50/200 SMA crosslongBacktest-Ergebnisse @ GLD • 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 20.7 years von GLD • Daily (SPDR Gold Trust) Daten, von November 18, 2004 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 20.7 years von GLD • Daily Kerzen getestet. Dieser Backtest ergab 13 Positionen, mit einer durchschnittlichen Gewinnrate von 46% und einem Risiko-Rendite-Verhältnis von 6.39. Wenn Sie annehmen, dass das 6.39 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 13.5, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 13 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 242.90% vs 595.10% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -36.40% vs -45.30% für das Asset
- Exposition: Exposition: 60.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 46.0%, vs 13.5% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 6.39
Mit dieser Exposition können Sie erkennen, dass Sie bei 61% Marktzeit 40.82% des Asset-Aufwärtspotenzials und 80.35% 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 @ GLD • Daily (242.9%) erklärt von Alex C, Mike, Sarah
Alex C
AutorZe backtest results show some interesting patterns, but I have concerns about ze statistical significance. With only 13 trades over 20.7 years, zat's far too few trades to make reliable conclusions. Ze mathematics simply don't support robust statistical analysis with such a small sample size.
Ze risk metrics are not looking optimal. Ze Sharpe ratio of 0.17 is quite poor - we typically want to see at least 0.5 for a viable strategy, preferably above 1.0. Ze max drawdown of 36.4% is also concerning, especially since ze strategy significantly underperformed buy & hold (242.9% vs 595.1%). However, ze Risk/Reward ratio of 6.39 and ze win rate leeway are ze bright spots in zese results.
From a pure mathematical perspective, ze strategy shows some potential but needs significant optimization. Ze low trade frequency makes it vulnerable to sampling error and ze high drawdown suggests insufficient risk management. I would recommend testing additional parameters to increase ze trade frequency while maintaining ze positive expectancy. Perhaps adjusting ze moving average periods or adding additional filters could improve ze results.
Mike
AutorYo fam, this 50/200 SMA cross strategy on GLD is giving me some mixed vibes! 🤔
The good stuff first - when this thing wins, it wins BIG with an average win of nearly 34% compared to average losses of just -5.3%. That's a juicy 6.39 risk/reward ratio! Plus that 45.86% win rate leeway is straight fire 🔥 - means we've got tons of breathing room above the minimum win rate needed to stay profitable.
But here's where it gets kinda sus - only 13 trades over 20 years is super low volume, fam. That's like one trade every year and a half 📊. Also got clapped with a -36.4% max drawdown, which would have me sweating behind the Wendy's grill fr fr. And that 46% win rate, while workable with the good R/R, still means we're losing more often than winning.
I might use this as part of a larger strategy portfolio since it can catch some monster moves when it works. But wouldn't YOLO my whole paycheck on this alone - need more frequent trading opportunities to keep the tendies flowing! 💎🙌
Sarah
AutorMadre de Dios, this strategy is like watching paint dry! Only 13 trades in 20 years? Are you planning to trade or hibernate?
Look, the metrics might look fancy with that 6.39 risk/reward ratio, but let's be real - you're basically catching 6 lucky breaks while sleeping through most of the market moves. The Buy & Hold strategy crushed your performance by more than double (595% vs your measly 242%). That's embarassing!
The win rate is pathetic at 46%, and you had a losing streak of 4 trades? With so few trades, that must have felt like pure torture! And that -36.4% drawdown... mi corazón! The exposure is only 60.7% which means you're missing out on a lot of potential gains while paying your broker to do basically nothing.
The only slightly positive thing here is the Win Rate Leeway being decent, but that's like having a great swimming pool in the middle of Sahara - completely useless in the grand scheme of things. If you want to actually make money in the markets, you need something more dynamic than this dinosaur of a strategy. This is not trading, this is financial siesta!
Tabellarische Metriken von 50/200 SMA cross getestet auf GLD • Daily
| Gesamttrades | 13 | Nettogewinn | 242.9% | Buy & Hold Gewinn | 595.1% |
| Gewinnrate | 46% | Risiko/Rendite-Verhältnis | 6.39 | Maximaler Drawdown | -36.4% |
| Asset Maximaler Drawdown | -45.3% | Exposition | 60.7% | Durchschn. Kerzen in Position | 241.3 |
| Sharpe-Ratio | 0.17 | Sortino-Ratio | 0.50 | Realisierte Volatilität | 10.57% |
| Max. Gewinnserie | 2 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 4 |
| Durchschn. Verlustserie | 2.3 | Durchschn. Trades pro Monat | 0.1 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 28.5 | Verlust Std Dev | 3.4 | Gewinn Std Dev | 30.6 |
| Erwartungswert | 2.4 | Beta | 0.56 |
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 |