50/200 SMA crosslongBacktest-Ergebnisse @ GLD • 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 5.7 years von GLD • 1 Hour (SPDR Gold Trust) Daten, von October 25, 2019 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 5.7 years von GLD • 1 Hour Kerzen getestet. Dieser Backtest ergab 33 Positionen, mit einer durchschnittlichen Gewinnrate von 36% und einem Risiko-Rendite-Verhältnis von 3.02. Wenn Sie annehmen, dass das 3.02 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 24.9, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 33 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 35.80% vs 117.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -26.60% vs -22.20% für das Asset
- Exposition: Exposition: 59.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 36.0%, vs 24.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 3.02
Mit dieser Exposition können Sie erkennen, dass Sie bei 60% Marktzeit 30.44% des Asset-Aufwärtspotenzials und 119.82% 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 @ GLD • 1 Hour (35.8%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results from this SMA cross strategy on GLD show some interesting characteristics, but I am not very convinced about its reliability. The strategy's performance metrics raise several red flags that we should discuss.
First, let's look at the positive aspects. The Risk/Reward ratio of 3.02 is quite good, and with a win rate of 36% against a minimal required win rate of 24.9%, the strategy has a healthy margin. But here comes the problem: With only 33 trades over 5.7 years (0.9 trades per month), we have a very small sample size. This makes the statistical significance of these metrics questionable, as one would need at least 100 trades to make reliable conclusions.
The strategy's underperformance compared to buy & hold (35.8% vs 117.6%) is concerning, especially considering the negative Sharpe (-0.05) and Sortino (-0.07) ratios. The maximum drawdown of -26.6% is also quite high relative to the total return. These numbers suggest that the risk-adjusted returns are not optimal, and the strategy might not be worth the effort compared to simpler approaches.
Mike
AutorYo fam, let me break down this SMA cross strategy on GLD! 🚀 The numbers are actually pretty interesting, even though it's not exactly a moonshot.
The strategy's giving us a solid Risk/Reward ratio of 3.02, which is straight fire 🔥! With a 36% win rate and that R/R, we're actually crushing the minimal required win rate by a huge margin - that's like getting extra tendies with your Wendy's order! Even though we're only winning about a third of our trades, when we win, we win BIG (7.05% average wins vs -2.33% average losses).
But here's the thing bros - we're only getting like 1 trade per month, and the overall performance (35.8% over 5.7 years) is trailing behind buy & hold (117.6%). That -26.6% max drawdown is also kinda scary ngl. The negative Sharpe and Sortino ratios are telling us this might not be the smoothest ride to Lambo-land. 📉
I'd say this strategy isn't completely terrible, but it might need some tweaking before I'd YOLO my entire paycheck into it. Maybe adding some filters or optimizing those SMA periods could juice up those returns! 💪 Still, that R/R ratio is making my diamond hands tingle! 💎🙌
Sarah
AutorThis strategy is a complete disaster, and I can't believe anyone would even consider trading it. Let me tell you why, mi amigo, and please don't take it personal.
First of all, the strategy significantly underperforms buy & hold - 35.8% vs 117.6%. That's embarrasing! You're basically losing money by trying to be clever instead of just buying and holding. The win rate is pathetic at 36%, meaning you're losing almost two-thirds of your trades. Even though your Risk/Reward looks decent at 3.02, it's clearly not enough to compensate for such terrible accuracy.
The most concerning thing, que horror, is those risk metrics. Negative Sharpe and Sortino ratios? That means you're not even being compensated for the risk you're taking. And that -26.6% drawdown is just waiting to destroy your account. The strategy only makes 0.9 trades per month - you might as well go to casino, at least they give you free drinks while you lose your money!
Look, if you want to keep throwing money away, be my guest. But this simple moving average crossover strategy is exactly what amateur traders use before they blow up their accounts. Either completely redesign it or find something else to trade. And por favor, do proper testing next time!
Tabellarische Metriken von 50/200 SMA cross getestet auf GLD • 1 Hour
| Gesamttrades | 33 | Nettogewinn | 35.8% | Buy & Hold Gewinn | 117.6% |
| Gewinnrate | 36% | Risiko/Rendite-Verhältnis | 3.02 | Maximaler Drawdown | -26.6% |
| Asset Maximaler Drawdown | -22.2% | Exposition | 59.8% | Durchschn. Kerzen in Position | 180.3 |
| Sharpe-Ratio | -0.05 | Sortino-Ratio | -0.07 | Realisierte Volatilität | 11.46% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.3 | Max. Verlustserie | 4 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 0.9 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 5.7 | Verlust Std Dev | 1.2 | Gewinn Std Dev | 5.5 |
| Erwartungswert | 0.5 | Beta | 0.66 |
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 |