50/200 SMA crosslongResultados de Backtest @ SPY • 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 SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 23 posiciones, con una tasa de ganancia promedio de 61% y una relación riesgo-recompensa de 2.33. Si asumes que la relación riesgo-recompensa de 2.33 se mantiene, necesitas una tasa de ganancia mínima de 30.0 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 23 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 85.70% vs 106.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -19.00% vs -35.10% para el activo
- Exposición: Exposición: 63.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 61.0%, vs 30.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.33
Con esa exposición en mente, puedes ver que para 64% tiempo-en-mercado, obtienes 80.32% del potencial alcista del activo, y 54.13% 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 @ SPY • 1 Hour (85.7%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results for this 50/200 SMA cross strategy show some interesting characteristics, but I have few concerns about its statistical significance.
The sample size of only 23 trades over 5.7 years is quite small for making solid statistical conclusions. While the win rate of 61% and risk/reward ratio of 2.33 look good on paper, with such few trades these numbers could be heavily influenced by random chance. The strategy produces less than 1 trade per month, which makes it difficult to achieve statistical significance even over longer periods.
What I find positive is the relatively good protection against drawdowns - the strategy's max drawdown of -19% compared to the asset's -35.1% shows it does provide some downside protection. The market exposure of 63.6% also suggests it stays out of particularly volatile periods. However, the strategy underperforms buy & hold (85.7% vs 106.7%), which is not optimal for such a long timeframe. The Sharpe ratio of 0.76 is also below what I would consider attractive for a long-term investment strategy.
I would want to see this strategy tested on different timeframes and perhaps with modified parameters to ensure it's not overfitted to this specific period. The low trade frequency makes me skeptical about its robustness across different market conditions.
Mike
AutorYo fam, this 50/200 SMA cross strategy on SPY is looking pretty solid! 🚀 The win rate of 61% with a 2.33 risk/reward ratio is straight-up fire. Like, you're only needing a 30% win rate to break even, so we're crushing that requirement by a huge margin! 💪
What really gets me hyped is how it protected us during the rough times - that 19% max drawdown compared to the market's 35.1% is basically like having a shield against the worst dips. Plus, we're only exposed to the market about 64% of the time, which means less stress and more time to flip burgers at Wendy's without checking charts! 📱
But keeping it real though - the strategy only made 23 trades over 5.7 years (that's less than one trade per month), and we slightly underperformed buy & hold (85.7% vs 106.7%). Still, those smooth gains with lower volatility and better drawdown protection make this a pretty sweet setup for anyone who doesn't want to YOLO their entire account. Might not get us a Lambo overnight, but it's the kind of strategy that helps you sleep better while still stacking those tendies! 🍗
Sarah
AutorThis strategy is honestly quite mediocre, and I'm being generous here. 23 trades in almost 6 years? Por favor, that's barely trading at all! You're essentially sitting on your hands most of the time, esperando like a lazy tourist at la playa.
The win rate of 61% looks decent at first glanze, but with only 23 trades, it's estadísticamente insignificant. You could flip a coin 23 times and get similar results! And let's talk about that pathetic 85.7% net profit - you're actually underperforming the simple buy & hold strategy by 21%. ¡Qué desastre!
The only remotely positive thing I see is the Risk/Reward ratio of 2.33 and the fact that your drawdown (-19%) is better than the market's (-35.1%). But honestly, if you're going to trade so infrequently, you might as well put your money in an index fund and go take a siesta. At least you wouldn't have to stare at charts all day for these underwhelming results.
Métricas tabulares de 50/200 SMA cross sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 23 | Beneficio Neto | 85.7% | Beneficio Compra y Mantén | 106.7% |
| Tasa de Ganancia | 61% | Ratio Riesgo/Recompensa | 2.33 | Máximo Drawdown | -19.0% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 63.6% | Promedio de Velas en Posición | 275.4 |
| Ratio de Sharpe | 0.76 | Ratio de Sortino | 0.85 | Volatilidad Realizada | 10.70% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 2.3 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 1.8 | Promedio de Operaciones por Mes | 0.7 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 6.2 | Desv. Est. de la Pérdida | 2.7 | Desv. Est. de la Ganancia | 4.8 |
| Expectativa | 1.0 | Beta | 0.36 |
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 |