13/26 EMA crosslongBacktest Results @ SPY • 10 Minutes
The Moving Average Crossover strategy uses two moving averages of different periods to generate buy and sell signals. It appoximates the idea of a trending market by using 2 exponential moving averages, one short fast EMA(13) and another slow longer EMA(26). It buys whenever a short EMA(13) crosses up a long EMA(26), thereby implying that the direction of the market has changed. It sells once a short EMA(13) crosses down a long EMA(26).
Equity Curve
Backtest covers 12.6 months of SPY • 10 Minutes () data, from June 25, 2024 to July 8, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested 13/26 EMA cross on 12.6 months of SPY • 10 Minutes candles. This backtest resulted in 154 positions, with the average win rate of 34% and reward-risk ratio of 2.27. If you assume that 2.27 reward-to-risk ratio holds, you need a minimum win rate of 30.6 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 7.30% vs 14.00% for the asset
- Max Drawdown: Max Drawdown: -10.20% vs -20.70% for the asset
- Exposure: Exposure: 59.70% time in the market
- Win Rate: Win Rate: 34.0%, vs 30.6% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.27
With that exposure in mind, you can tell that for 60% time-in-market, you get 52.14% of the asset upside potential, and 49.28% of the asset downside potential.
13/26 EMA cross: enter a position when
All of the following: # "Mike" 10min Exponential Moving Average (13, 0, close) Crosses ↗ 10min Exponential Moving Average (26, 0, close)
13/26 EMA cross: exit a position when
All of the following: # "Kilo" 10min Exponential Moving Average (13, 0, close) Crosses ↘ 10min Exponential Moving Average (26, 0, close)
13/26 EMA cross @ SPY • 10 Minutes (7.3%) backtest results explained by Alex C
Alex C
AuthorThe backtest results show some interesting metrics, but I'm not totally convinced about this strategy. The Risk/Reward ratio of 2.27 looks good on paper, but the win rate of only 34% is concerning, even though it's above the minimal required win rate.
What really catches my attention is the market exposure of 59.7% with only half the buy & hold performance (7.3% vs 14%). This suggests the strategy is missing important moves while being exposed to unnecessary risks. The maximum drawdown of -10.2% is better than the asset's -20.7%, but still significant for the returns generated. The Sharpe and Sortino ratios (0.22 and 0.24) are quite poor - they should be at least above 1 for a strategy to be considered worthwile.
The trading frequency looks reasonable with 0.8 trades per day, but the losing streaks are worrying - a maximum of 10 consecutive losses could be psychologically challenging to handle. I would suggest optimizing the entry conditions to improve the win rate, maybe by adding a trend filter or looking at higher timeframe confirmation. The strategy is mathematically viable but needs improvement before real money deployment.
Tabular metrics of 13/26 EMA cross backtested on SPY • 10 Minutes
| Total Trades | 154 | Net Profit | 7.3% | Buy & Hold Profit | 14.0% |
| Win Rate | 34% | Reward/Risk Ratio | 2.27 | Max Drawdown | -10.2% |
| Asset Max Drawdown | -20.7% | Exposure | 59.7% | Avg Candles in Position | 37.8 |
| Sharpe Ratio | 0.22 | Sortino Ratio | 0.24 | Realized Volatility | 11.83% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.6 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.9 | Avg Trades per Month | 24.4 | Avg Trades per Day | 0.8 |
| Return Std Dev | 0.9 | Loss Std Dev | 0.3 | Win Std Dev | 0.9 |
| Expectancy | 0.1 | Beta | 0.42 |
All backtests for 13/26 EMA cross
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
SPY • 10 Minutes | 60% | (7.3%/14.0%) 0.52x | (-10.2%/-20.7%) 0.49x | 34 | 2.3 |
BTCUSDT • 1 Hour | 55% | (46.4%/66.0%) 0.70x | (-32.0%/-30.6%) 1.05x | 34 | 2.6 |
EURUSD • 1 Hour | 53% | (4.0%/7.5%) 0.53x | (-7.6%/-9.0%) 0.84x | 31 | 2.7 |
SPY • 1 Hour | 62% | (51.8%/109.4%) 0.47x | (-17.6%/-35.1%) 0.50x | 43 | 1.9 |
BTCUSDT • Daily | 55% | (1428.5%/1223.3%) 1.17x | (-57.5%/-76.6%) 0.75x | 48 | 5.6 |
EURUSD • Daily | 47% | (7.7%/11.3%) 0.68x | (-14.5%/-23.3%) 0.62x | 31 | 2.9 |
SPY • Daily | 68% | (324.3%/1315.7%) 0.25x | (-33.7%/-56.7%) 0.59x | 45 | 2.4 |