BackAlpha
NVDA (NVIDIA Corporation) SMA(10)/SMA(200) crossover strategy - with 3.0x leverage via call options
Backtest a NVDA (NVIDIA Corporation) crossover strategy: it buys when 10-day SMA crosses above 200-day SMA by 0.3% of the stock price, it sells when 10-day SMA falls below 200-day SMA by 0.3% of the stock price. Uses 3.0x leverage via call options with 3.0% annual time decay. Uninvested cash earns 4.0% risk-free interest.
Backtest Assumptions and Key Details
- If the strategy involves regular stock positions, we use the adjusted close price for backtesting. This reflects total return by incorporating dividends.
- If the strategy uses call options to simulate leveraged exposure, we instead use the close price (not adjusted), because dividends are not received when holding options.
- When using call options, we simulate time decay in a simplified way. You can specify a time decay rate (e.g., 3%), which means that if the stock price stays flat for one year, the strategy loses 3% of the current stock price per share of exposure due to decay.
- If leverage is applied via margin borrowing, we enforce a 25% maintenance margin requirement (as set by FINRA). This places a hard cap at 4x leverage, beyond which a margin call is immediate. In practice, 3x leverage is the more realistic limit, since the risk of a margin call increases sharply beyond that.
- All trades are assumed to execute at the closing price on the day a signal occurs.
- The backtest includes realistic cash flow effects, such as interest earned on idle cash and borrowing costs incurred when using margin.
Performance Overview
Portfolio Value Trend (Normalized)
Over 26.45 years, portfolio value grew from $10,000.00 to $2,263,872,086.95.
Beginning with an initial investment of $10,000.00 on 1999-01-22, the portfolio value reached a value of $2,263,872,086.95 by 2025-07-05. This represents a 22,638,620.87% total gain over 26.45 years, equivalent to 59.38% annualized. This return is exceptionally high and rarely sustained over long periods. While it reflects extraordinary growth, such performance is often accompanied by substantial risk and volatility.
Drawdown and Risk
The maximum drawdown recorded during this period was 88.76%. This drawdown began after a peak portfolio value of $81,834.73 on 2001-06-07, and reached its lowest point on 2001-09-21 when the portfolio value fell to $9,199.19. The drawdown lasted for 106 days.
Maximum Drawdown
Max drawdown: 88.76% over 106 days.
The drawdown was very large, indicating high sensitivity to adverse market conditions. Strategies with this profile may offer strong upside but require enduring deep declines. The maximum drawdown lasted over three months, often seen in deeper corrections or extended periods of market stress.
The Calmar Ratio — annualized return divided by maximum drawdown — was 0.67, reflecting the tradeoff between return and volatility. A strong ratio that reflects a healthy balance between return and drawdown. This level is above average for most equity-based strategies.
What the Strategy Suggests Today
The 10-day SMA is $153.09, and the 200-day SMA is $130.03, for a difference of $23.06. The current stock price is $159.34, and 0.3% of that is $0.48. Since the difference is sufficient and exceeds the threshold, the buy signal is active.
The 10-day SMA is $153.09, and the 200-day SMA is $130.03, for a difference of $23.06. The current stock price is $159.34, and 0.3% of that is $0.48. Since the difference is insufficient and does not exceed the threshold, the sell signal is not active.
If you have been following this strategy, you are currently holding stocks or call options. No sell signal is active. The strategy suggests continuing to hold the current position.
Transaction Timeline
We began our backtest on 1999-01-22 with $10,000.00 starting capital.
On 1999-02-19, the 10-day SMA at $0.04 crossed above the 200-day SMA at $0.04, exceeding it by 0.3% of the stock price ($0.04). We invested $10,030.11 — which includes $30.11 in interest earned while holding cash for 28 days — gaining exposure to 691,890.94 equivalent shares.
On 1999-03-25, the 10-day SMA at $0.04 fell below the 200-day SMA at $0.04 by 0.3% of the stock price ($0.04), triggering our exit. After holding the position for 34 days, we exited leaving $7,604.46 in available cash.
On 1999-04-09, the 10-day SMA at $0.04 crossed above the 200-day SMA at $0.04, exceeding it by 0.3% of the stock price ($0.04). We invested $7,616.72 — which includes $12.26 in interest earned while holding cash for 15 days — gaining exposure to 522,289.32 equivalent shares.
On 1999-04-13, the 10-day SMA at $0.04 fell below the 200-day SMA at $0.04 by 0.3% of the stock price ($0.04), triggering our exit. After holding the position for 4 days, we exited leaving $5,772.95 in available cash.
On 1999-07-12, the 10-day SMA at $0.04 crossed above the 200-day SMA at $0.04, exceeding it by 0.3% of the stock price ($0.05). We invested $5,829.01 — which includes $56.06 in interest earned while holding cash for 90 days — gaining exposure to 378,310.90 equivalent shares.
On 1999-10-04, the 10-day SMA at $0.04 fell below the 200-day SMA at $0.04 by 0.3% of the stock price ($0.04), triggering our exit. After holding the position for 84 days, we exited leaving $3,591.57 in available cash.
On 1999-10-08, the 10-day SMA at $0.04 crossed above the 200-day SMA at $0.04, exceeding it by 0.3% of the stock price ($0.05). We invested $3,593.11 — which includes $1.54 in interest earned while holding cash for 4 days — gaining exposure to 220,175.09 equivalent shares.
On 2000-11-29, the 10-day SMA at $0.24 fell below the 200-day SMA at $0.25 by 0.3% of the stock price ($0.20), triggering our exit. After holding the position for 418 days, we exited leaving $36,707.33 in available cash.
On 2001-03-26, the 10-day SMA at $0.26 crossed above the 200-day SMA at $0.25, exceeding it by 0.3% of the stock price ($0.29). We invested $37,171.43 — which includes $464.09 in interest earned while holding cash for 117 days — gaining exposure to 378,950.96 equivalent shares.
On 2001-09-24, the 10-day SMA at $0.28 fell below the 200-day SMA at $0.29 by 0.3% of the stock price ($0.25), triggering our exit. After holding the position for 182 days, we exited leaving $18,740.23 in available cash.
On 2001-10-16, the 10-day SMA at $0.30 crossed above the 200-day SMA at $0.29, exceeding it by 0.3% of the stock price ($0.37). We invested $18,784.55 — which includes $44.32 in interest earned while holding cash for 22 days — gaining exposure to 152,650.84 equivalent shares.
On 2002-03-27, the 10-day SMA at $0.41 fell below the 200-day SMA at $0.41 by 0.3% of the stock price ($0.38), triggering our exit. After holding the position for 162 days, we exited leaving $19,567.37 in available cash.
On 2003-03-21, the 10-day SMA at $0.11 crossed above the 200-day SMA at $0.11, exceeding it by 0.3% of the stock price ($0.12). We invested $20,336.42 — which includes $769.06 in interest earned while holding cash for 359 days — gaining exposure to 517,027.74 equivalent shares.
On 2003-10-07, the 10-day SMA at $0.14 fell below the 200-day SMA at $0.14 by 0.3% of the stock price ($0.14), triggering our exit. After holding the position for 200 days, we exited leaving $30,715.51 in available cash.
On 2003-10-29, the 10-day SMA at $0.14 crossed above the 200-day SMA at $0.14, exceeding it by 0.3% of the stock price ($0.15). We invested $30,788.16 — which includes $72.65 in interest earned while holding cash for 22 days — gaining exposure to 606,332.71 equivalent shares.
On 2004-06-17, the 10-day SMA at $0.18 fell below the 200-day SMA at $0.18 by 0.3% of the stock price ($0.16), triggering our exit. After holding the position for 232 days, we exited leaving $36,364.50 in available cash.
On 2004-11-23, the 10-day SMA at $0.16 crossed above the 200-day SMA at $0.15, exceeding it by 0.3% of the stock price ($0.16). We invested $36,990.71 — which includes $626.21 in interest earned while holding cash for 159 days — gaining exposure to 680,113.89 equivalent shares.
On 2006-06-16, the 10-day SMA at $0.36 fell below the 200-day SMA at $0.36 by 0.3% of the stock price ($0.36), triggering our exit. After holding the position for 570 days, we exited leaving $166,300.67 in available cash.
On 2006-08-08, the 10-day SMA at $0.38 crossed above the 200-day SMA at $0.37, exceeding it by 0.3% of the stock price ($0.41). We invested $167,249.83 — which includes $949.16 in interest earned while holding cash for 53 days — gaining exposure to 1,236,850.63 equivalent shares.
On 2007-03-20, the 10-day SMA at $0.49 fell below the 200-day SMA at $0.49 by 0.3% of the stock price ($0.47), triggering our exit. After holding the position for 224 days, we exited leaving $240,733.52 in available cash.
On 2007-04-19, the 10-day SMA at $0.51 crossed above the 200-day SMA at $0.51, exceeding it by 0.3% of the stock price ($0.53). We invested $241,510.29 — which includes $776.77 in interest earned while holding cash for 30 days — gaining exposure to 1,379,184.03 equivalent shares.
On 2008-01-15, the 10-day SMA at $0.72 fell below the 200-day SMA at $0.74 by 0.3% of the stock price ($0.67), triggering our exit. After holding the position for 271 days, we exited leaving $422,553.37 in available cash.
On 2009-03-31, the 10-day SMA at $0.25 crossed above the 200-day SMA at $0.25, exceeding it by 0.3% of the stock price ($0.25). We invested $443,045.07 — which includes $20,491.70 in interest earned while holding cash for 441 days — gaining exposure to 5,392,029.24 equivalent shares.
On 2009-05-20, the 10-day SMA at $0.23 fell below the 200-day SMA at $0.23 by 0.3% of the stock price ($0.24), triggering our exit. After holding the position for 50 days, we exited leaving $420,131.77 in available cash.
On 2009-05-27, the 10-day SMA at $0.24 crossed above the 200-day SMA at $0.23, exceeding it by 0.3% of the stock price ($0.26). We invested $420,447.69 — which includes $315.92 in interest earned while holding cash for 7 days — gaining exposure to 4,865,354.45 equivalent shares.
On 2010-05-10, the 10-day SMA at $0.38 fell below the 200-day SMA at $0.39 by 0.3% of the stock price ($0.36), triggering our exit. After holding the position for 348 days, we exited leaving $894,064.96 in available cash.
On 2010-11-22, the 10-day SMA at $0.33 crossed above the 200-day SMA at $0.32, exceeding it by 0.3% of the stock price ($0.34). We invested $913,081.77 — which includes $19,016.81 in interest earned while holding cash for 196 days — gaining exposure to 7,962,922.11 equivalent shares.
On 2011-06-21, the 10-day SMA at $0.42 fell below the 200-day SMA at $0.42 by 0.3% of the stock price ($0.40), triggering our exit. After holding the position for 211 days, we exited leaving $1,303,865.10 in available cash.
On 2012-02-08, the 10-day SMA at $0.38 crossed above the 200-day SMA at $0.38, exceeding it by 0.3% of the stock price ($0.41). We invested $1,336,756.00 — which includes $32,890.90 in interest earned while holding cash for 232 days — gaining exposure to 9,835,114.41 equivalent shares.
On 2012-04-17, the 10-day SMA at $0.36 fell below the 200-day SMA at $0.36 by 0.3% of the stock price ($0.35), triggering our exit. After holding the position for 69 days, we exited leaving $751,239.02 in available cash.
On 2012-08-14, the 10-day SMA at $0.35 crossed above the 200-day SMA at $0.35, exceeding it by 0.3% of the stock price ($0.36). We invested $760,900.36 — which includes $9,661.33 in interest earned while holding cash for 119 days — gaining exposure to 6,258,262.05 equivalent shares.
On 2012-09-07, the 10-day SMA at $0.35 fell below the 200-day SMA at $0.35 by 0.3% of the stock price ($0.34), triggering our exit. After holding the position for 24 days, we exited leaving $570,279.12 in available cash.
On 2013-04-25, the 10-day SMA at $0.32 crossed above the 200-day SMA at $0.32, exceeding it by 0.3% of the stock price ($0.34). We invested $584,539.26 — which includes $14,260.13 in interest earned while holding cash for 230 days — gaining exposure to 5,207,476.67 equivalent shares.
On 2014-10-10, the 10-day SMA at $0.45 fell below the 200-day SMA at $0.45 by 0.3% of the stock price ($0.42), triggering our exit. After holding the position for 533 days, we exited leaving $947,272.99 in available cash.
On 2014-10-31, the 10-day SMA at $0.46 crossed above the 200-day SMA at $0.46, exceeding it by 0.3% of the stock price ($0.49). We invested $949,411.54 — which includes $2,138.55 in interest earned while holding cash for 21 days — gaining exposure to 5,830,572.41 equivalent shares.
On 2015-07-07, the 10-day SMA at $0.51 fell below the 200-day SMA at $0.52 by 0.3% of the stock price ($0.49), triggering our exit. After holding the position for 249 days, we exited leaving $927,874.51 in available cash.
On 2015-08-11, the 10-day SMA at $0.53 crossed above the 200-day SMA at $0.52, exceeding it by 0.3% of the stock price ($0.59). We invested $931,368.39 — which includes $3,493.88 in interest earned while holding cash for 35 days — gaining exposure to 4,723,762.01 equivalent shares.
On 2018-10-19, the 10-day SMA at $6.13 fell below the 200-day SMA at $6.19 by 0.3% of the stock price ($5.73), triggering our exit. After holding the position for 1165 days, we exited leaving $24,924,622.74 in available cash.
On 2019-07-24, the 10-day SMA at $4.26 crossed above the 200-day SMA at $4.21, exceeding it by 0.3% of the stock price ($4.47). We invested $25,679,899.38 — which includes $755,276.65 in interest earned while holding cash for 278 days — gaining exposure to 17,248,337.96 equivalent shares.
On 2019-08-09, the 10-day SMA at $4.04 fell below the 200-day SMA at $4.08 by 0.3% of the stock price ($3.85), triggering our exit. After holding the position for 16 days, we exited leaving $15,024,100.01 in available cash.
On 2019-08-26, the 10-day SMA at $4.06 crossed above the 200-day SMA at $4.02, exceeding it by 0.3% of the stock price ($4.14). We invested $15,051,551.63 — which includes $27,451.62 in interest earned while holding cash for 17 days — gaining exposure to 10,916,809.83 equivalent shares.
On 2022-03-08, the 10-day SMA at $23.19 fell below the 200-day SMA at $23.45 by 0.3% of the stock price ($21.51), triggering our exit. After holding the position for 925 days, we exited leaving $201,251,145.95 in available cash.
On 2022-03-22, the 10-day SMA at $24.10 crossed above the 200-day SMA at $23.84, exceeding it by 0.3% of the stock price ($26.52). We invested $201,553,925.87 — which includes $302,779.92 in interest earned while holding cash for 14 days — gaining exposure to 22,796,779.29 equivalent shares.
On 2022-04-14, the 10-day SMA at $23.86 fell below the 200-day SMA at $24.42 by 0.3% of the stock price ($21.26), triggering our exit. After holding the position for 23 days, we exited leaving $80,379,519.99 in available cash.
On 2023-01-20, the 10-day SMA at $16.55 crossed above the 200-day SMA at $16.30, exceeding it by 0.3% of the stock price ($17.84). We invested $82,841,897.86 — which includes $2,462,377.87 in interest earned while holding cash for 281 days — gaining exposure to 13,931,592.79 equivalent shares.
On 2025-03-05, the 10-day SMA at $125.51 fell below the 200-day SMA at $127.09 by 0.3% of the stock price ($117.30), triggering our exit. After holding the position for 775 days, we exited leaving $1,452,405,297.63 in available cash.
On 2025-05-20, the 10-day SMA at $127.95 crossed above the 200-day SMA at $125.71, exceeding it by 0.3% of the stock price ($134.38). We invested $1,464,306,996.50 — which includes $11,901,698.87 in interest earned while holding cash for 76 days — gaining exposure to 32,690,287.47 equivalent shares.
As of 2025-07-05, we hold an options position equivalent to 32,690,287.47 shares using call options (leveraged exposure). The net liquidation value of $2,263,872,086.95 accounts for all time decay costs.