50/200 SMA crosslongResultados de Backtest @ GLD • 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 38 days de datos GLD • 1 Minute (SPDR Gold Trust), desde June 3, 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 38 days de velas GLD • 1 Minute. Este backtest resultó en 33 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 2.49. Si asumes que la relación riesgo-recompensa de 2.49 se mantiene, necesitas una tasa de ganancia mínima de 28.6 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 33 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.70% vs 0.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.50% vs -5.50% para el activo
- Exposición: Exposición: 51.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 28.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.49
Con esa exposición en mente, puedes ver que para 52% tiempo-en-mercado, obtienes Infinity% del potencial alcista del activo, y 45.45% 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 @ GLD • 1 Minute (1.7%) explicado por Alex C, Sarah
Alex C
AutorThis backtest shows some interesting metrics, but I have concerns about the statistical significance. With only 33 trades over 38 days, we cannot be too confident about the stability of these numbers going forward.
The risk/reward ratio of 2.49 looks quite good, and the strategy only needs 28.7% win rate to be profitable - which it achieves with 36%. However, what worries me is the 8-trade losing streak. Such a long drawdown sequence could be psychologically challenging for most traders, even though the individual losses are relatively small at -0.20%. The market exposure of 51.9% suggests this is not overly aggressive in terms of time in the market.
I would recommend running this backtest over a much longer timeframe, ideally 6-12 months minimum, to get more trades and better statistical validity. Also, testing it on different market conditions would be wichtig - we need to see how it performs in both trending and sideways markets. Right now the sample size is too small to make strong conclusions, even though the basic metrics look promising.
Sarah
AutorMadre mia, another one of these SMA crossing strategies! Let me tell you something - this is mediocre at best, and I'm being generous here.
36% win rate? Dios mio, you're losing almost two-thirds of your trades! Yes, yes, I can see the Risk/Reward ratio is 2.49, which technically makes it matematically viable, but an 8-trade losing streak? That's going to destroy most traders mentally before they ever see any real profits. The max drawdown of -2.5% doesn't look terrible, but with such poor win rate, it's probably just luck of the backtest period.
The most concerning thing - and this shows how amateur this approach is - you're testing this on 1-minute timeframe with just 38 days of data! This is like trying to predict the weather for next year by looking at what happened last month. And GLD? Por favor, gold futures are notorious for their fake breakouts, and you're trying to catch them with simple moving averages? That's like trying to catch butterflies with a fishing net!
Métricas tabulares de 50/200 SMA cross sometido a backtest en GLD • 1 Minute
| Total de Operaciones | 33 | Beneficio Neto | 1.7% | Beneficio Compra y Mantén | 0.0% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 2.49 | Máximo Drawdown | -2.5% |
| Máximo Drawdown del Activo | -5.5% | Exposición | 51.9% | Promedio de Velas en Posición | 156.2 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.3 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 52.1 | Promedio de Operaciones por Día | 1.7 |
| Desv. Est. del Retorno | 0.5 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.3 | Beta | 0.44 |
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 |