Bollinger bands pierce (long)longBacktest-Ergebnisse @ SPY • Daily
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 32.5 years von SPY • Daily (SPDR S&P 500) Daten, von January 29, 1993 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 32.5 years von SPY • Daily Kerzen getestet. Dieser Backtest ergab 146 Positionen, mit einer durchschnittlichen Gewinnrate von 42% und einem Risiko-Rendite-Verhältnis von 1.72. Wenn Sie annehmen, dass das 1.72 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 36.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 32.30% vs 1316.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -33.30% vs -56.70% für das Asset
- Exposition: Exposition: 32.40% Zeit im Markt
- Gewinnrate: Gewinnrate: 42.0%, vs 36.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.72
Mit dieser Exposition können Sie erkennen, dass Sie bei 32% Marktzeit 2.45% des Asset-Aufwärtspotenzials und 58.73% des Asset-Abwärtspotenzials erhalten.
Bollinger bands pierce (long): Position eingehen wenn
All of the following: # Echo D Chart(close) (1 candles ago) < D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) D Chart(close) > D Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): Position verlassen wenn
All of the following: # Oscar D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ SPY • Daily (32.3%) erklärt von Alex C, Sarah
Alex C
AutorThe results are not looking very impressive from mathematical perspective. While the strategy shows some positive metrics like good Risk/Reward ratio of 1.72 and healthy win rate leeway, there are several red flags that make me concerned.
First problem I see is the very low trade frequency - only 146 trades over 32.5 years means aproximately 0.7 trades per month. This is extremely low and makes the statistical significance questionable. The strategy also significantly underperforms buy & hold with only 32.3% net profit compared to 1316.3% for buy & hold. The negative Sharpe ratio of -0.41 and Sortino ratio of -0.32 indicate poor risk-adjusted returns.
What concerns me most is the inconsistency in performance across different time periods. While short-term CAGR looks good (31.3% for 1M), it deteriorates significantly over longer periods (down to 2.6% for 5Y). This suggests the strategy may not be robust enough for real trading conditions. The max drawdown of 33.3% is also quite high relative to the overall returns. I would need to see more trades and better risk-adjusted metrics before considering this strategy viable.
Sarah
AutorMadre mía, this strategy is absolute garbage! The numbers are screaming "stay away" louder than my abuela when she catches someone messing up her paella.
Look at that pathetic 32.3% net profit over 32.5 years when buy & hold gave 1316.3%! You would have done better putting your money under your mattress, por dios! The Win Rate of 42% might look acceptable with that Risk/Reward ratio, but with only 0.7 trades per month? That's menos que nada - you're basically paying your broker to waste your time.
The negative Sharpe and Sortino ratios are like a big red flag waving in your face. And that -33.3% drawdown? Terrible! The strategy is clearly struggling to deliver any consistent results - just look at how the performance deteriorates from 1M to 5Y periods. It's like watching a bull slowly dying in the arena, but less entertaining.
Tabellarische Metriken von Bollinger bands pierce (long) getestet auf SPY • Daily
| Gesamttrades | 146 | Nettogewinn | 32.3% | Buy & Hold Gewinn | 1316.3% |
| Gewinnrate | 42% | Risiko/Rendite-Verhältnis | 1.72 | Maximaler Drawdown | -33.3% |
| Asset Maximaler Drawdown | -56.7% | Exposition | 32.4% | Durchschn. Kerzen in Position | 17.1 |
| Sharpe-Ratio | -0.41 | Sortino-Ratio | -0.32 | Realisierte Volatilität | 5.89% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 2.2 | Durchschn. Trades pro Monat | 0.7 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 2.8 | Verlust Std Dev | 1.0 | Gewinn Std Dev | 2.7 |
| Erwartungswert | 0.2 | Beta | 0.13 |
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 |