50/200 SMA crosslongBacktest-Ergebnisse @ EURUSD • Daily
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 9.6 years von EURUSD • Daily (Euro vs USD spot (Interactive Brokers)) Daten, von December 2, 2015 bis July 10, 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 9.6 years von EURUSD • Daily Kerzen getestet. Dieser Backtest ergab 7 Positionen, mit einer durchschnittlichen Gewinnrate von 71% und einem Risiko-Rendite-Verhältnis von 0.67. Wenn Sie annehmen, dass das 0.67 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 59.9, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 7 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 4.80% vs 10.80% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -12.20% vs -23.30% für das Asset
- Exposition: Exposition: 34.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 71.0%, vs 59.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 0.67
Mit dieser Exposition können Sie erkennen, dass Sie bei 35% Marktzeit 44.44% des Asset-Aufwärtspotenzials und 52.36% des Asset-Abwärtspotenzials erhalten.
50/200 SMA cross: Position eingehen wenn
All of the following: # "Papa" D Simple Moving Average (50, 0, close) Crosses ↗ D Simple Moving Average (200, 0, close)
50/200 SMA cross: Position verlassen wenn
All of the following: # "India" D Simple Moving Average (50, 0, close) Crosses ↘ D Simple Moving Average (200, 0, close)
50/200 SMA cross @ EURUSD • Daily (4.8%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results for this 50/200 SMA cross strategy show some concerning patterns. With only 7 trades over 9.6 years, the sample size is way too small to make any statistically significant conclusions. This is like trying to predict weather patterns from just one week of data - mathematically unsound.
The strategy's performance metrics are not convincing. While the 71% win rate looks good at first glance, it is based on just 5 winning trades versus 2 losers. More problematic is the risk/reward ratio of 0.67, meaning average losses are larger than average wins. Combined with the -12.2% maximum drawdown and negative Sharpe/Sortino ratios, this suggests poor risk-adjusted returns. The strategy also underperforms buy & hold by more than 50% (4.8% vs 10.8%).
I would absolutely not recommend trading this strategy in its current form. The extremely low trade frequency (0.1 trades per month) makes it impossible to achieve statistical significance. One would need at least 30-50 trades minimum for meaningful analysis. Additionally, the negative risk-adjusted return metrics indicate the strategy is not mathematically sound from a risk management perspective. If you want to pursue this further, I would suggest optimizing the parameters to generate more signals while maintaining strict risk controls.
Sarah
AutorMadre de dios, this is one of the most patetic backtests I've seen in my carrier! Only 7 trades in almost 10 years? Are you seriously considering this?
The statistics are completly useless becouse there are too few trades to make any meaningfull conclusions. Even a monkey throwing darts would give you more trades than that! And the performance is horrible - you're underperforming buy & hold by more than 50%.
Look at those drawdowns - 12.2% max drawdown for just 7 trades? That's completly unacceptable! The strategy is spending 65% of the time doing absolutly nothing, just sitting there like a lazy cat. And when it finally decides to trade, it produces worse results than simply buying and holding.
My recomendation? Throw this "strategy" in the garbage where it belongs. If you want to use moving averages, at least pick something that actually generates enough trades to be statistically relevant. This is just a waste of computing power.
Tabellarische Metriken von 50/200 SMA cross getestet auf EURUSD • Daily
| Gesamttrades | 7 | Nettogewinn | 4.8% | Buy & Hold Gewinn | 10.8% |
| Gewinnrate | 71% | Risiko/Rendite-Verhältnis | 0.67 | Maximaler Drawdown | -12.2% |
| Asset Maximaler Drawdown | -23.3% | Exposition | 34.7% | Durchschn. Kerzen in Position | 115.3 |
| Sharpe-Ratio | -0.27 | Sortino-Ratio | -0.20 | Realisierte Volatilität | 2.80% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 1 |
| Durchschn. Verlustserie | 1.0 | Durchschn. Trades pro Monat | 0.1 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 3.6 | Verlust Std Dev | 2.7 | Gewinn Std Dev | 1.8 |
| Erwartungswert | 0.2 | Beta | 0.28 |
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 |