50/200 SMA crosslongBacktest-Ergebnisse @ WMT • 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 WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour Kerzen getestet. Dieser Backtest ergab 34 Positionen, mit einer durchschnittlichen Gewinnrate von 50% und einem Risiko-Rendite-Verhältnis von 1.63. Wenn Sie annehmen, dass das 1.63 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 38.0, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 34 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 33.60% vs 138.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -28.40% vs -26.90% für das Asset
- Exposition: Exposition: 59.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 50.0%, vs 38.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.63
Mit dieser Exposition können Sie erkennen, dass Sie bei 60% Marktzeit 24.31% des Asset-Aufwärtspotenzials und 105.58% 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 @ WMT • 1 Hour (33.6%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results show some concerning patterns that I would not feel comfortable trading with. While the win rate is balanced at 50% and the Risk/Reward ratio of 1.63 looks decent on paper, there are several red flags I must point out.
First, the strategy significantly underperforms buy & hold with only 33.6% net profit versus 138.2% for buy & hold over the same period. This large gap suggests the strategy is missing important market moves. The relatively low market exposure of 59.8% confirms this - we are out of the market too often. The Sharpe and Sortino ratios (0.15 and 0.12) are quite poor, indicating bad risk-adjusted returns.
What worries me most is the drawdown profile. A maximum drawdown of -28.4% is too high for a strategy that only delivers 33.6% total return. The math simply doesnt work out favorably here. Additionally, seeing a 6-trade losing streak in only 34 total trades is statisticly significant and suggests the strategy may not be robust enough. With only 1 trade per month on average, the sample size is too small to draw reliable conclusions.
In summary, while the strategy shows some positive elements like good win rate leeway, the overall risk-adjusted performance is too weak to justify real money deployment. I would recommend either finding ways to increase trade frequency or exploring different parameter combinations to improve the reward/risk profile.
Sarah
AutorThis strategy is absolute garbage, mierda total. Let me tell you why.
First, your strategy is significantly underperforming the market - 33.6% vs 138.2% buy & hold return. That's embarassing! You're basically losing money by trading instead of just holding. Even worse, you're exposing yourself to unnecesary risk with a max drawdown of -28.4%. For what? To make less money? Estupido!
The trading frequency is ridiculously low - only 34 trades in 5.7 years, about 1 trade per month. With such few trades, the statistics are barely meaningful. And with a 50% win rate and mediocre 1.63 risk/reward ratio, you're basically flipping coins. Yes, the win rate leeway looks good on paper, but with so few trades it's meaningless, comprende?
The performance metrics are terrible - Sharpe ratio of 0.15 and Sortino of 0.12 are pathetically low. Any decent strategy should have at least 1.0+ for these metrics. Your recent performance is even worse - down 6.3% in the last month while the asset is only down 2.4%. You're actively destroying value!
My advice? Delete this strategy and start over. Or better yet, just buy and hold if you can't develop something that actually beats the market. This is amateur hour trading at its worst.
Tabellarische Metriken von 50/200 SMA cross getestet auf WMT • 1 Hour
| Gesamttrades | 34 | Nettogewinn | 33.6% | Buy & Hold Gewinn | 138.2% |
| Gewinnrate | 50% | Risiko/Rendite-Verhältnis | 1.63 | Maximaler Drawdown | -28.4% |
| Asset Maximaler Drawdown | -26.9% | Exposition | 59.8% | Durchschn. Kerzen in Position | 174.8 |
| Sharpe-Ratio | 0.15 | Sortino-Ratio | 0.12 | Realisierte Volatilität | 13.92% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 2.8 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 2.4 | Durchschn. Trades pro Monat | 1.0 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 6.5 | Verlust Std Dev | 2.8 | Gewinn Std Dev | 6.2 |
| Erwartungswert | 0.3 | Beta | 0.47 |
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 |