Backtest de cartera (2023-01-03 → 2026-09-10)
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-OOS (take_profit) | 2023-01-03 → 2026-09-10 | +13.0% | +3.4% | -2.9% | 1.05 | 91 | 56% | +1.41% | 57% | +99.0% |
| PORTFOLIO-OOS (trailing) | 2023-01-03 → 2026-09-10 | +2.2% | +0.6% | -3.2% | 0.22 | 91 | 45% | +0.30% | 46% | +99.0% |
La columna Buy & Hold es SPY en el mismo periodo.
Detalle take_profit
Operaciones cerradas: 91 · Máx. posiciones simultáneas: 5/5 · Señales descartadas por falta de huecos: 15
| Símbolo | Trades | Win % | P&L | Ret. medio |
|---|---|---|---|---|
| AAPL | 10 | 40% | -949.45 | -0.76% |
| AMZN | 8 | 50% | -68.52 | +0.04% |
| GOOGL | 8 | 75% | +3,911.75 | +4.66% |
| JPM | 10 | 70% | +2,509.27 | +2.28% |
| META | 4 | 50% | -120.36 | +0.00% |
| MSFT | 10 | 60% | +1,623.75 | +1.46% |
| NVDA | 13 | 69% | +5,254.69 | +4.06% |
| QQQ | 9 | 67% | +1,915.45 | +2.00% |
| SPY | 10 | 50% | +621.62 | +0.58% |
| XOM | 9 | 22% | -1,543.81 | -1.72% |
Últimas operaciones take_profit
| Entrada | Salida | Precio in | Precio out | Qty | P&L | Ret. | Motivo salida |
|---|---|---|---|---|---|---|---|
| 2025-06-23 | 2025-06-24 | 116.76 | 110.22 | 97 | -634.09 | -5.60% | bracket stop-loss |
| 2025-05-14 | 2025-06-25 | 517.27 | 541.78 | 21 | +514.72 | +4.74% | take-profit: close 539.79 >= 537.33; SMA20=528.10 SMA50=501.46 SMA200=500.20 ATR=6.69 close=539.79 |
| 2025-05-15 | 2025-06-25 | 585.87 | 607.61 | 18 | +391.20 | +3.71% | take-profit: close 606.75 >= 603.94; SMA20=596.93 SMA50=574.92 SMA200=580.32 ATR=6.02 close=606.75 |
| 2025-09-11 | 2025-09-26 | 111.47 | 118.28 | 101 | +688.44 | +6.12% | bracket take-profit |
| 2025-10-10 | 2025-10-14 | 520.21 | 507.55 | 21 | -265.96 | -2.43% | bracket stop-loss |
| 2025-10-07 | 2025-10-28 | 186.29 | 201.72 | 61 | +941.27 | +8.28% | bracket take-profit |
| 2025-10-15 | 2025-10-28 | 515.21 | 537.61 | 22 | +492.81 | +4.35% | bracket take-profit |
| 2025-11-07 | 2025-11-18 | 243.02 | 227.54 | 47 | -727.57 | -6.37% | bracket stop-loss |
| 2025-11-20 | 2025-12-15 | 306.43 | 322.19 | 37 | +583.16 | +5.14% | bracket take-profit |
| 2025-12-18 | 2025-12-24 | 610.05 | 623.19 | 18 | +236.45 | +2.15% | bracket take-profit |
| 2026-01-16 | 2026-02-03 | 189.08 | 177.50 | 60 | -694.83 | -6.12% | bracket stop-loss |
| 2026-01-15 | 2026-02-05 | 239.42 | 226.38 | 48 | -625.85 | -5.45% | bracket stop-loss |
| 2026-03-09 | 2026-03-11 | 176.90 | 185.83 | 64 | +571.11 | +5.04% | SMA20 cruzó bajo SMA50; SMA20=185.74 SMA50=185.78 SMA200=176.64 ATR=6.13 close=184.76 |
| 2026-03-02 | 2026-03-13 | 262.60 | 250.10 | 43 | -537.71 | -4.76% | bracket stop-loss |
| 2026-04-14 | 2026-04-24 | 242.16 | 259.86 | 47 | +832.14 | +7.31% | bracket take-profit |
| 2026-04-24 | 2026-04-27 | 200.13 | 213.32 | 57 | +751.85 | +6.59% | bracket take-profit |
| 2026-04-22 | 2026-04-30 | 336.04 | 356.57 | 33 | +677.48 | +6.11% | bracket take-profit |
| 2026-04-28 | 2026-04-30 | 209.62 | 205.25 | 55 | -240.33 | -2.08% | bracket stop-loss |
| 2026-04-24 | 2026-05-06 | 711.11 | 731.68 | 16 | +329.13 | +2.89% | bracket take-profit |
| 2026-04-27 | 2026-05-06 | 663.69 | 693.37 | 17 | +504.58 | +4.47% | bracket take-profit |
| 2026-04-21 | 2026-05-08 | 318.00 | 303.52 | 36 | -521.20 | -4.55% | bracket stop-loss |
| 2026-06-18 | 2026-07-27 | 337.24 | 353.60 | 34 | +556.23 | +4.85% | bracket take-profit |
| 2026-07-20 | 2026-07-29 | 644.69 | 584.78 | 18 | -1078.44 | -9.29% | bracket stop-loss |
| 2026-07-16 | 2026-07-31 | 328.30 | 308.51 | 35 | -692.72 | -6.03% | bracket stop-loss |
| 2026-08-03 | 2026-08-19 | 153.53 | 165.98 | 74 | +921.32 | +8.11% | take-profit: close 165.61 >= 164.70; SMA20=156.97 SMA50=148.06 SMA200=141.79 ATR=3.72 close=165.61 |
| 2026-08-05 | 2026-08-21 | 281.73 | 257.48 | 40 | -970.10 | -8.61% | bracket stop-loss |
| 2026-08-10 | 2026-08-24 | 223.50 | 208.28 | 51 | -776.08 | -6.81% | bracket stop-loss |
| 2026-08-04 | 2026-08-31 | 481.00 | 510.06 | 23 | +668.60 | +6.04% | take-profit: close 513.67 >= 509.82; SMA20=493.38 SMA50=430.62 SMA200=431.16 ATR=9.61 close=513.67 |
| 2026-08-28 | 2026-09-01 | 341.02 | 335.69 | 33 | -175.84 | -1.56% | SMA20 cruzó bajo SMA50; SMA20=348.56 SMA50=349.14 SMA200=334.80 ATR=6.08 close=339.17 |
| 2026-08-31 | 2026-09-10 | 715.14 | 708.73 | 16 | -102.52 | -0.90% | fin del backtest |
Detalle trailing
Operaciones cerradas: 91 · Máx. posiciones simultáneas: 5/5 · Señales descartadas por falta de huecos: 12
| Símbolo | Trades | Win % | P&L | Ret. medio |
|---|---|---|---|---|
| AAPL | 10 | 40% | -1,455.31 | -1.45% |
| AMZN | 10 | 50% | -213.23 | -0.19% |
| GOOGL | 8 | 62% | +1,150.12 | +1.43% |
| JPM | 11 | 27% | -1,232.83 | -1.10% |
| META | 4 | 50% | -579.84 | -1.40% |
| MSFT | 10 | 50% | +1,837.37 | +1.86% |
| NVDA | 12 | 58% | +2,495.47 | +2.42% |
| QQQ | 8 | 38% | +227.13 | +0.29% |
| SPY | 9 | 44% | +874.24 | +0.98% |
| XOM | 9 | 33% | -864.12 | -0.96% |
Últimas operaciones trailing
| Entrada | Salida | Precio in | Precio out | Qty | P&L | Ret. | Motivo salida |
|---|---|---|---|---|---|---|---|
| 2025-06-23 | 2025-06-24 | 116.76 | 109.34 | 87 | -645.80 | -6.36% | stop-loss: close 111.69 <= 111.88; SMA20=106.92 SMA50=106.40 SMA200=111.85 ATR=2.52 close=111.69 |
| 2025-09-11 | 2025-09-29 | 111.47 | 114.58 | 91 | +283.77 | +2.80% | bracket stop-loss |
| 2025-10-07 | 2025-10-10 | 186.29 | 184.43 | 54 | -100.77 | -1.00% | bracket stop-loss |
| 2025-10-10 | 2025-10-14 | 520.21 | 507.84 | 19 | -235.05 | -2.38% | bracket stop-loss |
| 2025-10-15 | 2025-10-30 | 515.21 | 536.30 | 19 | +400.75 | +4.09% | bracket stop-loss |
| 2025-11-07 | 2025-11-14 | 243.02 | 236.28 | 42 | -283.10 | -2.77% | bracket stop-loss |
| 2025-11-20 | 2025-11-21 | 306.43 | 295.92 | 33 | -346.92 | -3.43% | bracket stop-loss |
| 2025-11-24 | 2025-12-09 | 298.40 | 306.28 | 34 | +267.65 | +2.64% | bracket stop-loss |
| 2025-12-18 | 2026-01-02 | 610.05 | 610.64 | 16 | +9.29 | +0.10% | bracket stop-loss |
| 2026-01-15 | 2026-01-20 | 239.42 | 229.93 | 42 | -398.51 | -3.96% | bracket stop-loss |
| 2026-01-16 | 2026-01-20 | 189.08 | 180.73 | 53 | -442.28 | -4.41% | bracket stop-loss |
| 2026-01-21 | 2026-01-29 | 231.24 | 236.79 | 43 | +238.51 | +2.40% | bracket stop-loss |
| 2026-01-21 | 2026-02-03 | 179.15 | 184.21 | 56 | +283.35 | +2.82% | bracket stop-loss |
| 2026-03-02 | 2026-03-09 | 262.60 | 254.02 | 38 | -326.14 | -3.27% | bracket stop-loss |
| 2026-03-09 | 2026-03-11 | 176.90 | 185.83 | 57 | +508.65 | +5.04% | SMA20 cruzó bajo SMA50; SMA20=185.74 SMA50=185.78 SMA200=176.64 ATR=6.13 close=184.76 |
| 2026-04-21 | 2026-04-27 | 318.00 | 307.57 | 32 | -333.57 | -3.28% | bracket stop-loss |
| 2026-04-24 | 2026-04-30 | 200.13 | 205.53 | 51 | +275.66 | +2.70% | bracket stop-loss |
| 2026-04-14 | 2026-05-12 | 242.16 | 264.11 | 42 | +921.95 | +9.06% | bracket stop-loss |
| 2026-04-24 | 2026-05-18 | 711.11 | 735.75 | 14 | +345.00 | +3.47% | bracket stop-loss |
| 2026-04-28 | 2026-05-18 | 657.76 | 701.97 | 15 | +663.18 | +6.72% | bracket stop-loss |
| 2026-04-22 | 2026-05-20 | 336.04 | 385.42 | 30 | +1481.23 | +14.69% | bracket stop-loss |
| 2026-06-18 | 2026-06-26 | 337.24 | 328.04 | 31 | -285.39 | -2.73% | bracket stop-loss |
| 2026-07-20 | 2026-07-23 | 644.69 | 601.07 | 16 | -698.01 | -6.77% | bracket stop-loss |
| 2026-07-16 | 2026-07-31 | 328.30 | 328.84 | 31 | +16.76 | +0.16% | bracket stop-loss |
| 2026-08-05 | 2026-08-14 | 281.73 | 263.07 | 37 | -690.61 | -6.63% | bracket stop-loss |
| 2026-08-04 | 2026-08-17 | 481.00 | 479.86 | 21 | -23.78 | -0.24% | bracket stop-loss |
| 2026-08-10 | 2026-08-21 | 223.50 | 215.28 | 46 | -377.99 | -3.68% | bracket stop-loss |
| 2026-08-03 | 2026-08-25 | 153.53 | 161.66 | 67 | +544.49 | +5.29% | bracket stop-loss |
| 2026-08-28 | 2026-09-01 | 341.02 | 335.69 | 30 | -159.85 | -1.56% | SMA20 cruzó bajo SMA50; SMA20=348.56 SMA50=349.14 SMA200=334.80 ATR=6.08 close=339.17 |
| 2026-08-31 | 2026-09-10 | 715.14 | 706.73 | 14 | -117.73 | -1.18% | 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.