50/200 SMA crosslongResultados de Backtest @ SPY • 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 SPY • 1 Minute (SPDR S&P 500), 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 SPY • 1 Minute. Este backtest resultó en 27 posiciones, con una tasa de ganancia promedio de 33% y una relación riesgo-recompensa de 2.28. Si asumes que la relación riesgo-recompensa de 2.28 se mantiene, necesitas una tasa de ganancia mínima de 30.5 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 27 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.50% vs 4.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.50% vs -2.10% para el activo
- Exposición: Exposición: 59.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 33.0%, vs 30.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.28
Con esa exposición en mente, puedes ver que para 60% tiempo-en-mercado, obtienes 10.87% del potencial alcista del activo, y 119.05% 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 @ SPY • 1 Minute (0.5%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results for this SMA cross strategy show some interesting characteristics, but I am not completely convinced of its robustness.
The strategy shows a positive expectancy of 0.1 and a good risk/reward ratio of 2.28, which is actually quite nice. However, the win rate of only 33% is concerning, even though it is above the minimal required win rate. The maximum losing streak of 6 trades could be psychologically challenging for many traders. Also the net profit of 0.5% versus a buy & hold profit of 4.6% is not really impressing me.
What worries me most is the relatively small sample size of only 27 trades over 38 days. This is statisticaly not very significant to make reliable conclusions about the strategy's performance. I would want to see at least 100 trades, better 200+ trades to have more statistical confidence. The market exposure of 59.9% suggests the strategy misses significant portions of the market moves, which explains the underperformance versus buy & hold. I would recommend backtesting this over a much longer timeframe, maybe 6-12 months minimum, to get more meaningful results.
Mike
AutorYo fam, let me break down this SMA cross strategy! 📊💯
This backtest is giving off some interesting vibes. That 33% win rate might look kinda low at first, but check this out - when we win, we're winning bigger than we're losing (2.28 risk/reward ratio)! That's actually pretty sick, and explains why we're still profitable despite more losing trades than winners. Plus that 32.7% win rate leeway is straight fire - means the strategy has some serious breathing room! 🔥
Here's what's got me a bit concerned though. We're only catching about half of that buy & hold return (0.5% vs 4.6%), and that max losing streak of 6 trades could be rough on the mental game. The market exposure at 60% tells me we're missing some moves too. Not gonna lie, that -2.5% max drawdown isn't terrible, but it's something to watch. 👀
Overall, I'd say this strategy has potential but might need some tweaking. Maybe we could add some filters to catch better quality signals? I'm thinking about running this with some volume confirmation or maybe during specific market hours. Not a YOLO play yet, but definitely something to build on! 💪 What do you think about adding some extra sauce to make it pop? 🚀
Sarah
AutorOh dios mío, this is one of the most mediocre backtest results I have seen in my career! Let me tell you why this strategy is basically garbage.
First, your win rate is pathetic - only 33%! Even though your Risk/Reward ratio is decent at 2.28, you're barely scraping by with a miserable 0.5% net profit while the market gave you 4.6% on a silver plate! You're literally underperforming a simple buy and hold by 9 times. This is embarassing!
Look at those losing streaks - 6 losses in a row! Are you mentally prepared to handle that kind of punishment? And your market exposure is almost 60% - you're taking all that risk for what? To make less money than someone who just bought and forgot about it?
The only slightly positive thing here is your win rate leeway being healthy, but that's like saying "congratulations, your terrible strategy is consistently terrible". Listen, if you want to throw away money, there are faster ways to do it than trading this nonsense. Either completely redesign this strategy or save yourself the trouble and just buy an index fund.
Métricas tabulares de 50/200 SMA cross sometido a backtest en SPY • 1 Minute
| Total de Operaciones | 27 | Beneficio Neto | 0.5% | Beneficio Compra y Mantén | 4.6% |
| Tasa de Ganancia | 33% | Ratio Riesgo/Recompensa | 2.28 | Máximo Drawdown | -2.5% |
| Máximo Drawdown del Activo | -2.1% | Exposición | 59.9% | Promedio de Velas en Posición | 220.7 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 2 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 3.0 | Promedio de Operaciones por Mes | 42.6 | Promedio de Operaciones por Día | 1.4 |
| Desv. Est. del Retorno | 0.5 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.1 | Beta | 0.43 |
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 |