50/200 SMA crosslongResultados de Backtest @ TSLA • 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 TSLA • 1 Hour (Tesla, Inc.), 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 TSLA • 1 Hour. Este backtest resultó en 27 posiciones, con una tasa de ganancia promedio de 56% y una relación riesgo-recompensa de 6.04. Si asumes que la relación riesgo-recompensa de 6.04 se mantiene, necesitas una tasa de ganancia mínima de 14.2 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 27 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 2930.20% vs 1395.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -38.70% vs -75.10% para el activo
- Exposición: Exposición: 54.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 56.0%, vs 14.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 6.04
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 209.97% del potencial alcista del activo, y 51.53% 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 @ TSLA • 1 Hour (2930.2%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results for the 50/200 SMA cross strategy on TSLA look mathematically promising, but I have some concerns about the statistical significance.
The strategy shows impressive net profit of 2930.2% over 5.7 years, outperforming buy & hold by more than 2x. The risk metrics are decent - Sharpe ratio of 1.09 indicates acceptable risk-adjusted returns, although the max drawdown of 38.7% is quite substantial. What worries me most is the low sample size of only 27 trades over 5.7 years (0.8 trades per month). This makes the statistical validity questionable, since we need more trades to prove the edge is not just luck.
The win rate of 56% combined with the excellent risk/reward ratio of 6.04 suggests the strategy is mathematically viable, given the minimal required win rate is only 14.2%. However, the average time in position of 201 candles (about 8.4 days) means high exposure to overnight risk. I would recommend running Monte Carlo simulations with different market conditions to test robustness. Also, the strategy performance seems to deteriorate in recent periods based on the CAGR numbers, which could indicate the edge is weakening.
Sarah
AutorMadre mía, what a mess of a strategy! Let me tell you exactly why this is problematic.
First of all, only 27 trades in 5.7 years? That's ridiculously low - we're talking about less than 1 trade per month! This is not a strategy, this is basically waiting for Godot. The sample size is so small that any statistical conclusion is about as reliable as my ex-boyfriend's promises.
Yes, the numbers look fancy - 2930% profit, 56% win rate, impressive R/R ratio of 6.04. But let's be real here - with such few trades, these metrics are basically meaningless. One or two random trades could completely change everything. The strategy is basically gambling with extra steps.
The most concerning thing is that 38.7% drawdown. Do you have the stomach to watch your account drop by almost 40%? And this is during a backtest - in real life, it could be much worse! The volatility metrics are through the roof too - 40.23% realized volatility? That's not trading, that's riding a mechanical bull blindfolded.
Look, if you want to throw your money away, there are more entertaining ways to do it. This strategy needs serious work - either find a way to generate more signals or go back to the drawing board. And por favor, don't tell me you're planning to trade this with real money!
Métricas tabulares de 50/200 SMA cross sometido a backtest en TSLA • 1 Hour
| Total de Operaciones | 27 | Beneficio Neto | 2930.2% | Beneficio Compra y Mantén | 1395.5% |
| Tasa de Ganancia | 56% | Ratio Riesgo/Recompensa | 6.04 | Máximo Drawdown | -38.7% |
| Máximo Drawdown del Activo | -75.1% | Exposición | 54.6% | Promedio de Velas en Posición | 201.1 |
| Ratio de Sharpe | 1.09 | Ratio de Sortino | 0.67 | Volatilidad Realizada | 40.23% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 2 |
| Racha Promedio de Pérdida | 1.3 | Promedio de Operaciones por Mes | 0.8 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 32.6 | Desv. Est. de la Pérdida | 4.6 | Desv. Est. de la Ganancia | 33.8 |
| Expectativa | 2.9 | 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 |