50/200 SMA crosslongResultados de Backtest @ GLD • 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 20.7 years de datos GLD • Daily (SPDR Gold Trust), desde November 18, 2004 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 20.7 years de velas GLD • Daily. Este backtest resultó en 13 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 6.39. Si asumes que la relación riesgo-recompensa de 6.39 se mantiene, necesitas una tasa de ganancia mínima de 13.5 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 13 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 242.90% vs 595.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -36.40% vs -45.30% para el activo
- Exposición: Exposición: 60.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 13.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 6.39
Con esa exposición en mente, puedes ver que para 61% tiempo-en-mercado, obtienes 40.82% del potencial alcista del activo, y 80.35% 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 @ GLD • Daily (242.9%) explicado por Alex C, Mike, Sarah
Alex C
AutorZe backtest results show some interesting patterns, but I have concerns about ze statistical significance. With only 13 trades over 20.7 years, zat's far too few trades to make reliable conclusions. Ze mathematics simply don't support robust statistical analysis with such a small sample size.
Ze risk metrics are not looking optimal. Ze Sharpe ratio of 0.17 is quite poor - we typically want to see at least 0.5 for a viable strategy, preferably above 1.0. Ze max drawdown of 36.4% is also concerning, especially since ze strategy significantly underperformed buy & hold (242.9% vs 595.1%). However, ze Risk/Reward ratio of 6.39 and ze win rate leeway are ze bright spots in zese results.
From a pure mathematical perspective, ze strategy shows some potential but needs significant optimization. Ze low trade frequency makes it vulnerable to sampling error and ze high drawdown suggests insufficient risk management. I would recommend testing additional parameters to increase ze trade frequency while maintaining ze positive expectancy. Perhaps adjusting ze moving average periods or adding additional filters could improve ze results.
Mike
AutorYo fam, this 50/200 SMA cross strategy on GLD is giving me some mixed vibes! 🤔
The good stuff first - when this thing wins, it wins BIG with an average win of nearly 34% compared to average losses of just -5.3%. That's a juicy 6.39 risk/reward ratio! Plus that 45.86% win rate leeway is straight fire 🔥 - means we've got tons of breathing room above the minimum win rate needed to stay profitable.
But here's where it gets kinda sus - only 13 trades over 20 years is super low volume, fam. That's like one trade every year and a half 📊. Also got clapped with a -36.4% max drawdown, which would have me sweating behind the Wendy's grill fr fr. And that 46% win rate, while workable with the good R/R, still means we're losing more often than winning.
I might use this as part of a larger strategy portfolio since it can catch some monster moves when it works. But wouldn't YOLO my whole paycheck on this alone - need more frequent trading opportunities to keep the tendies flowing! 💎🙌
Sarah
AutorMadre de Dios, this strategy is like watching paint dry! Only 13 trades in 20 years? Are you planning to trade or hibernate?
Look, the metrics might look fancy with that 6.39 risk/reward ratio, but let's be real - you're basically catching 6 lucky breaks while sleeping through most of the market moves. The Buy & Hold strategy crushed your performance by more than double (595% vs your measly 242%). That's embarassing!
The win rate is pathetic at 46%, and you had a losing streak of 4 trades? With so few trades, that must have felt like pure torture! And that -36.4% drawdown... mi corazón! The exposure is only 60.7% which means you're missing out on a lot of potential gains while paying your broker to do basically nothing.
The only slightly positive thing here is the Win Rate Leeway being decent, but that's like having a great swimming pool in the middle of Sahara - completely useless in the grand scheme of things. If you want to actually make money in the markets, you need something more dynamic than this dinosaur of a strategy. This is not trading, this is financial siesta!
Métricas tabulares de 50/200 SMA cross sometido a backtest en GLD • Daily
| Total de Operaciones | 13 | Beneficio Neto | 242.9% | Beneficio Compra y Mantén | 595.1% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 6.39 | Máximo Drawdown | -36.4% |
| Máximo Drawdown del Activo | -45.3% | Exposición | 60.7% | Promedio de Velas en Posición | 241.3 |
| Ratio de Sharpe | 0.17 | Ratio de Sortino | 0.50 | Volatilidad Realizada | 10.57% |
| Racha Máxima de Ganancia | 2 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 0.1 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 28.5 | Desv. Est. de la Pérdida | 3.4 | Desv. Est. de la Ganancia | 30.6 |
| Expectativa | 2.4 | Beta | 0.56 |
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 |