50/200 SMA crosslongResultados de Backtest @ GLD • 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 5.7 years de datos GLD • 1 Hour (SPDR Gold Trust), desde October 25, 2019 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 5.7 years de velas GLD • 1 Hour. Este backtest resultó en 33 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 3.02. Si asumes que la relación riesgo-recompensa de 3.02 se mantiene, necesitas una tasa de ganancia mínima de 24.9 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: 35.80% vs 117.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -26.60% vs -22.20% para el activo
- Exposición: Exposición: 59.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 24.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.02
Con esa exposición en mente, puedes ver que para 60% tiempo-en-mercado, obtienes 30.44% del potencial alcista del activo, y 119.82% 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 @ GLD • 1 Hour (35.8%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results from this SMA cross strategy on GLD show some interesting characteristics, but I am not very convinced about its reliability. The strategy's performance metrics raise several red flags that we should discuss.
First, let's look at the positive aspects. The Risk/Reward ratio of 3.02 is quite good, and with a win rate of 36% against a minimal required win rate of 24.9%, the strategy has a healthy margin. But here comes the problem: With only 33 trades over 5.7 years (0.9 trades per month), we have a very small sample size. This makes the statistical significance of these metrics questionable, as one would need at least 100 trades to make reliable conclusions.
The strategy's underperformance compared to buy & hold (35.8% vs 117.6%) is concerning, especially considering the negative Sharpe (-0.05) and Sortino (-0.07) ratios. The maximum drawdown of -26.6% is also quite high relative to the total return. These numbers suggest that the risk-adjusted returns are not optimal, and the strategy might not be worth the effort compared to simpler approaches.
Mike
AutorYo fam, let me break down this SMA cross strategy on GLD! 🚀 The numbers are actually pretty interesting, even though it's not exactly a moonshot.
The strategy's giving us a solid Risk/Reward ratio of 3.02, which is straight fire 🔥! With a 36% win rate and that R/R, we're actually crushing the minimal required win rate by a huge margin - that's like getting extra tendies with your Wendy's order! Even though we're only winning about a third of our trades, when we win, we win BIG (7.05% average wins vs -2.33% average losses).
But here's the thing bros - we're only getting like 1 trade per month, and the overall performance (35.8% over 5.7 years) is trailing behind buy & hold (117.6%). That -26.6% max drawdown is also kinda scary ngl. The negative Sharpe and Sortino ratios are telling us this might not be the smoothest ride to Lambo-land. 📉
I'd say this strategy isn't completely terrible, but it might need some tweaking before I'd YOLO my entire paycheck into it. Maybe adding some filters or optimizing those SMA periods could juice up those returns! 💪 Still, that R/R ratio is making my diamond hands tingle! 💎🙌
Sarah
AutorThis strategy is a complete disaster, and I can't believe anyone would even consider trading it. Let me tell you why, mi amigo, and please don't take it personal.
First of all, the strategy significantly underperforms buy & hold - 35.8% vs 117.6%. That's embarrasing! You're basically losing money by trying to be clever instead of just buying and holding. The win rate is pathetic at 36%, meaning you're losing almost two-thirds of your trades. Even though your Risk/Reward looks decent at 3.02, it's clearly not enough to compensate for such terrible accuracy.
The most concerning thing, que horror, is those risk metrics. Negative Sharpe and Sortino ratios? That means you're not even being compensated for the risk you're taking. And that -26.6% drawdown is just waiting to destroy your account. The strategy only makes 0.9 trades per month - you might as well go to casino, at least they give you free drinks while you lose your money!
Look, if you want to keep throwing money away, be my guest. But this simple moving average crossover strategy is exactly what amateur traders use before they blow up their accounts. Either completely redesign it or find something else to trade. And por favor, do proper testing next time!
Métricas tabulares de 50/200 SMA cross sometido a backtest en GLD • 1 Hour
| Total de Operaciones | 33 | Beneficio Neto | 35.8% | Beneficio Compra y Mantén | 117.6% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 3.02 | Máximo Drawdown | -26.6% |
| Máximo Drawdown del Activo | -22.2% | Exposición | 59.8% | Promedio de Velas en Posición | 180.3 |
| Ratio de Sharpe | -0.05 | Ratio de Sortino | -0.07 | Volatilidad Realizada | 11.46% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.3 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 0.9 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 5.7 | Desv. Est. de la Pérdida | 1.2 | Desv. Est. de la Ganancia | 5.5 |
| Expectativa | 0.5 | Beta | 0.66 |
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 |