13/26 EMA crosslongBacktest Results @ SPY • 1 Hour
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 5.7 years of SPY • 1 Hour () data, from October 18, 2019 to July 3, 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 5.7 years of SPY • 1 Hour candles. This backtest resulted in 146 positions, with the average win rate of 43% and reward-risk ratio of 1.93. If you assume that 1.93 reward-to-risk ratio holds, you need a minimum win rate of 34.1 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 51.80% vs 109.40% for the asset
- Max Drawdown: Max Drawdown: -17.60% vs -35.10% for the asset
- Exposure: Exposure: 62.30% time in the market
- Win Rate: Win Rate: 43.0%, vs 34.1% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.93
With that exposure in mind, you can tell that for 62% time-in-market, you get 47.35% of the asset upside potential, and 50.14% of the asset downside potential.
13/26 EMA cross: enter a position when
All of the following: # "Mike" 60min Exponential Moving Average (13, 0, close) Crosses ↗ 60min Exponential Moving Average (26, 0, close)
13/26 EMA cross: exit a position when
All of the following: # "Kilo" 60min Exponential Moving Average (13, 0, close) Crosses ↘ 60min Exponential Moving Average (26, 0, close)
13/26 EMA cross @ SPY • 1 Hour (51.8%) backtest results explained by Mike
Mike
AuthorYo fam, this EMA cross strategy on SPY is giving some interesting vibes! 🤔 The 51.8% profit isn't too shabby, but ngl we're underperforming the buy & hold (109.4%). Still, there's some juicy stuff here that's got me hyped!
What's really catching my eye is that risk/reward setup - 1.93 R/R with a 43% win rate is actually pretty solid! 📈 We're crushing the minimal required win rate (34.1%) by a huge margin, which means this strategy has some real staying power. Plus, that max drawdown of -17.6% compared to SPY's -35.1% shows we're not taking as much heat during the rough patches.
The thing that's got me most bullish is how we're only in the market 62.3% of the time but still capturing decent gains. That's like working the Wendy's drive-thru but still having time to watch the charts! 🍔 The volatility numbers are looking clean too - we're running at 10.85% vs the market's 17.52%. For my fellow degens who like to sleep at night, this could be a decent setup to build on! Maybe add some position sizing or leverage to juice those returns while keeping the risk management intact. 🚀
Tabular metrics of 13/26 EMA cross backtested on SPY • 1 Hour
| Total Trades | 146 | Net Profit | 51.8% | Buy & Hold Profit | 109.4% |
| Win Rate | 43% | Reward/Risk Ratio | 1.93 | Max Drawdown | -17.6% |
| Asset Max Drawdown | -35.1% | Exposure | 62.3% | Avg Candles in Position | 41.7 |
| Sharpe Ratio | 0.65 | Sortino Ratio | 0.75 | Realized Volatility | 10.85% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.7 | Max Losing Streak | 6 |
| Avg Losing Streak | 2.2 | Avg Trades per Month | 4.2 | Avg Trades per Day | 0.1 |
| Return Std Dev | 2.2 | Loss Std Dev | 0.9 | Win Std Dev | 1.8 |
| Expectancy | 0.3 | Beta | 0.35 |
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 |