documentclass[margin=3mm]{standalone}
usepackage[english,spanish]{babel}         % multilenguaje
usepackage{pgfplots}
usetikzlibrary{babel,
    positioning}
pgfplotsset{compat=1.16,width=0.98linewidth}



usepackage{filecontents}
begin{filecontents}{performance.data}
    x    A       B         C        D        E         F
    0.01 0.9126  0.9126   0.9313   0.9494   0.9524   0.9462
    0.02 0.8872  0.8872   0.8980   0.9044   0.9014   0.8966
    0.03 0.8713  0.8713   0.8747   0.8767   0.8737   0.8722
    0.05 0.8549  0.8549   0.8552   0.8541   0.8538   0.8532
    0.09 0.8710  0.8710   0.8700   0.8687   0.8676   0.8667
    0.10 0.8782  0.8782   0.8771   0.8751   0.8740   0.8738
    0.20 0.9301  0.9301   0.9281   0.9275   0.9269   0.9271
end{filecontents}
decimalpoint


begin{document}
    begin{tikzpicture}
    begin{axis}[
    grid = none,
    legend style={at={(0.97,0.03)}, anchor=south east, draw=black},
%   legend cell align=left,
%   legend pos=north east,
    xmin=0.000499999999999999, xmax=0.2095,
    ylabel={RMSE},
    xlabel={$lambda$},
    %
    xticklabel style={font=small,
        /pgf/number format/fixed},
    yticklabel style={font=small},
    %
    every axis plot post/.append style={line width=1.2pt},
    %
    mark size=1.3pt,
    cycle list={
        {blue,mark=*},
        {black,mark=*},
        {red,mark=*},
        {green,mark=*},
        {orange,mark=*},
        {cyan,mark=*},% <-- don't add a comma here
    },
    ]
    addplot    table [y=A] {performance.data};
    addlegendentry{20 f}
    addplot    table [y=B] {performance.data};
    addlegendentry{40 f}
    addplot    table [y=C] {performance.data};
    addlegendentry{60 f}
    addplot    table [y=D] {performance.data};
    addlegendentry{100 f}
    addplot    table [y=E] {performance.data};
    addlegendentry{150 f}
    addplot    table [y=F] {performance.data};
    addlegendentry{200 f}
    end{axis}
    end{tikzpicture}
end{document}