50/200 SMA crosslongBacktest-Ergebnisse @ BTCUSDT • 1 Hour
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 13.9 months von BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US) Daten, von May 22, 2024 bis July 12, 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 13.9 months von BTCUSDT • 1 Hour Kerzen getestet. Dieser Backtest ergab 37 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 2.24. Wenn Sie annehmen, dass das 2.24 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 30.9, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 37 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 36.40% vs 68.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -31.30% vs -30.60% für das Asset
- Exposition: Exposition: 56.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 30.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.24
Mit dieser Exposition können Sie erkennen, dass Sie bei 56% Marktzeit 53.37% des Asset-Aufwärtspotenzials und 102.29% des Asset-Abwärtspotenzials erhalten.
50/200 SMA cross: Position eingehen wenn
All of the following: # "Papa" 60min Simple Moving Average (50, 0, close) Crosses ↗ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross: Position verlassen wenn
All of the following: # "India" 60min Simple Moving Average (50, 0, close) Crosses ↘ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross @ BTCUSDT • 1 Hour (36.4%) erklärt von Alex C, Mike
Alex C
AutorThe backtest results for this 50/200 SMA cross strategy show some interesting metrics, but I am having concerns about its reliability for real trading.
The strategy shows decent risk management with a good Risk/Reward ratio of 2.24 and healthy win rate leeway of 42.69%. This means theoretically you only need 30.9% win rate to be profitable, and you are achieving 43%. However, the max drawdown of -31.3% is quite concerning - this is a significant risk exposure that could be problematic in real trading scenarios. Also the strategy underperforms buy & hold by almost half (36.4% vs 68.2%), which makes me questioning if the complexity is worth it.
What really concerns me is the relatively low number of trades (only 37 over 13.9 months) combined with long losing streaks of up to 10 trades. The Sharpe ratio of 0.39 and negative Sortino ratio (-0.09) indicate poor risk-adjusted returns. From mathematical perspective, we need more trades to have statistical significance - with only 2.7 trades per month on average, the sample size is too small to make reliable conclusions about the strategy's edge. I would want to see at least 100 trades before making any definitive judgements about the strategy's viability.
Mike
AutorYo fam, let me break down this 50/200 SMA cross strategy on BTC! 🚀
First off, this strategy is giving some decent vibes with that 36.4% net profit, though it's lagging behind the buy & hold at 68.2%. But check this out - we're only exposed to the market 56% of the time, which means less stress and more time to flip burgers at Wendy's! 🍔 The risk metrics are actually pretty solid, with a 2.24 risk/reward ratio and that juicy 42.69% win rate leeway above the minimum needed.
What's really got me hyped is the winning trades averaging 5.70% gains while losses are kept to -2.55%. That's the kind of asymmetric betting I live for! 💎🙌 Yeah, the 43% win rate might look meh, but with those ratios, we're still making bank. That 10-trade losing streak is a bit scary though - gotta have diamond hands to hold through that kind of pain! The monthly performance is looking pretty fire too, especially that 12.6% in just the last month. 📈
Overall, this strategy isn't going to make us millionaires overnight, but it's got some serious potential for steady gains while keeping our risk in check. Just need to size those positions right and maybe we can upgrade from the dollar menu to the Baconator combo! 🎯
Tabellarische Metriken von 50/200 SMA cross getestet auf BTCUSDT • 1 Hour
| Gesamttrades | 37 | Nettogewinn | 36.4% | Buy & Hold Gewinn | 68.2% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 2.24 | Maximaler Drawdown | -31.3% |
| Asset Maximaler Drawdown | -30.6% | Exposition | 56.2% | Durchschn. Kerzen in Position | 150.8 |
| Sharpe-Ratio | 0.39 | Sortino-Ratio | -0.09 | Realisierte Volatilität | 30.66% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 2.7 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 3.5 | Durchschn. Trades pro Monat | 5.3 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 6.3 | Verlust Std Dev | 1.6 | Gewinn Std Dev | 7.1 |
| Erwartungswert | 0.4 | Beta | 0.5 |
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 |