50/200 SMA crosslongResultados de Backtest @ SPY • 10 Minutes
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 12.6 months de datos SPY • 10 Minutes (SPDR S&P 500), desde June 28, 2024 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 12.6 months de velas SPY • 10 Minutes. Este backtest resultó en 29 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.89. Si asumes que la relación riesgo-recompensa de 1.89 se mantiene, necesitas una tasa de ganancia mínima de 34.6 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 29 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 6.60% vs 14.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -13.40% vs -20.70% para el activo
- Exposición: Exposición: 59.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 34.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.89
Con esa exposición en mente, puedes ver que para 60% tiempo-en-mercado, obtienes 46.15% del potencial alcista del activo, y 64.73% del potencial bajista del activo.
50/200 SMA cross: entrar en una posición cuando
All of the following: # "Papa" 10min Simple Moving Average (50, 0, close) Crosses ↗ 10min Simple Moving Average (200, 0, close)
50/200 SMA cross: salir de una posición cuando
All of the following: # "India" 10min Simple Moving Average (50, 0, close) Crosses ↘ 10min Simple Moving Average (200, 0, close)
50/200 SMA cross @ SPY • 10 Minutes (6.6%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some concerning patterns for this classic SMA crossover strategy. The Win Rate of 41% with Risk/Reward of 1.89 looks mathematically viable, but I'm not convinced about its real-world applicability.
The strategy underperforms buy & hold significantly (6.6% vs 14.3%) while still exposing you to significant drawdowns (-13.4%). What worries me most is the low trading frequency - only 29 trades over 12.6 months means we don't have enough statistical significance to trust these numbers. The average trade duration of 205 candles also suggests the strategy is quite slow to react to market changes, which explains the underperformance in volatile periods.
I must say though, the risk metrics are not completely terrible - Beta of 0.34 shows good market independence, and the drawdown is better than the overall market (-13.4% vs -20.7%). But with such low Sharpe (0.36) and Sortino (0.47) ratios, I would not recommend trading this without significant modifications. Perhaps adding momentum filters or optimizing the SMA periods could improve the results, but in its current form, the strategy needs more work to be viable.
Mike
AutorYo fam, let me break down this 50/200 SMA cross strategy on SPY! 🚀
Looking at these numbers, it's giving me some mixed vibes tbh. The strategy's got a decent risk/reward ratio of 1.89 and that win rate leeway is absolutely bonkers at 4065% above the minimum - that's some serious cushioning! 💪 Plus, those average wins are nearly double the size of average losses, which is pretty sweet.
But here's the thing bros - we're only catching about 46% of the market's total gains (6.6% vs 14.3% buy & hold), and that 41% win rate could definitely be better. The max drawdown of -13.4% is actually not too shabby compared to the asset's -20.7%, so we're managing risk decent enough. Market exposure at 59.9% means we're staying safe during choppy times, which I dig. 🏄♂️
Overall, this strategy isn't exactly YOLO material, but it could be a solid base to build on. Maybe add some momentum indicators or volume confirmation to boost that win rate? I'd probably throw a small portion of my Wendy's checks at this while I keep tweaking it. Just remember, past performance doesn't guarantee future tendies! 🍗
Sarah
AutorMadre mía, this is one of the most mediocre strategies I have seen in my career! Let me tell you why this is basically throwing money into garbage.
First, your win rate is pathetic - only 41%! Even though your Risk/Reward ratio of 1.89 technically makes this mathematically viable, you're basically hoping to catch big winners while accepting frequent losses. This is mentally exhausting and most traders would break down psychologically before seeing any real profits.
The performance is embarassing - 6.6% net profit when buy & hold gave 14.3%? ¡Qué desastre! You're basically paying commission fees and spending time to make HALF of what you could make by simply buying and forgetting. The Sharpe ratio of 0.36 is terrible - you're taking on risk without adequate compensation.
The only somewhat decent thing here is your Win Rate Leeway being positive, but honestly, that's like being proud of getting a D- instead of failing completely. The strategy produces very few trades (only 29 in over a year!) which means your sample size is too small to be statistically meaningful.
¡Por favor! Do yourself a favor and either stick to buy & hold or develop something that actually adds value instead of destroying it. This strategy belongs in the trash bin.
Métricas tabulares de 50/200 SMA cross sometido a backtest en SPY • 10 Minutes
| Total de Operaciones | 29 | Beneficio Neto | 6.6% | Beneficio Compra y Mantén | 14.3% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.89 | Máximo Drawdown | -13.4% |
| Máximo Drawdown del Activo | -20.7% | Exposición | 59.9% | Promedio de Velas en Posición | 205.7 |
| Ratio de Sharpe | 0.36 | Ratio de Sortino | 0.47 | Volatilidad Realizada | 10.65% |
| Racha Máxima de Ganancia | 2 | Racha Promedio de Ganancia | 1.3 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 4.6 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 2.1 | Desv. Est. de la Pérdida | 1.2 | Desv. Est. de la Ganancia | 1.2 |
| Expectativa | 0.2 | Beta | 0.34 |
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 |