50/200 SMA crosslongResultados de Backtest @ EURUSD • 1 Minute
La estrategia de Cruce de Medias Móviles utiliza dos medias móviles de diferentes períodos para generar señales de compra y venta. Aproxima la idea de un mercado en tendencia usando 2 SMAs, una SMA corta y rápida (50) y otra SMA larga y lenta (200). Compra cuando una SMA corta (50) cruza hacia arriba una SMA larga (200), implicando que la dirección del mercado ha cambiado. Vende cuando una SMA corta (50) cruza hacia abajo una SMA larga (200). Estas son medias móviles bastante largas, lo que significa que esta estrategia está naturalmente destinada a capturar movimientos más grandes, y por lo tanto podría no ser adecuada para marcos de tiempo cortos. ¡Pero suposiciones como esa no significan nada, porque la hemos backtesteado! Compruébalo tú mismo.
Curva de Equidad
El backtest cubre 9 days de datos EURUSD • 1 Minute (Euro vs USD spot (Interactive Brokers)), desde July 2, 2025 hasta July 11, 2025.
La curva de equidad es el rendimiento de la estrategia a lo largo del tiempo. Debes compararla con el rendimiento de Compra y Mantén del activo. En general, quieres que el área azul esté bien por encima del área gris.
El drawdown es cuántas pérdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico más alto de equidad. Compara esto con el drawdown del activo para ver si tu estrategia hace un trabajo decente de aislarte de la volatilidad bajista. En general, el área roja debe estar bien dentro del área gris.
Entonces, hemos hecho backtest de 50/200 SMA cross en 9 days de velas EURUSD • 1 Minute. Este backtest resultó en 20 posiciones, con una tasa de ganancia promedio de 20% y una relación riesgo-recompensa de 1.13. Si asumes que la relación riesgo-recompensa de 1.13 se mantiene, necesitas una tasa de ganancia mínima de 47.0 para ser rentable. ¡Así que estás jodido! Sin embargo, 20 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -1.10% vs -1.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.20% vs -1.20% para el activo
- Exposición: Exposición: 60.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 20.0%, vs 47.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.13
Con esa exposición en mente, puedes ver que para 61% tiempo-en-mercado, obtienes 110.00% del potencial alcista del activo, y 100.00% del potencial bajista del activo.
50/200 SMA cross: entrar en una posición cuando
All of the following: # "Papa" 1min Simple Moving Average (50, 0, close) Crosses ↗ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross: salir de una posición cuando
All of the following: # "India" 1min Simple Moving Average (50, 0, close) Crosses ↘ 1min Simple Moving Average (200, 0, close)
50/200 SMA cross @ EURUSD • 1 Minute (-1.1%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some serious problems with this SMA cross strategy. Let me tell you why I think this is not good for trading.
First of all, the win rate of 20% is terrible - only 4 winning trades out of 20 total trades. Even though the Risk/Reward ratio is slightly positive at 1.13, this can't compensate for such a low win rate. A strategy needs at least 46.9% win rate to be profitable with this R/R ratio, but we are far away from that. That's mathematically impossible to be profitable in the long run.
The second big problem I see is the high frequency of trades - 4.4 trades per day on average. With such high frequency and low win rate, you will just slowly bleed your account dry through death by thousand cuts. The average losing streak of 3.2 trades and maximum losing streak of 6 trades would be psychologically very difficult to handle, even if you would trade with perfect discipline which most people don't have.
I must say, as someone who believes in mathematical validation, this strategy should not be traded live. The negative expectancy of -0.6 means you are expected to lose money over time. While the drawdown of -1.2% doesn't look dramatic, remember this is just from 9 days of testing. Over longer periods, the drawdown would likely be much worse. I would completely reject this strategy and look for something with better statistical properties.
Sarah
AutorMadre mía, this is one of the most terrible strategies I've seen in my carrier! Let me tell you why this is complete basura.
First, your win rate is pathetic - only 20%! This means you're losing 4 trades out of 5. Even casino gives you better odds than that! And with such microscopic gains (0.11% average win vs -0.09% average loss), you're basically paying your broker to lose money. The fact that your max losing streak is 6 trades in a row should make you run away screaming.
Your net profit is -1.1%, which is even worse than if you just bought and held like a complete principiante (-1.0%). You're actively making things worse with your trading! With 60.7% market exposure, you're taking all this risk for absolutely nothing.
The only thing that looks decent is your Risk/Reward ratio of 1.13, but who cares when you're losing most of the time? This is like having a beautiful steering wheel on a car with no engine.
Mi consejo? Throw this strategy in the garbage where it belongs and start from scratch. And next time, please test your strategies properly before wasting my time with such nonsense. This is not trading, this is donating money to the market.
Métricas tabulares de 50/200 SMA cross sometido a backtest en EURUSD • 1 Minute
| Total de Operaciones | 20 | Beneficio Neto | -1.1% | Beneficio Compra y Mantén | -1.0% |
| Tasa de Ganancia | 20% | Ratio Riesgo/Recompensa | 1.13 | Máximo Drawdown | -1.2% |
| Máximo Drawdown del Activo | -1.2% | Exposición | 60.7% | Promedio de Velas en Posición | 215.1 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 1 | Racha Promedio de Ganancia | 1.0 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 3.2 | Promedio de Operaciones por Mes | 133.3 | Promedio de Operaciones por Día | 4.4 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | -0.6 | Beta | 0.75 |
Todos los backtests para 50/200 SMA cross
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
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 |