50/200 SMA 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 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 SPY • 1 Hour (SPDR S&P 500) 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 SPY • 1 Hour candles. This backtest resulted in 23 positions, with the average win rate of 61% and reward-risk ratio of 2.33. If you assume that 2.33 reward-to-risk ratio holds, you need a minimum win rate of 30.0 to be profitable. So you're looking good so far. However, 23 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: 85.70% vs 106.70% for the asset
- Max Drawdown: Max Drawdown: -19.00% vs -35.10% for the asset
- Exposure: Exposure: 63.60% time in the market
- Win Rate: Win Rate: 61.0%, vs 30.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.33
With that exposure in mind, you can tell that for 64% time-in-market, you get 80.32% of the asset upside potential, and 54.13% 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 @ SPY • 1 Hour (85.7%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results for this 50/200 SMA cross strategy show some interesting characteristics, but I have few concerns about its statistical significance.
The sample size of only 23 trades over 5.7 years is quite small for making solid statistical conclusions. While the win rate of 61% and risk/reward ratio of 2.33 look good on paper, with such few trades these numbers could be heavily influenced by random chance. The strategy produces less than 1 trade per month, which makes it difficult to achieve statistical significance even over longer periods.
What I find positive is the relatively good protection against drawdowns - the strategy's max drawdown of -19% compared to the asset's -35.1% shows it does provide some downside protection. The market exposure of 63.6% also suggests it stays out of particularly volatile periods. However, the strategy underperforms buy & hold (85.7% vs 106.7%), which is not optimal for such a long timeframe. The Sharpe ratio of 0.76 is also below what I would consider attractive for a long-term investment strategy.
I would want to see this strategy tested on different timeframes and perhaps with modified parameters to ensure it's not overfitted to this specific period. The low trade frequency makes me skeptical about its robustness across different market conditions.
Mike
AuthorYo fam, this 50/200 SMA cross strategy on SPY is looking pretty solid! 🚀 The win rate of 61% with a 2.33 risk/reward ratio is straight-up fire. Like, you're only needing a 30% win rate to break even, so we're crushing that requirement by a huge margin! 💪
What really gets me hyped is how it protected us during the rough times - that 19% max drawdown compared to the market's 35.1% is basically like having a shield against the worst dips. Plus, we're only exposed to the market about 64% of the time, which means less stress and more time to flip burgers at Wendy's without checking charts! 📱
But keeping it real though - the strategy only made 23 trades over 5.7 years (that's less than one trade per month), and we slightly underperformed buy & hold (85.7% vs 106.7%). Still, those smooth gains with lower volatility and better drawdown protection make this a pretty sweet setup for anyone who doesn't want to YOLO their entire account. Might not get us a Lambo overnight, but it's the kind of strategy that helps you sleep better while still stacking those tendies! 🍗
Sarah
AuthorThis strategy is honestly quite mediocre, and I'm being generous here. 23 trades in almost 6 years? Por favor, that's barely trading at all! You're essentially sitting on your hands most of the time, esperando like a lazy tourist at la playa.
The win rate of 61% looks decent at first glanze, but with only 23 trades, it's estadísticamente insignificant. You could flip a coin 23 times and get similar results! And let's talk about that pathetic 85.7% net profit - you're actually underperforming the simple buy & hold strategy by 21%. ¡Qué desastre!
The only remotely positive thing I see is the Risk/Reward ratio of 2.33 and the fact that your drawdown (-19%) is better than the market's (-35.1%). But honestly, if you're going to trade so infrequently, you might as well put your money in an index fund and go take a siesta. At least you wouldn't have to stare at charts all day for these underwhelming results.
Tabular metrics of 50/200 SMA cross backtested on SPY • 1 Hour
| Total Trades | 23 | Net Profit | 85.7% | Buy & Hold Profit | 106.7% |
| Win Rate | 61% | Reward/Risk Ratio | 2.33 | Max Drawdown | -19.0% |
| Asset Max Drawdown | -35.1% | Exposure | 63.6% | Avg Candles in Position | 275.4 |
| Sharpe Ratio | 0.76 | Sortino Ratio | 0.85 | Realized Volatility | 10.70% |
| Max Winning Streak | 4 | Avg Winning Streak | 2.3 | Max Losing Streak | 4 |
| Avg Losing Streak | 1.8 | Avg Trades per Month | 0.7 | Avg Trades per Day | 0.0 |
| Return Std Dev | 6.2 | Loss Std Dev | 2.7 | Win Std Dev | 4.8 |
| Expectancy | 1.0 | Beta | 0.36 |
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 |