Backtest de cartera (2020-07-27 → 2022-12-30)
Estrategia: sma_cross · Selector: fuerza de tendencia (cierre / SMA200 − 1)
Parámetros: {'fast': 20, 'slow': 50, 'trend': 200, 'atr_period': 14, 'stop_atr_mult': 2.0, 'take_profit_atr_mult': 3.0, 'max_hold_days': 40, 'volume_filter_ratio': 0.8, 'entry_window': 5, 'exit_mode': 'take_profit'}
Universo (10): SPY QQQ AAPL MSFT NVDA AMZN GOOGL META JPM XOM · Benchmark: SPY
Métricas por modo de salida
| Símbolo | Periodo | Retorno | CAGR | Max DD | Sharpe | Trades | Win % | Expectancy | Exposición | Buy & Hold |
|---|---|---|---|---|---|---|---|---|---|---|
| PORTFOLIO-IS (take_profit) | 2020-07-27 → 2022-12-30 | +0.5% | +0.2% | -4.8% | 0.11 | 28 | 46% | +0.19% | 30% | +18.3% |
| PORTFOLIO-IS (trailing) | 2020-07-27 → 2022-12-30 | +3.3% | +1.3% | -3.7% | 0.60 | 28 | 54% | +1.19% | 23% | +18.3% |
La columna Buy & Hold es SPY en el mismo periodo.
Detalle take_profit
Operaciones cerradas: 28 · Máx. posiciones simultáneas: 5/5 · Señales descartadas por falta de huecos: 0
| Símbolo | Trades | Win % | P&L | Ret. medio |
|---|---|---|---|---|
| AAPL | 4 | 50% | +101.05 | +0.20% |
| AMZN | 5 | 20% | -1,235.87 | -2.44% |
| GOOGL | 2 | 0% | -615.80 | -3.02% |
| JPM | 2 | 50% | +314.96 | +1.63% |
| META | 1 | 0% | -564.16 | -5.54% |
| MSFT | 3 | 67% | +611.46 | +2.05% |
| NVDA | 2 | 50% | -109.14 | -0.51% |
| QQQ | 2 | 50% | +47.40 | +0.26% |
| SPY | 2 | 50% | +30.94 | +0.13% |
| XOM | 5 | 80% | +1,924.67 | +3.83% |
Últimas operaciones take_profit
| Entrada | Salida | Precio in | Precio out | Qty | P&L | Ret. | Motivo salida |
|---|---|---|---|---|---|---|---|
| 2021-05-14 | 2021-06-15 | 60.04 | 64.03 | 166 | +663.01 | +6.65% | bracket take-profit |
| 2021-06-17 | 2021-06-24 | 340.13 | 351.23 | 29 | +321.81 | +3.26% | bracket take-profit |
| 2021-06-23 | 2021-06-25 | 175.30 | 170.02 | 57 | -300.95 | -3.01% | bracket stop-loss |
| 2021-06-21 | 2021-06-29 | 260.06 | 270.86 | 38 | +410.31 | +4.15% | bracket take-profit |
| 2021-06-28 | 2021-07-06 | 170.92 | 178.66 | 59 | +457.14 | +4.53% | bracket take-profit |
| 2021-06-29 | 2021-07-06 | 134.77 | 140.64 | 75 | +440.50 | +4.36% | bracket take-profit |
| 2021-08-18 | 2021-09-20 | 156.27 | 151.16 | 65 | -332.34 | -3.27% | bracket stop-loss |
| 2021-09-23 | 2021-10-01 | 169.27 | 163.12 | 60 | -369.37 | -3.64% | bracket stop-loss |
| 2021-10-29 | 2021-11-04 | 25.04 | 26.85 | 406 | +733.03 | +7.21% | bracket take-profit |
| 2021-10-28 | 2021-11-05 | 324.40 | 337.74 | 31 | +413.47 | +4.11% | bracket take-profit |
| 2021-11-01 | 2021-11-05 | 460.57 | 470.24 | 22 | +212.63 | +2.10% | bracket take-profit |
| 2021-10-05 | 2021-11-10 | 62.46 | 65.29 | 162 | +457.83 | +4.52% | take-profit: close 66.36 >= 66.33; SMA20=63.86 SMA50=59.77 SMA200=58.01 ATR=1.29 close=66.36 |
| 2021-11-05 | 2021-11-10 | 400.33 | 389.35 | 25 | -274.41 | -2.74% | bracket stop-loss |
| 2021-11-10 | 2021-11-18 | 150.11 | 157.70 | 68 | +516.63 | +5.06% | bracket take-profit |
| 2021-11-10 | 2021-12-03 | 178.25 | 169.92 | 57 | -474.72 | -4.67% | bracket stop-loss |
| 2021-11-03 | 2021-12-22 | 146.00 | 143.06 | 70 | -206.12 | -2.02% | SMA20 cruzó bajo SMA50; SMA20=144.49 SMA50=144.63 SMA200=129.50 ATR=3.19 close=143.47 |
| 2022-01-04 | 2022-01-05 | 145.47 | 139.62 | 70 | -409.68 | -4.02% | bracket stop-loss |
| 2022-01-04 | 2022-01-10 | 339.62 | 320.81 | 30 | -564.16 | -5.54% | bracket stop-loss |
| 2022-01-12 | 2022-01-26 | 71.46 | 75.71 | 142 | +603.14 | +5.94% | bracket take-profit |
| 2022-03-30 | 2022-04-05 | 28.31 | 25.98 | 361 | -842.16 | -8.24% | bracket stop-loss |
| 2022-03-30 | 2022-04-06 | 168.78 | 159.65 | 60 | -547.97 | -5.41% | bracket stop-loss |
| 2022-04-06 | 2022-04-06 | 305.26 | 298.83 | 33 | -212.33 | -2.11% | bracket stop-loss |
| 2022-04-06 | 2022-04-11 | 172.37 | 167.66 | 58 | -273.06 | -2.73% | bracket stop-loss |
| 2022-04-06 | 2022-04-12 | 447.08 | 438.82 | 22 | -181.69 | -1.85% | bracket stop-loss |
| 2022-04-12 | 2022-04-26 | 168.14 | 158.26 | 59 | -583.02 | -5.88% | bracket stop-loss |
| 2022-08-19 | 2022-09-23 | 94.19 | 88.80 | 105 | -565.66 | -5.72% | bracket stop-loss |
| 2022-10-20 | 2022-11-07 | 104.26 | 112.32 | 95 | +766.34 | +7.74% | take-profit: close 112.30 >= 112.06; SMA20=105.27 SMA50=98.42 SMA200=89.64 ATR=2.60 close=112.30 |
| 2022-11-01 | 2022-11-11 | 127.06 | 135.36 | 78 | +647.31 | +6.53% | take-profit: close 135.13 >= 134.71; SMA20=124.39 SMA50=116.70 SMA200=124.82 ATR=2.55 close=135.13 |
Detalle trailing
Operaciones cerradas: 28 · Máx. posiciones simultáneas: 5/5 · Señales descartadas por falta de huecos: 4
| Símbolo | Trades | Win % | P&L | Ret. medio |
|---|---|---|---|---|
| AAPL | 4 | 50% | +932.02 | +2.30% |
| AMZN | 6 | 33% | -486.31 | -0.78% |
| GOOGL | 2 | 50% | -289.27 | -1.38% |
| JPM | 2 | 100% | +729.96 | +3.56% |
| META | 1 | 0% | -445.33 | -4.37% |
| MSFT | 3 | 67% | +788.70 | +2.65% |
| NVDA | 2 | 50% | +1,025.25 | +5.12% |
| QQQ | 1 | 100% | +450.53 | +4.57% |
| SPY | 2 | 50% | -109.40 | -0.53% |
| XOM | 5 | 60% | +720.56 | +1.41% |
Últimas operaciones trailing
| Entrada | Salida | Precio in | Precio out | Qty | P&L | Ret. | Motivo salida |
|---|---|---|---|---|---|---|---|
| 2021-05-14 | 2021-05-19 | 60.04 | 58.90 | 166 | -189.51 | -1.90% | bracket stop-loss |
| 2021-06-23 | 2021-06-25 | 175.30 | 170.95 | 57 | -247.56 | -2.48% | bracket stop-loss |
| 2021-06-17 | 2021-07-08 | 340.13 | 355.67 | 29 | +450.53 | +4.57% | bracket stop-loss |
| 2021-06-28 | 2021-07-15 | 170.92 | 181.33 | 58 | +604.17 | +6.09% | bracket stop-loss |
| 2021-06-21 | 2021-07-19 | 260.06 | 276.50 | 38 | +624.70 | +6.32% | bracket stop-loss |
| 2021-06-29 | 2021-07-19 | 134.77 | 144.64 | 74 | +730.51 | +7.33% | bracket stop-loss |
| 2021-08-18 | 2021-09-08 | 156.27 | 159.01 | 65 | +178.39 | +1.76% | bracket stop-loss |
| 2021-09-23 | 2021-09-28 | 169.27 | 165.62 | 60 | -219.53 | -2.16% | bracket stop-loss |
| 2021-09-29 | 2021-10-04 | 166.36 | 161.02 | 61 | -325.88 | -3.21% | bracket stop-loss |
| 2021-10-05 | 2021-11-10 | 62.46 | 63.77 | 162 | +212.41 | +2.10% | bracket stop-loss |
| 2021-10-29 | 2021-11-10 | 25.04 | 29.67 | 407 | +1883.74 | +18.48% | bracket stop-loss |
| 2021-11-01 | 2021-11-10 | 460.57 | 464.23 | 22 | +80.55 | +0.79% | bracket stop-loss |
| 2021-11-11 | 2021-11-22 | 175.74 | 178.94 | 59 | +189.04 | +1.82% | bracket stop-loss |
| 2021-10-28 | 2021-11-23 | 324.40 | 336.54 | 31 | +376.33 | +3.74% | stop-loss: close 339.59 <= 340.02; SMA20=333.52 SMA50=311.92 SMA200=274.39 ATR=4.81 close=339.59 |
| 2021-11-03 | 2021-11-23 | 146.00 | 146.04 | 70 | +2.68 | +0.03% | bracket stop-loss |
| 2021-11-11 | 2021-11-23 | 149.03 | 159.96 | 69 | +753.61 | +7.33% | bracket stop-loss |
| 2022-01-04 | 2022-01-05 | 145.47 | 141.42 | 72 | -291.95 | -2.79% | bracket stop-loss |
| 2022-01-04 | 2022-01-05 | 339.62 | 324.78 | 30 | -445.33 | -4.37% | bracket stop-loss |
| 2022-01-12 | 2022-01-24 | 71.46 | 70.96 | 146 | -73.28 | -0.70% | bracket stop-loss |
| 2022-03-30 | 2022-04-05 | 28.31 | 25.98 | 368 | -858.49 | -8.24% | bracket stop-loss |
| 2022-03-30 | 2022-04-06 | 168.78 | 160.81 | 61 | -486.55 | -4.73% | bracket stop-loss |
| 2022-04-06 | 2022-04-06 | 305.26 | 298.83 | 33 | -212.33 | -2.11% | bracket stop-loss |
| 2022-04-06 | 2022-04-11 | 172.37 | 167.66 | 59 | -277.76 | -2.73% | bracket stop-loss |
| 2022-04-06 | 2022-04-12 | 447.08 | 438.82 | 23 | -189.95 | -1.85% | bracket stop-loss |
| 2022-04-12 | 2022-04-22 | 168.14 | 163.57 | 60 | -274.34 | -2.72% | bracket stop-loss |
| 2022-08-19 | 2022-08-30 | 94.19 | 96.35 | 108 | +233.25 | +2.29% | bracket stop-loss |
| 2022-10-20 | 2022-11-09 | 104.26 | 109.74 | 98 | +537.68 | +5.26% | bracket stop-loss |
| 2022-11-01 | 2022-12-02 | 127.06 | 133.87 | 81 | +551.57 | +5.36% | bracket stop-loss |
Lectura honesta
- Sesgo de supervivencia. El universo son símbolos que hoy sabemos que sobrevivieron y subieron; sobre datos de 2019 en adelante eso infla el resultado. Compara siempre contra el benchmark y trata estas cifras como techo, no como expectativa.
- Este backtest de cartera es el que se compara con el paper: mismo capital compartido, mismo límite de posiciones, mismo sizing y mismo selector.
- Sin reglas de pérdida diaria ni drawdown en esta versión (se añaden cuando el paper reproduzca este resultado).
- Menos de ~30 operaciones no permiten conclusiones estadísticas.