50/200 SMA crosslongResultados de Backtest @ WMT • 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 WMT • 1 Minute (Walmart Inc.), 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 WMT • 1 Minute. Este backtest resultó en 28 posiciones, con una tasa de ganancia promedio de 29% y una relación riesgo-recompensa de 2.35. Si asumes que la relación riesgo-recompensa de 2.35 se mantiene, necesitas una tasa de ganancia mínima de 29.9 para ser rentable. ¡Así que estás jodido! Sin embargo, 28 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 -5.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -3.90% vs -6.40% para el activo
- Exposición: Exposición: 40.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 29.0%, vs 29.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.35
Con esa exposición en mente, puedes ver que para 41% tiempo-en-mercado, obtienes 9.26% del potencial alcista del activo, y 60.94% 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 @ WMT • 1 Minute (-0.5%) explicado por Alex C, Mike
Alex C
AutorThese backtest results are interesting, but I see some warning flags that make me sceptical of this strategy. Let me explain why from mathematical perspective.
The win rate of 29% is quite low, even though the risk/reward ratio of 2.35 technically makes it viable. What concerns me most is the maximum losing streak of 11 trades - this indicates high probability of significant drawdowns, which the data confirms with -3.9% max drawdown. For a simple moving average crossover system, these metrics suggest the strategy might be catching too much noise on the 1-minute timeframe.
From statistical viewpoint, 28 total trades is too small sample size to make reliable conclusions. We need minimum 100 trades ideally to have statistical significance. The market exposure of 40.6% suggests the strategy is quite selective with entries, which is good, but combined with the low sample size makes me doubtful about the robustness of these results. I would recommend extending the backtest period or adjusting the parameters to generate more trading signals for proper validation.
Mike
AutorYo fam, this 50/200 SMA cross strategy on WMT is giving me some mixed vibes! 🤔
The strategy actually beat buy & hold by nearly 5% (-0.5% vs -5.4%), which is kinda lit considering the bearish market we're looking at. Plus that 40.6% market exposure means we're not stuck holding through all the dumps! 📉 That's some smart money moves right there.
But ngl, that 29% win rate is making me a bit nervous fam. Even though we're getting bigger wins than losses (0.76% wins vs -0.32% losses), that 11-trade losing streak could shake out paper hands real quick! 💎🙌 Still, the strategy's win rate leeway is insanely good at 2870% above minimal required - that's some serious cushion for when things get rough. And that -3.9% max drawdown is way better than the asset's -6.4%, so we're definitely managing risk better than just HODLing! Not quite Lambo money yet, but definitely better than my usual Wendy's plays 😅
Métricas tabulares de 50/200 SMA cross sometido a backtest en WMT • 1 Minute
| Total de Operaciones | 28 | Beneficio Neto | -0.5% | Beneficio Compra y Mantén | -5.4% |
| Tasa de Ganancia | 29% | Ratio Riesgo/Recompensa | 2.35 | Máximo Drawdown | -3.9% |
| Máximo Drawdown del Activo | -6.4% | Exposición | 40.6% | Promedio de Velas en Posición | 144.0 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 4.0 | Promedio de Operaciones por Mes | 44.2 | Promedio de Operaciones por Día | 1.5 |
| Desv. Est. del Retorno | 0.7 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.9 |
| Expectativa | -0.0 | Beta | 0.38 |
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 |