50/200 SMA crosslongBacktest-Ergebnisse @ SPY • 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 32.5 years von SPY • Daily (SPDR S&P 500) Daten, von January 29, 1993 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 32.5 years von SPY • Daily Kerzen getestet. Dieser Backtest ergab 15 Positionen, mit einer durchschnittlichen Gewinnrate von 87% und einem Risiko-Rendite-Verhältnis von 3.82. Wenn Sie annehmen, dass das 3.82 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 20.8, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 15 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1127.30% vs 1316.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -32.50% vs -56.70% für das Asset
- Exposition: Exposition: 71.60% Zeit im Markt
- Gewinnrate: Gewinnrate: 87.0%, vs 20.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 3.82
Mit dieser Exposition können Sie erkennen, dass Sie bei 72% Marktzeit 85.64% des Asset-Aufwärtspotenzials und 57.32% 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 @ SPY • Daily (1127.3%) erklärt von Mike, Sarah
Mike
AutorYo fam, this 50/200 SMA cross strategy is actually pretty lit! 🔥 Looking at those 32.5 years of data, we're seeing some seriously juicy numbers that got me hyped.
The win rate is absolutely bonkers at 87% with a 3.82 risk/reward ratio - that's the kind of setup that makes my Wendy's paycheck look like pocket change! 💪 The average winner brings in 25.45% while the average L is only -6.66%. Plus, with only 15 total trades over this period, you're not getting killed by commission fees or having to watch charts 24/7.
One thing that's keeping me from going full YOLO though is that the strategy slightly underperformed buy & hold (1127% vs 1316%). But here's the big brain play - it only had 71.6% market exposure, meaning you're carrying way less risk during rough patches. That -32.5% max drawdown compared to the market's -56.7% is the kind of protection that helps you sleep at night while holding those diamond hands! 💎🙌 The recent performance has been a bit choppy, but looking at those 2-5 year returns got me ready to bet the farm! 🚀
Sarah
AutorDios mÃo, this strategy is terrible! 15 trades in 32 years? Are you planning to trade once every two years or what? This is ridiculous!
The win rate looks impressive at first - 87% sounds amazing, no? But with only 15 trades, it's meaningless estadÃstica! You could flip a coin 15 times and get 13 heads - it doesn't make it a reliable system. And look at the market exposure - 71.6% means you're basically following the market like a lost puppy, but doing worse than simple buy and hold! You're underperforming by almost 200 percentage points!
The drawdown of -32.5% is atrocious for such a slow strategy. With this kind of performance, you might as well put your money under the mattres! And look at those recent numbers - -91.6% over 6 months? ¡Madre mÃa! This is the kind of performance that makes people jump from buildings!
If you're seriously considering trading this estrategia, I suggest you find a new hobby - maybe collecting stamps or feeding pigeons. At least you won't lose money that way. This is not a trading strategy, it's a retirement plan for snails!
Tabellarische Metriken von 50/200 SMA cross getestet auf SPY • Daily
| Gesamttrades | 15 | Nettogewinn | 1127.3% | Buy & Hold Gewinn | 1316.3% |
| Gewinnrate | 87% | Risiko/Rendite-Verhältnis | 3.82 | Maximaler Drawdown | -32.5% |
| Asset Maximaler Drawdown | -56.7% | Exposition | 71.6% | Durchschn. Kerzen in Position | 388.7 |
| Sharpe-Ratio | 0.63 | Sortino-Ratio | 1.13 | Realisierte Volatilität | 11.15% |
| Max. Gewinnserie | 9 | Durchschn. Gewinnserie | 4.3 | Max. Verlustserie | 1 |
| Durchschn. Verlustserie | 1.0 | Durchschn. Trades pro Monat | 0.1 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 31.5 | Verlust Std Dev | 3.2 | Gewinn Std Dev | 31.7 |
| Erwartungswert | 3.2 | 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 |