50/200 SMA crosslongBacktest Results @ GLD • 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 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 12.6 months of GLD • 10 Minutes (SPDR Gold Trust) data, from June 28, 2024 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 12.6 months of GLD • 10 Minutes candles. This backtest resulted in 28 positions, with the average win rate of 54% and reward-risk ratio of 3.10. If you assume that 3.10 reward-to-risk ratio holds, you need a minimum win rate of 24.4 to be profitable. So you're looking good so far. However, 28 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: 26.10% vs 43.70% for the asset
- Max Drawdown: Max Drawdown: -5.90% vs -8.30% for the asset
- Exposure: Exposure: 57.50% time in the market
- Win Rate: Win Rate: 54.0%, vs 24.4% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.10
With that exposure in mind, you can tell that for 58% time-in-market, you get 59.73% of the asset upside potential, and 71.08% of the asset downside potential.
50/200 SMA cross: enter a position when
All of the following: # "Papa" 10min Simple Moving Average (50, 0, close) Crosses ↗ 10min Simple Moving Average (200, 0, close)
50/200 SMA cross: exit a position when
All of the following: # "India" 10min Simple Moving Average (50, 0, close) Crosses ↘ 10min Simple Moving Average (200, 0, close)
50/200 SMA cross @ GLD • 10 Minutes (26.1%) backtest results explained by Alex C
Alex C
AuthorThe backtest results for the 50/200 SMA cross strategy on GLD show some interessting characteristics, but I have concerns about its practical application.
The strategy shows decent risk metrics with a Sharpe of 1.88 and relatively low drawdown of 5.9%. The Risk/Reward ratio of 3.10 combined with 54% win rate is mathematically sound - you only need 24.4% win rate to break even, which gives good safety margin. However, with only 28 trades over 12.6 months (about 4.4 trades per month), the sample size is too small to make statistically significant conclusions. We need minimum 100 trades to have meaningful confidence in these numbers.
What worries me most is that the strategy underperformed buy & hold by quite a margin (26.1% vs 43.7%). This suggests the strategy might be missing important moves while trying to filter noise. The market exposure of 57.5% explains part of this - you are only participating in about half the moves. For a trending instrument like GLD, this could be suboptimal. I would suggest testing variations with faster moving averages to increase trade frequency and capture more moves, maybe 20/50 SMA or even 10/20 SMA.
Tabular metrics of 50/200 SMA cross backtested on GLD • 10 Minutes
| Total Trades | 28 | Net Profit | 26.1% | Buy & Hold Profit | 43.7% |
| Win Rate | 54% | Reward/Risk Ratio | 3.10 | Max Drawdown | -5.9% |
| Asset Max Drawdown | -8.3% | Exposure | 57.5% | Avg Candles in Position | 204.3 |
| Sharpe Ratio | 1.88 | Sortino Ratio | 2.73 | Realized Volatility | 12.98% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.9 | Max Losing Streak | 3 |
| Avg Losing Streak | 1.6 | Avg Trades per Month | 4.4 | Avg Trades per Day | 0.1 |
| Return Std Dev | 2.2 | Loss Std Dev | 0.5 | Win Std Dev | 2.2 |
| Expectancy | 1.2 | Beta | 0.5 |
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 |