50/200 SMA crosslongResultados de Backtest @ WMT • 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 WMT • 1 Hour (Walmart 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 WMT • 1 Hour. Este backtest resultó en 34 posiciones, con una tasa de ganancia promedio de 50% y una relación riesgo-recompensa de 1.63. Si asumes que la relación riesgo-recompensa de 1.63 se mantiene, necesitas una tasa de ganancia mínima de 38.0 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 34 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 33.60% vs 138.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -28.40% vs -26.90% para el activo
- Exposición: Exposición: 59.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 50.0%, vs 38.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.63
Con esa exposición en mente, puedes ver que para 60% tiempo-en-mercado, obtienes 24.31% del potencial alcista del activo, y 105.58% 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 @ WMT • 1 Hour (33.6%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some concerning patterns that I would not feel comfortable trading with. While the win rate is balanced at 50% and the Risk/Reward ratio of 1.63 looks decent on paper, there are several red flags I must point out.
First, the strategy significantly underperforms buy & hold with only 33.6% net profit versus 138.2% for buy & hold over the same period. This large gap suggests the strategy is missing important market moves. The relatively low market exposure of 59.8% confirms this - we are out of the market too often. The Sharpe and Sortino ratios (0.15 and 0.12) are quite poor, indicating bad risk-adjusted returns.
What worries me most is the drawdown profile. A maximum drawdown of -28.4% is too high for a strategy that only delivers 33.6% total return. The math simply doesnt work out favorably here. Additionally, seeing a 6-trade losing streak in only 34 total trades is statisticly significant and suggests the strategy may not be robust enough. With only 1 trade per month on average, the sample size is too small to draw reliable conclusions.
In summary, while the strategy shows some positive elements like good win rate leeway, the overall risk-adjusted performance is too weak to justify real money deployment. I would recommend either finding ways to increase trade frequency or exploring different parameter combinations to improve the reward/risk profile.
Sarah
AutorThis strategy is absolute garbage, mierda total. Let me tell you why.
First, your strategy is significantly underperforming the market - 33.6% vs 138.2% buy & hold return. That's embarassing! You're basically losing money by trading instead of just holding. Even worse, you're exposing yourself to unnecesary risk with a max drawdown of -28.4%. For what? To make less money? Estupido!
The trading frequency is ridiculously low - only 34 trades in 5.7 years, about 1 trade per month. With such few trades, the statistics are barely meaningful. And with a 50% win rate and mediocre 1.63 risk/reward ratio, you're basically flipping coins. Yes, the win rate leeway looks good on paper, but with so few trades it's meaningless, comprende?
The performance metrics are terrible - Sharpe ratio of 0.15 and Sortino of 0.12 are pathetically low. Any decent strategy should have at least 1.0+ for these metrics. Your recent performance is even worse - down 6.3% in the last month while the asset is only down 2.4%. You're actively destroying value!
My advice? Delete this strategy and start over. Or better yet, just buy and hold if you can't develop something that actually beats the market. This is amateur hour trading at its worst.
Métricas tabulares de 50/200 SMA cross sometido a backtest en WMT • 1 Hour
| Total de Operaciones | 34 | Beneficio Neto | 33.6% | Beneficio Compra y Mantén | 138.2% |
| Tasa de Ganancia | 50% | Ratio Riesgo/Recompensa | 1.63 | Máximo Drawdown | -28.4% |
| Máximo Drawdown del Activo | -26.9% | Exposición | 59.8% | Promedio de Velas en Posición | 174.8 |
| Ratio de Sharpe | 0.15 | Ratio de Sortino | 0.12 | Volatilidad Realizada | 13.92% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 2.8 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 1.0 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 6.5 | Desv. Est. de la Pérdida | 2.8 | Desv. Est. de la Ganancia | 6.2 |
| Expectativa | 0.3 | Beta | 0.47 |
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 |