50/200 SMA crosslongBacktest Results @ GLD • Daily
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 20.7 years of GLD • Daily (SPDR Gold Trust) data, from November 18, 2004 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 20.7 years of GLD • Daily candles. This backtest resulted in 13 positions, with the average win rate of 46% and reward-risk ratio of 6.39. If you assume that 6.39 reward-to-risk ratio holds, you need a minimum win rate of 13.5 to be profitable. So you're looking good so far. However, 13 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: 242.90% vs 595.10% for the asset
- Max Drawdown: Max Drawdown: -36.40% vs -45.30% for the asset
- Exposure: Exposure: 60.70% time in the market
- Win Rate: Win Rate: 46.0%, vs 13.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 6.39
With that exposure in mind, you can tell that for 61% time-in-market, you get 40.82% of the asset upside potential, and 80.35% of the asset downside potential.
50/200 SMA cross: enter a position when
All of the following: # "Papa" D Simple Moving Average (50, 0, close) Crosses ↗ D Simple Moving Average (200, 0, close)
50/200 SMA cross: exit a position when
All of the following: # "India" D Simple Moving Average (50, 0, close) Crosses ↘ D Simple Moving Average (200, 0, close)
50/200 SMA cross @ GLD • Daily (242.9%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorZe backtest results show some interesting patterns, but I have concerns about ze statistical significance. With only 13 trades over 20.7 years, zat's far too few trades to make reliable conclusions. Ze mathematics simply don't support robust statistical analysis with such a small sample size.
Ze risk metrics are not looking optimal. Ze Sharpe ratio of 0.17 is quite poor - we typically want to see at least 0.5 for a viable strategy, preferably above 1.0. Ze max drawdown of 36.4% is also concerning, especially since ze strategy significantly underperformed buy & hold (242.9% vs 595.1%). However, ze Risk/Reward ratio of 6.39 and ze win rate leeway are ze bright spots in zese results.
From a pure mathematical perspective, ze strategy shows some potential but needs significant optimization. Ze low trade frequency makes it vulnerable to sampling error and ze high drawdown suggests insufficient risk management. I would recommend testing additional parameters to increase ze trade frequency while maintaining ze positive expectancy. Perhaps adjusting ze moving average periods or adding additional filters could improve ze results.
Mike
AuthorYo fam, this 50/200 SMA cross strategy on GLD is giving me some mixed vibes! 🤔
The good stuff first - when this thing wins, it wins BIG with an average win of nearly 34% compared to average losses of just -5.3%. That's a juicy 6.39 risk/reward ratio! Plus that 45.86% win rate leeway is straight fire 🔥 - means we've got tons of breathing room above the minimum win rate needed to stay profitable.
But here's where it gets kinda sus - only 13 trades over 20 years is super low volume, fam. That's like one trade every year and a half 📊. Also got clapped with a -36.4% max drawdown, which would have me sweating behind the Wendy's grill fr fr. And that 46% win rate, while workable with the good R/R, still means we're losing more often than winning.
I might use this as part of a larger strategy portfolio since it can catch some monster moves when it works. But wouldn't YOLO my whole paycheck on this alone - need more frequent trading opportunities to keep the tendies flowing! 💎🙌
Sarah
AuthorMadre de Dios, this strategy is like watching paint dry! Only 13 trades in 20 years? Are you planning to trade or hibernate?
Look, the metrics might look fancy with that 6.39 risk/reward ratio, but let's be real - you're basically catching 6 lucky breaks while sleeping through most of the market moves. The Buy & Hold strategy crushed your performance by more than double (595% vs your measly 242%). That's embarassing!
The win rate is pathetic at 46%, and you had a losing streak of 4 trades? With so few trades, that must have felt like pure torture! And that -36.4% drawdown... mi corazón! The exposure is only 60.7% which means you're missing out on a lot of potential gains while paying your broker to do basically nothing.
The only slightly positive thing here is the Win Rate Leeway being decent, but that's like having a great swimming pool in the middle of Sahara - completely useless in the grand scheme of things. If you want to actually make money in the markets, you need something more dynamic than this dinosaur of a strategy. This is not trading, this is financial siesta!
Tabular metrics of 50/200 SMA cross backtested on GLD • Daily
| Total Trades | 13 | Net Profit | 242.9% | Buy & Hold Profit | 595.1% |
| Win Rate | 46% | Reward/Risk Ratio | 6.39 | Max Drawdown | -36.4% |
| Asset Max Drawdown | -45.3% | Exposure | 60.7% | Avg Candles in Position | 241.3 |
| Sharpe Ratio | 0.17 | Sortino Ratio | 0.50 | Realized Volatility | 10.57% |
| Max Winning Streak | 2 | Avg Winning Streak | 1.5 | Max Losing Streak | 4 |
| Avg Losing Streak | 2.3 | Avg Trades per Month | 0.1 | Avg Trades per Day | 0.0 |
| Return Std Dev | 28.5 | Loss Std Dev | 3.4 | Win Std Dev | 30.6 |
| Expectancy | 2.4 | Beta | 0.56 |
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 |