50/200 SMA crosslongBacktest Results @ GLD • 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 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 5.7 years of GLD • 1 Hour (SPDR Gold Trust) data, from October 25, 2019 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 5.7 years of GLD • 1 Hour candles. This backtest resulted in 33 positions, with the average win rate of 36% and reward-risk ratio of 3.02. If you assume that 3.02 reward-to-risk ratio holds, you need a minimum win rate of 24.9 to be profitable. So you're looking good so far. However, 33 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: 35.80% vs 117.60% for the asset
- Max Drawdown: Max Drawdown: -26.60% vs -22.20% for the asset
- Exposure: Exposure: 59.80% time in the market
- Win Rate: Win Rate: 36.0%, vs 24.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.02
With that exposure in mind, you can tell that for 60% time-in-market, you get 30.44% of the asset upside potential, and 119.82% of the asset downside potential.
50/200 SMA cross: enter a position when
All of the following: # "Papa" 60min Simple Moving Average (50, 0, close) Crosses ↗ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross: exit a position when
All of the following: # "India" 60min Simple Moving Average (50, 0, close) Crosses ↘ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross @ GLD • 1 Hour (35.8%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results from this SMA cross strategy on GLD show some interesting characteristics, but I am not very convinced about its reliability. The strategy's performance metrics raise several red flags that we should discuss.
First, let's look at the positive aspects. The Risk/Reward ratio of 3.02 is quite good, and with a win rate of 36% against a minimal required win rate of 24.9%, the strategy has a healthy margin. But here comes the problem: With only 33 trades over 5.7 years (0.9 trades per month), we have a very small sample size. This makes the statistical significance of these metrics questionable, as one would need at least 100 trades to make reliable conclusions.
The strategy's underperformance compared to buy & hold (35.8% vs 117.6%) is concerning, especially considering the negative Sharpe (-0.05) and Sortino (-0.07) ratios. The maximum drawdown of -26.6% is also quite high relative to the total return. These numbers suggest that the risk-adjusted returns are not optimal, and the strategy might not be worth the effort compared to simpler approaches.
Mike
AuthorYo fam, let me break down this SMA cross strategy on GLD! 🚀 The numbers are actually pretty interesting, even though it's not exactly a moonshot.
The strategy's giving us a solid Risk/Reward ratio of 3.02, which is straight fire 🔥! With a 36% win rate and that R/R, we're actually crushing the minimal required win rate by a huge margin - that's like getting extra tendies with your Wendy's order! Even though we're only winning about a third of our trades, when we win, we win BIG (7.05% average wins vs -2.33% average losses).
But here's the thing bros - we're only getting like 1 trade per month, and the overall performance (35.8% over 5.7 years) is trailing behind buy & hold (117.6%). That -26.6% max drawdown is also kinda scary ngl. The negative Sharpe and Sortino ratios are telling us this might not be the smoothest ride to Lambo-land. 📉
I'd say this strategy isn't completely terrible, but it might need some tweaking before I'd YOLO my entire paycheck into it. Maybe adding some filters or optimizing those SMA periods could juice up those returns! 💪 Still, that R/R ratio is making my diamond hands tingle! 💎🙌
Sarah
AuthorThis strategy is a complete disaster, and I can't believe anyone would even consider trading it. Let me tell you why, mi amigo, and please don't take it personal.
First of all, the strategy significantly underperforms buy & hold - 35.8% vs 117.6%. That's embarrasing! You're basically losing money by trying to be clever instead of just buying and holding. The win rate is pathetic at 36%, meaning you're losing almost two-thirds of your trades. Even though your Risk/Reward looks decent at 3.02, it's clearly not enough to compensate for such terrible accuracy.
The most concerning thing, que horror, is those risk metrics. Negative Sharpe and Sortino ratios? That means you're not even being compensated for the risk you're taking. And that -26.6% drawdown is just waiting to destroy your account. The strategy only makes 0.9 trades per month - you might as well go to casino, at least they give you free drinks while you lose your money!
Look, if you want to keep throwing money away, be my guest. But this simple moving average crossover strategy is exactly what amateur traders use before they blow up their accounts. Either completely redesign it or find something else to trade. And por favor, do proper testing next time!
Tabular metrics of 50/200 SMA cross backtested on GLD • 1 Hour
| Total Trades | 33 | Net Profit | 35.8% | Buy & Hold Profit | 117.6% |
| Win Rate | 36% | Reward/Risk Ratio | 3.02 | Max Drawdown | -26.6% |
| Asset Max Drawdown | -22.2% | Exposure | 59.8% | Avg Candles in Position | 180.3 |
| Sharpe Ratio | -0.05 | Sortino Ratio | -0.07 | Realized Volatility | 11.46% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.3 | Max Losing Streak | 4 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 0.9 | Avg Trades per Day | 0.0 |
| Return Std Dev | 5.7 | Loss Std Dev | 1.2 | Win Std Dev | 5.5 |
| Expectancy | 0.5 | Beta | 0.66 |
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 |