Bollinger bands pierce (long)longBacktest-Ergebnisse @ GLD • 1 Hour
Diese Strategie kauft, wenn der Preis nach oben aus dem oberen Bollinger Band ausbricht. Dies soll den Beginn einer großen Aufwärtsbewegung anzeigen. Sie verkauft dann, wenn der Preis unter die Mittellinie der Bollinger Bänder fällt. Sieh, ob das Kaufen des Bollinger Bands Ausbruchs eine gute Idee ist! Wir haben es backgetestet.
Eigenkapitalkurve
Der Backtest umfasst 5.7 years von GLD • 1 Hour (SPDR Gold Trust) Daten, von October 25, 2019 bis July 11, 2025.
Die Eigenkapitalkurve zeigt die Leistung der Strategie im Zeitverlauf. Sie sollten sie mit der Buy & Hold Performance des Assets vergleichen. Im Allgemeinen sollte der blaue Bereich deutlich über dem grauen Bereich liegen.
Drawdown zeigt, wie viel Verluste (realisiert oder nicht realisiert) die Strategie im Vergleich zum höchsten Eigenkapitalpeak hatte. Vergleichen Sie dies mit dem Drawdown des Assets, um zu sehen, ob Ihre Strategie eine anständige Arbeit leistet, Sie von Abwärtsvolatilität zu isolieren. Im Allgemeinen muss der rote Bereich gut innerhalb des grauen Bereichs liegen.
Also haben wir Bollinger bands pierce (long) über 5.7 years von GLD • 1 Hour Kerzen getestet. Dieser Backtest ergab 186 Positionen, mit einer durchschnittlichen Gewinnrate von 41% und einem Risiko-Rendite-Verhältnis von 1.78. Wenn Sie annehmen, dass das 1.78 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 36.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 21.00% vs 117.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -28.20% vs -22.20% für das Asset
- Exposition: Exposition: 34.60% Zeit im Markt
- Gewinnrate: Gewinnrate: 41.0%, vs 36.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.78
Mit dieser Exposition können Sie erkennen, dass Sie bei 35% Marktzeit 17.86% des Asset-Aufwärtspotenzials und 127.03% des Asset-Abwärtspotenzials erhalten.
Bollinger bands pierce (long): Position eingehen wenn
All of the following: # Echo 60min Chart(close) (1 candles ago) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 60min Chart(close) > 60min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): Position verlassen wenn
All of the following: # Oscar 60min Chart(close) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ GLD • 1 Hour (21.0%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest shows some concerning patterns that make me skeptical about this strategy. Let me explain why.
The strategy shows a win rate of 41% with a risk/reward ratio of 1.78, which mathematically could work. However, the market exposure of 34.6% delivered only 21% net profit over 5.7 years, while buy & hold made 117.6%. This massive underperformance is a red flag. The negative Sharpe (-0.26) and Sortino (-0.58) ratios confirm that the risk-adjusted returns are poor.
What worries me most is the degrading performance over time. While short-term metrics look okay (CAGR of 14-22% for 1M-6M), the longer-term performance drops dramatically to just 0.7% CAGR over 5 years. This suggests the strategy might be curve-fitted to recent data and lacks robustness. Combined with the relatively high drawdown of -28.2%, which is worse than the asset's drawdown, I would definetely not trade this strategy in its current form.
Mike
AutorYo fam, let me break down this Bollinger Bands strategy on GLD! 🚀
The strat's giving us some mixed signals here. On the bright side, we're rocking a solid 1.78 risk/reward ratio and the win rate is actually 4064% above what we need to break even - that's pretty fire! 🔥 The average winner is bringing in 1.53% while we're only losing 0.86% on the L's, which isn't too shabby for an hourly timeframe.
But here's where it gets a bit sus - the overall net profit is only 21% over 5.7 years, while buy & hold would've given us 117.6%. Plus that 28.2% max drawdown is kinda scary ngl. The strategy's only in the market about 35% of the time, which might explain why we're leaving some gains on the table. Also seeing those negative Sharpe and Sortino ratios makes me a bit nervous fam. 💀
Would I YOLO my Wendy's paycheck on this? Probably not as is, but there might be some potential here. Maybe we could tweak the exit conditions to let winners run more, or combine it with some other indicators. The bones are good but it needs some work to become a real tendies printer! 💸 Remember, past performance doesn't guarantee future results, but at least the risk management looks solid! 🎯
Sarah
AutorDios mío, this strategy is a complete disaster! The numbers are screaming "stay away" louder than my abuela when she catches someone messing up her kitchen.
Look at these pathetic metrics - 21% net profit over 5.7 years while buy & hold gave 117.6%? That's embarrassingly bad! The win rate of 41% might look acceptable with the Risk/Reward ratio of 1.78, but combine that with a horrific -28.2% max drawdown and negative Sharpe/Sortino ratios, and you've got yourself a recipe for account destruction. You would have to be completely loco to trade this!
The performance degradation over time periods tells me this strategy is as reliable as a chocolate teapot. It starts decently in shorter timeframes but completely falls apart in longer ones - from 22% CAGR in 6 months to a miserable 0.7% in 5 years. This is clear evidence of curve fitting and strategy fragility. Honestly, whoever designed this strategy should consider taking up gardening instead of trading - might be more profitable!
Tabellarische Metriken von Bollinger bands pierce (long) getestet auf GLD • 1 Hour
| Gesamttrades | 186 | Nettogewinn | 21.0% | Buy & Hold Gewinn | 117.6% |
| Gewinnrate | 41% | Risiko/Rendite-Verhältnis | 1.78 | Maximaler Drawdown | -28.2% |
| Asset Maximaler Drawdown | -22.2% | Exposition | 34.6% | Durchschn. Kerzen in Position | 17.6 |
| Sharpe-Ratio | -0.26 | Sortino-Ratio | -0.58 | Realisierte Volatilität | 8.68% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.4 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 5.3 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 1.8 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 1.9 |
| Erwartungswert | 0.1 | Beta | 0.36 |
Alle Backtests für Bollinger bands pierce (long)
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 24% | (6.4%/8.9%) 0.72x | (-2.3%/-1.9%) 1.21x | 45 | 2.9 |
EURUSD • 1 Minute | 28% | (0.2%/-0.9%) -0.22x | (-0.6%/-1.2%) 0.50x | 34 | 2.1 |
GLD • 1 Minute | 30% | (2.6%/0.0%) Infinityx | (-1.9%/-5.5%) 0.35x | 40 | 2.1 |
NVDA • 1 Minute | 29% | (10.9%/16.7%) 0.65x | (-2.1%/-4.4%) 0.48x | 42 | 2.5 |
SPY • 1 Minute | 30% | (1.2%/4.6%) 0.26x | (-1.9%/-2.1%) 0.90x | 34 | 2.2 |
TSLA • 1 Minute | 31% | (-15.1%/-10.3%) 1.47x | (-16.7%/-21.4%) 0.78x | 31 | 1.5 |
WMT • 1 Minute | 26% | (-3.3%/-5.4%) 0.61x | (-4.0%/-6.4%) 0.63x | 32 | 1.6 |
BTCUSDT • 10 Minutes | 27% | (7.2%/26.3%) 0.27x | (-4.8%/-12.1%) 0.40x | 38 | 2.1 |
EURUSD • 10 Minutes | 32% | (2.3%/6.8%) 0.34x | (-2.7%/-4.3%) 0.63x | 36 | 2.1 |
GLD • 10 Minutes | 38% | (6.0%/43.7%) 0.14x | (-9.8%/-8.3%) 1.18x | 43 | 1.6 |
NVDA • 10 Minutes | 33% | (8.1%/32.9%) 0.25x | (-26.2%/-42.8%) 0.61x | 44 | 1.4 |
SPY • 10 Minutes | 33% | (3.6%/14.3%) 0.25x | (-7.7%/-20.7%) 0.37x | 42 | 1.6 |
TSLA • 10 Minutes | 31% | (4.5%/59.0%) 0.08x | (-37.6%/-55.3%) 0.68x | 39 | 1.7 |
WMT • 10 Minutes | 34% | (25.4%/40.1%) 0.63x | (-6.8%/-23.8%) 0.29x | 43 | 2.1 |
BTCUSDT • 1 Hour | 30% | (9.3%/71.3%) 0.13x | (-17.2%/-30.6%) 0.56x | 38 | 1.8 |
EURUSD • 1 Hour | 32% | (6.5%/8.4%) 0.77x | (-4.2%/-9.0%) 0.47x | 40 | 1.9 |
GLD • 1 Hour | 35% | (21.0%/117.6%) 0.18x | (-28.2%/-22.2%) 1.27x | 41 | 1.8 |
NVDA • 1 Hour | 36% | (521.6%/3126.3%) 0.17x | (-36.1%/-68.0%) 0.53x | 47 | 2.3 |
SPY • 1 Hour | 36% | (31.9%/106.7%) 0.30x | (-11.2%/-35.1%) 0.32x | 46 | 1.6 |
TSLA • 1 Hour | 34% | (2572.3%/1395.5%) 1.84x | (-29.3%/-75.1%) 0.39x | 46 | 3.1 |
WMT • 1 Hour | 34% | (62.8%/138.2%) 0.45x | (-14.6%/-26.9%) 0.54x | 43 | 2.1 |
BTCUSDT • Daily | 36% | (320.8%/1335.5%) 0.24x | (-61.6%/-76.6%) 0.80x | 40 | 3.2 |
EURUSD • Daily | 29% | (3.2%/10.8%) 0.30x | (-10.2%/-23.3%) 0.44x | 30 | 2.7 |
GLD • Daily | 33% | (106.4%/595.1%) 0.18x | (-23.8%/-45.3%) 0.53x | 45 | 2.1 |
NVDA • Daily | 39% | (9137.3%/373678.5%) 0.02x | (-67.9%/-90.0%) 0.75x | 50 | 2.5 |
SPY • Daily | 32% | (32.3%/1316.3%) 0.02x | (-33.3%/-56.7%) 0.59x | 42 | 1.7 |
TSLA • Daily | 35% | (8915.3%/24185.2%) 0.37x | (-40.7%/-75.0%) 0.54x | 45 | 5.0 |
WMT • Daily | 34% | (-20.9%/9978.0%) -0.00x | (-65.4%/-50.6%) 1.29x | 37 | 1.7 |