50/200 SMA crosslongResultados de Backtest @ SPY • 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 32.5 years de datos SPY • Daily (SPDR S&P 500), desde January 29, 1993 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 32.5 years de velas SPY • Daily. Este backtest resultó en 15 posiciones, con una tasa de ganancia promedio de 87% y una relación riesgo-recompensa de 3.82. Si asumes que la relación riesgo-recompensa de 3.82 se mantiene, necesitas una tasa de ganancia mínima de 20.8 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 15 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1127.30% vs 1316.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -32.50% vs -56.70% para el activo
- Exposición: Exposición: 71.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 87.0%, vs 20.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.82
Con esa exposición en mente, puedes ver que para 72% tiempo-en-mercado, obtienes 85.64% del potencial alcista del activo, y 57.32% 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 @ SPY • Daily (1127.3%) explicado por Mike, Sarah
Mike
AutorYo fam, this 50/200 SMA cross strategy is actually pretty lit! 🔥 Looking at those 32.5 years of data, we're seeing some seriously juicy numbers that got me hyped.
The win rate is absolutely bonkers at 87% with a 3.82 risk/reward ratio - that's the kind of setup that makes my Wendy's paycheck look like pocket change! 💪 The average winner brings in 25.45% while the average L is only -6.66%. Plus, with only 15 total trades over this period, you're not getting killed by commission fees or having to watch charts 24/7.
One thing that's keeping me from going full YOLO though is that the strategy slightly underperformed buy & hold (1127% vs 1316%). But here's the big brain play - it only had 71.6% market exposure, meaning you're carrying way less risk during rough patches. That -32.5% max drawdown compared to the market's -56.7% is the kind of protection that helps you sleep at night while holding those diamond hands! 💎🙌 The recent performance has been a bit choppy, but looking at those 2-5 year returns got me ready to bet the farm! 🚀
Sarah
AutorDios mío, this strategy is terrible! 15 trades in 32 years? Are you planning to trade once every two years or what? This is ridiculous!
The win rate looks impressive at first - 87% sounds amazing, no? But with only 15 trades, it's meaningless estadística! You could flip a coin 15 times and get 13 heads - it doesn't make it a reliable system. And look at the market exposure - 71.6% means you're basically following the market like a lost puppy, but doing worse than simple buy and hold! You're underperforming by almost 200 percentage points!
The drawdown of -32.5% is atrocious for such a slow strategy. With this kind of performance, you might as well put your money under the mattres! And look at those recent numbers - -91.6% over 6 months? ¡Madre mía! This is the kind of performance that makes people jump from buildings!
If you're seriously considering trading this estrategia, I suggest you find a new hobby - maybe collecting stamps or feeding pigeons. At least you won't lose money that way. This is not a trading strategy, it's a retirement plan for snails!
Métricas tabulares de 50/200 SMA cross sometido a backtest en SPY • Daily
| Total de Operaciones | 15 | Beneficio Neto | 1127.3% | Beneficio Compra y Mantén | 1316.3% |
| Tasa de Ganancia | 87% | Ratio Riesgo/Recompensa | 3.82 | Máximo Drawdown | -32.5% |
| Máximo Drawdown del Activo | -56.7% | Exposición | 71.6% | Promedio de Velas en Posición | 388.7 |
| Ratio de Sharpe | 0.63 | Ratio de Sortino | 1.13 | Volatilidad Realizada | 11.15% |
| Racha Máxima de Ganancia | 9 | Racha Promedio de Ganancia | 4.3 | 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 | 31.5 | Desv. Est. de la Pérdida | 3.2 | Desv. Est. de la Ganancia | 31.7 |
| Expectativa | 3.2 | 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 |