59.0%) 0.31x | (-34.8%/-55.3%) 0.63x | 41 | 1.9 |
WMT • 10 Minutes | 60% | (37.4%/40.1%) 0.93x | (-10.3%/-23.8%) 0.43x | 62 | 1.8 |
BTCUSDT • 1 Hour | 56% | (36.4%/68.2%) 0.53x | (-31.3%/-30.6%) 1.02x | 43 | 2.2 |
EURUSD • 1 Hour | 50% | (6.9%/6.8%) 1.01x | (-5.7%/-9.0%) 0.63x | 42 | 2.4 |
GLD • 1 Hour | 60% | (35.8%/117.6%) 0.30x | (-26.6%/-22.2%) 1.20x | 36 | 3.0 |
NVDA • 1 Hour | 61% | (783.4%/3126.3%) 0.25x | (-51.4%/-68.0%) 0.76x | 52 | 3.5 |
SPY • 1 Hour | 64% | (85.7%/106.7%) 0.80x | (-19.0%/-35.1%) 0.54x | 61 | 2.3 |
TSLA • 1 Hour | 55% | (2930.2%/1395.5%) 2.10x | (-38.7%/-75.1%) 0.52x | 56 | 6.0 |
WMT • 1 Hour | 60% | (33.6%/138.2%) 0.24x | (-28.4%/-26.9%) 1.06x | 50 | 1.6 |
BTCUSDT • Daily | 59% | (638.7%/1337.5%) 0.48x | (-61.1%/-76.6%) 0.80x | 83 | 7.3 |
EURUSD • Daily | 35% | (4.8%/10.8%) 0.44x | (-12.2%/-23.3%) 0.52x | 71 | 0.7 |
GLD • Daily | 61% | (242.9%/595.1%) 0.41x | (-36.4%/-45.3%) 0.80x | 46 | 6.4 |
NVDA • Daily | 65% | (83183.3%/373678.5%) 0.22x | (-57.1%/-90.0%) 0.63x | 77 | 16.0 |
SPY • Daily | 72% | (1127.3%/1316.3%) 0.86x | (-32.5%/-56.7%) 0.57x | 87 | 3.8 |
TSLA • Daily | 57% | (3139.0%/24185.2%) 0.13x | (-65.4%/-75.0%) 0.87x | 38 | 25.3 |
WMT • Daily | 64% | (1143.9%/13022.2%) 0.09x | (-57.1%/-50.6%) 1.13x | 39 | 8.1 |