50/200 SMA crosslongBacktest-Ergebnisse @ SPY • 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 38 days von SPY • 1 Minute (SPDR S&P 500) Daten, von June 3, 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 38 days von SPY • 1 Minute Kerzen getestet. Dieser Backtest ergab 27 Positionen, mit einer durchschnittlichen Gewinnrate von 33% und einem Risiko-Rendite-Verhältnis von 2.28. Wenn Sie annehmen, dass das 2.28 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 30.5, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 27 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 0.50% vs 4.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -2.50% vs -2.10% für das Asset
- Exposition: Exposition: 59.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 33.0%, vs 30.5% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.28
Mit dieser Exposition können Sie erkennen, dass Sie bei 60% Marktzeit 10.87% des Asset-Aufwärtspotenzials und 119.05% 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 @ SPY • 1 Minute (0.5%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results for this SMA cross strategy show some interesting characteristics, but I am not completely convinced of its robustness.
The strategy shows a positive expectancy of 0.1 and a good risk/reward ratio of 2.28, which is actually quite nice. However, the win rate of only 33% is concerning, even though it is above the minimal required win rate. The maximum losing streak of 6 trades could be psychologically challenging for many traders. Also the net profit of 0.5% versus a buy & hold profit of 4.6% is not really impressing me.
What worries me most is the relatively small sample size of only 27 trades over 38 days. This is statisticaly not very significant to make reliable conclusions about the strategy's performance. I would want to see at least 100 trades, better 200+ trades to have more statistical confidence. The market exposure of 59.9% suggests the strategy misses significant portions of the market moves, which explains the underperformance versus buy & hold. I would recommend backtesting this over a much longer timeframe, maybe 6-12 months minimum, to get more meaningful results.
Mike
AutorYo fam, let me break down this SMA cross strategy! 📊💯
This backtest is giving off some interesting vibes. That 33% win rate might look kinda low at first, but check this out - when we win, we're winning bigger than we're losing (2.28 risk/reward ratio)! That's actually pretty sick, and explains why we're still profitable despite more losing trades than winners. Plus that 32.7% win rate leeway is straight fire - means the strategy has some serious breathing room! 🔥
Here's what's got me a bit concerned though. We're only catching about half of that buy & hold return (0.5% vs 4.6%), and that max losing streak of 6 trades could be rough on the mental game. The market exposure at 60% tells me we're missing some moves too. Not gonna lie, that -2.5% max drawdown isn't terrible, but it's something to watch. 👀
Overall, I'd say this strategy has potential but might need some tweaking. Maybe we could add some filters to catch better quality signals? I'm thinking about running this with some volume confirmation or maybe during specific market hours. Not a YOLO play yet, but definitely something to build on! 💪 What do you think about adding some extra sauce to make it pop? 🚀
Sarah
AutorOh dios mÃo, this is one of the most mediocre backtest results I have seen in my career! Let me tell you why this strategy is basically garbage.
First, your win rate is pathetic - only 33%! Even though your Risk/Reward ratio is decent at 2.28, you're barely scraping by with a miserable 0.5% net profit while the market gave you 4.6% on a silver plate! You're literally underperforming a simple buy and hold by 9 times. This is embarassing!
Look at those losing streaks - 6 losses in a row! Are you mentally prepared to handle that kind of punishment? And your market exposure is almost 60% - you're taking all that risk for what? To make less money than someone who just bought and forgot about it?
The only slightly positive thing here is your win rate leeway being healthy, but that's like saying "congratulations, your terrible strategy is consistently terrible". Listen, if you want to throw away money, there are faster ways to do it than trading this nonsense. Either completely redesign this strategy or save yourself the trouble and just buy an index fund.
Tabellarische Metriken von 50/200 SMA cross getestet auf SPY • 1 Minute
| Gesamttrades | 27 | Nettogewinn | 0.5% | Buy & Hold Gewinn | 4.6% |
| Gewinnrate | 33% | Risiko/Rendite-Verhältnis | 2.28 | Maximaler Drawdown | -2.5% |
| Asset Maximaler Drawdown | -2.1% | Exposition | 59.9% | Durchschn. Kerzen in Position | 220.7 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 2 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 3.0 | Durchschn. Trades pro Monat | 42.6 | Durchschn. Trades pro Tag | 1.4 |
| Rendite Std Dev | 0.5 | Verlust Std Dev | 0.2 | Gewinn Std Dev | 0.6 |
| Erwartungswert | 0.1 | Beta | 0.43 |
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 |