50/200 SMA crosslongResultados de Backtest @ EURUSD • Daily
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 9.6 years de datos EURUSD • Daily (Euro vs USD spot (Interactive Brokers)), desde December 2, 2015 hasta July 10, 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 9.6 years de velas EURUSD • Daily. Este backtest resultó en 7 posiciones, con una tasa de ganancia promedio de 71% y una relación riesgo-recompensa de 0.67. Si asumes que la relación riesgo-recompensa de 0.67 se mantiene, necesitas una tasa de ganancia mínima de 59.9 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 7 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 4.80% vs 10.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -12.20% vs -23.30% para el activo
- Exposición: Exposición: 34.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 71.0%, vs 59.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 0.67
Con esa exposición en mente, puedes ver que para 35% tiempo-en-mercado, obtienes 44.44% del potencial alcista del activo, y 52.36% del potencial bajista del activo.
50/200 SMA cross: entrar en una posición cuando
All of the following: # "Papa" D Simple Moving Average (50, 0, close) Crosses ↗ D Simple Moving Average (200, 0, close)
50/200 SMA cross: salir de una posición cuando
All of the following: # "India" D Simple Moving Average (50, 0, close) Crosses ↘ D Simple Moving Average (200, 0, close)
50/200 SMA cross @ EURUSD • Daily (4.8%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results for this 50/200 SMA cross strategy show some concerning patterns. With only 7 trades over 9.6 years, the sample size is way too small to make any statistically significant conclusions. This is like trying to predict weather patterns from just one week of data - mathematically unsound.
The strategy's performance metrics are not convincing. While the 71% win rate looks good at first glance, it is based on just 5 winning trades versus 2 losers. More problematic is the risk/reward ratio of 0.67, meaning average losses are larger than average wins. Combined with the -12.2% maximum drawdown and negative Sharpe/Sortino ratios, this suggests poor risk-adjusted returns. The strategy also underperforms buy & hold by more than 50% (4.8% vs 10.8%).
I would absolutely not recommend trading this strategy in its current form. The extremely low trade frequency (0.1 trades per month) makes it impossible to achieve statistical significance. One would need at least 30-50 trades minimum for meaningful analysis. Additionally, the negative risk-adjusted return metrics indicate the strategy is not mathematically sound from a risk management perspective. If you want to pursue this further, I would suggest optimizing the parameters to generate more signals while maintaining strict risk controls.
Sarah
AutorMadre de dios, this is one of the most patetic backtests I've seen in my carrier! Only 7 trades in almost 10 years? Are you seriously considering this?
The statistics are completly useless becouse there are too few trades to make any meaningfull conclusions. Even a monkey throwing darts would give you more trades than that! And the performance is horrible - you're underperforming buy & hold by more than 50%.
Look at those drawdowns - 12.2% max drawdown for just 7 trades? That's completly unacceptable! The strategy is spending 65% of the time doing absolutly nothing, just sitting there like a lazy cat. And when it finally decides to trade, it produces worse results than simply buying and holding.
My recomendation? Throw this "strategy" in the garbage where it belongs. If you want to use moving averages, at least pick something that actually generates enough trades to be statistically relevant. This is just a waste of computing power.
Métricas tabulares de 50/200 SMA cross sometido a backtest en EURUSD • Daily
| Total de Operaciones | 7 | Beneficio Neto | 4.8% | Beneficio Compra y Mantén | 10.8% |
| Tasa de Ganancia | 71% | Ratio Riesgo/Recompensa | 0.67 | Máximo Drawdown | -12.2% |
| Máximo Drawdown del Activo | -23.3% | Exposición | 34.7% | Promedio de Velas en Posición | 115.3 |
| Ratio de Sharpe | -0.27 | Ratio de Sortino | -0.20 | Volatilidad Realizada | 2.80% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 1 |
| Racha Promedio de Pérdida | 1.0 | Promedio de Operaciones por Mes | 0.1 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 3.6 | Desv. Est. de la Pérdida | 2.7 | Desv. Est. de la Ganancia | 1.8 |
| Expectativa | 0.2 | Beta | 0.28 |
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 |