Bollinger bands pierce (long)longBacktest-Ergebnisse @ WMT • 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 WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour Kerzen getestet. Dieser Backtest ergab 187 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 2.07. Wenn Sie annehmen, dass das 2.07 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.6, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 62.80% vs 138.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -14.60% vs -26.90% für das Asset
- Exposition: Exposition: 34.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 32.6% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.07
Mit dieser Exposition können Sie erkennen, dass Sie bei 34% Marktzeit 45.44% des Asset-Aufwärtspotenzials und 54.28% 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) @ WMT • 1 Hour (62.8%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting statistical properties, but I am not fully convinced about its robustness. The risk/reward ratio of 2.07 combined with the 43% win rate gives us a mathematical edge, which is good. The win rate leeway of 42.67% above the minimal required win rate is quite healthy - this tells us the strategy has room for deterioration before becoming unprofitable.
However, I see some red flags here. The strategy significantly underperforms buy & hold (62.8% vs 138.2%), which is not optimal for a strategy that requires active management. The Sharpe ratio of 0.35 is quite low, suggesting poor risk-adjusted returns. Also concerning is the market exposure of only 34.2% - this means we're missing out on a lot of potential moves, which explains the underperformance versus buy & hold.
Looking at the performance by time periods, there is quite some inconsistency in the numbers. While the 6-month CAGR looks impressive at 39.6%, the longer-term CAGRs are much lower, dropping to 8.6% over 5 years. This suggests the strategy might not be as reliable over longer timeframes as one would hope. I would want to see more consistency in the periodic returns before deploying real capital with this approach.
Sarah
AutorDios mío, this strategy is a complete disaster! Let me tell you why you should probably throw this in the garbage.
First of all, the strategy severely underperforms buy & hold (62.8% vs 138.2%). This is embarassing! You're doing twice worse than someone who just bought and forgot about it. Why even bother trading if you can't beat a simple buy & hold? The market exposure of 34.2% shows you're missing most of the upside moves.
The win rate is absolutely terrible - only 43%! Even though your Risk/Reward ratio looks decent at 2.07, you're losing money more than half the time. Yes, you have some safety margin above the minimal win rate, but who wants to lose constantly? The psychological impact would kill most traders.
Looking at the performance periods - it's completely inconsistent! One month you're down 22.8%, then suddenly up 39.6% in 6 months. This kind of volatility makes no sense for serious trading. The Sharpe ratio of 0.35 is embarrasingly low - anything below 1.0 is considered poor risk-adjusted returns.
If you want my honest opinion - and you know I always give it - this strategy needs major work or should be abandoned. It's not worth the time and effort when it can't even beat a simple buy & hold approach. Back to the drawing board!
Tabellarische Metriken von Bollinger bands pierce (long) getestet auf WMT • 1 Hour
| Gesamttrades | 187 | Nettogewinn | 62.8% | Buy & Hold Gewinn | 138.2% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 2.07 | Maximaler Drawdown | -14.6% |
| Asset Maximaler Drawdown | -26.9% | Exposition | 34.2% | Durchschn. Kerzen in Position | 17.3 |
| Sharpe-Ratio | 0.35 | Sortino-Ratio | 0.84 | Realisierte Volatilität | 9.88% |
| Max. Gewinnserie | 7 | Durchschn. Gewinnserie | 2.0 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.6 | Durchschn. Trades pro Monat | 5.4 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 1.7 | Verlust Std Dev | 0.8 | Gewinn Std Dev | 1.5 |
| Erwartungswert | 0.3 | Beta | 0.33 |
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 |