50/200 SMA crosslongBacktest Results @ SPY • 1 Minute
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 SMAs, one short fast SMA(50) and another slow longer SMA(200). It buys whenever a short SMA(50) crosses up a long SMA(200), thereby implying that the direction of the market has changed. It sells once a short SMA(50) crosses down a long SMA(200). These are fairly long MAs, which means that this strategy is naturalyl meant to capture bigger moves, and thereby might not be a good fit for short time frames. But assumptions like that do not mean anything, because we've backested it! See youself.
Equity Curve
Backtest covers 38 days of SPY • 1 Minute (SPDR S&P 500) data, from June 3, 2025 to July 11, 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 50/200 SMA cross on 38 days of SPY • 1 Minute candles. This backtest resulted in 27 positions, with the average win rate of 33% and reward-risk ratio of 2.28. If you assume that 2.28 reward-to-risk ratio holds, you need a minimum win rate of 30.5 to be profitable. So you're looking good so far. However, 27 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 0.50% vs 4.60% for the asset
- Max Drawdown: Max Drawdown: -2.50% vs -2.10% for the asset
- Exposure: Exposure: 59.90% time in the market
- Win Rate: Win Rate: 33.0%, vs 30.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.28
With that exposure in mind, you can tell that for 60% time-in-market, you get 10.87% of the asset upside potential, and 119.05% of the asset downside potential.
50/200 SMA cross: enter a position when
All of the following: # "Papa" 1min Simple Moving Average (50, 0, close) Crosses ↗ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross: exit a position when
All of the following: # "India" 1min Simple Moving Average (50, 0, close) Crosses ↘ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross @ SPY • 1 Minute (0.5%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results for this SMA cross strategy show some interesting characteristics, but I am not completely convinced of its robustness.
The strategy shows a positive expectancy of 0.1 and a good risk/reward ratio of 2.28, which is actually quite nice. However, the win rate of only 33% is concerning, even though it is above the minimal required win rate. The maximum losing streak of 6 trades could be psychologically challenging for many traders. Also the net profit of 0.5% versus a buy & hold profit of 4.6% is not really impressing me.
What worries me most is the relatively small sample size of only 27 trades over 38 days. This is statisticaly not very significant to make reliable conclusions about the strategy's performance. I would want to see at least 100 trades, better 200+ trades to have more statistical confidence. The market exposure of 59.9% suggests the strategy misses significant portions of the market moves, which explains the underperformance versus buy & hold. I would recommend backtesting this over a much longer timeframe, maybe 6-12 months minimum, to get more meaningful results.
Mike
AuthorYo fam, let me break down this SMA cross strategy! 📊💯
This backtest is giving off some interesting vibes. That 33% win rate might look kinda low at first, but check this out - when we win, we're winning bigger than we're losing (2.28 risk/reward ratio)! That's actually pretty sick, and explains why we're still profitable despite more losing trades than winners. Plus that 32.7% win rate leeway is straight fire - means the strategy has some serious breathing room! 🔥
Here's what's got me a bit concerned though. We're only catching about half of that buy & hold return (0.5% vs 4.6%), and that max losing streak of 6 trades could be rough on the mental game. The market exposure at 60% tells me we're missing some moves too. Not gonna lie, that -2.5% max drawdown isn't terrible, but it's something to watch. 👀
Overall, I'd say this strategy has potential but might need some tweaking. Maybe we could add some filters to catch better quality signals? I'm thinking about running this with some volume confirmation or maybe during specific market hours. Not a YOLO play yet, but definitely something to build on! 💪 What do you think about adding some extra sauce to make it pop? 🚀
Sarah
AuthorOh dios mío, this is one of the most mediocre backtest results I have seen in my career! Let me tell you why this strategy is basically garbage.
First, your win rate is pathetic - only 33%! Even though your Risk/Reward ratio is decent at 2.28, you're barely scraping by with a miserable 0.5% net profit while the market gave you 4.6% on a silver plate! You're literally underperforming a simple buy and hold by 9 times. This is embarassing!
Look at those losing streaks - 6 losses in a row! Are you mentally prepared to handle that kind of punishment? And your market exposure is almost 60% - you're taking all that risk for what? To make less money than someone who just bought and forgot about it?
The only slightly positive thing here is your win rate leeway being healthy, but that's like saying "congratulations, your terrible strategy is consistently terrible". Listen, if you want to throw away money, there are faster ways to do it than trading this nonsense. Either completely redesign this strategy or save yourself the trouble and just buy an index fund.
Tabular metrics of 50/200 SMA cross backtested on SPY • 1 Minute
| Total Trades | 27 | Net Profit | 0.5% | Buy & Hold Profit | 4.6% |
| Win Rate | 33% | Reward/Risk Ratio | 2.28 | Max Drawdown | -2.5% |
| Asset Max Drawdown | -2.1% | Exposure | 59.9% | Avg Candles in Position | 220.7 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 2 | Avg Winning Streak | 1.5 | Max Losing Streak | 6 |
| Avg Losing Streak | 3.0 | Avg Trades per Month | 42.6 | Avg Trades per Day | 1.4 |
| Return Std Dev | 0.5 | Loss Std Dev | 0.2 | Win Std Dev | 0.6 |
| Expectancy | 0.1 | Beta | 0.43 |
All backtests for 50/200 SMA cross
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
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 |