50/200 SMA crosslongResultados de Backtest @ BTCUSDT • 1 Hour
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 13.9 months de datos BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US), desde May 22, 2024 hasta July 12, 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 13.9 months de velas BTCUSDT • 1 Hour. Este backtest resultó en 37 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.24. Si asumes que la relación riesgo-recompensa de 2.24 se mantiene, necesitas una tasa de ganancia mínima de 30.9 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 37 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 36.40% vs 68.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -31.30% vs -30.60% para el activo
- Exposición: Exposición: 56.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 30.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.24
Con esa exposición en mente, puedes ver que para 56% tiempo-en-mercado, obtienes 53.37% del potencial alcista del activo, y 102.29% del potencial bajista del activo.
50/200 SMA cross: entrar en una posición cuando
All of the following: # "Papa" 60min Simple Moving Average (50, 0, close) Crosses ↗ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross: salir de una posición cuando
All of the following: # "India" 60min Simple Moving Average (50, 0, close) Crosses ↘ 60min Simple Moving Average (200, 0, close)
50/200 SMA cross @ BTCUSDT • 1 Hour (36.4%) explicado por Alex C, Mike
Alex C
AutorThe backtest results for this 50/200 SMA cross strategy show some interesting metrics, but I am having concerns about its reliability for real trading.
The strategy shows decent risk management with a good Risk/Reward ratio of 2.24 and healthy win rate leeway of 42.69%. This means theoretically you only need 30.9% win rate to be profitable, and you are achieving 43%. However, the max drawdown of -31.3% is quite concerning - this is a significant risk exposure that could be problematic in real trading scenarios. Also the strategy underperforms buy & hold by almost half (36.4% vs 68.2%), which makes me questioning if the complexity is worth it.
What really concerns me is the relatively low number of trades (only 37 over 13.9 months) combined with long losing streaks of up to 10 trades. The Sharpe ratio of 0.39 and negative Sortino ratio (-0.09) indicate poor risk-adjusted returns. From mathematical perspective, we need more trades to have statistical significance - with only 2.7 trades per month on average, the sample size is too small to make reliable conclusions about the strategy's edge. I would want to see at least 100 trades before making any definitive judgements about the strategy's viability.
Mike
AutorYo fam, let me break down this 50/200 SMA cross strategy on BTC! 🚀
First off, this strategy is giving some decent vibes with that 36.4% net profit, though it's lagging behind the buy & hold at 68.2%. But check this out - we're only exposed to the market 56% of the time, which means less stress and more time to flip burgers at Wendy's! 🍔 The risk metrics are actually pretty solid, with a 2.24 risk/reward ratio and that juicy 42.69% win rate leeway above the minimum needed.
What's really got me hyped is the winning trades averaging 5.70% gains while losses are kept to -2.55%. That's the kind of asymmetric betting I live for! 💎🙌 Yeah, the 43% win rate might look meh, but with those ratios, we're still making bank. That 10-trade losing streak is a bit scary though - gotta have diamond hands to hold through that kind of pain! The monthly performance is looking pretty fire too, especially that 12.6% in just the last month. 📈
Overall, this strategy isn't going to make us millionaires overnight, but it's got some serious potential for steady gains while keeping our risk in check. Just need to size those positions right and maybe we can upgrade from the dollar menu to the Baconator combo! 🎯
Métricas tabulares de 50/200 SMA cross sometido a backtest en BTCUSDT • 1 Hour
| Total de Operaciones | 37 | Beneficio Neto | 36.4% | Beneficio Compra y Mantén | 68.2% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.24 | Máximo Drawdown | -31.3% |
| Máximo Drawdown del Activo | -30.6% | Exposición | 56.2% | Promedio de Velas en Posición | 150.8 |
| Ratio de Sharpe | 0.39 | Ratio de Sortino | -0.09 | Volatilidad Realizada | 30.66% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 2.7 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 3.5 | Promedio de Operaciones por Mes | 5.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 6.3 | Desv. Est. de la Pérdida | 1.6 | Desv. Est. de la Ganancia | 7.1 |
| Expectativa | 0.4 | Beta | 0.5 |
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 |