Range breakoutlongBacktest-Ergebnisse @ BTCUSDT • 1 Minute
Diese Strategie steigt ein, sobald die Preisaktion aus der Spanne der letzten 20 Kerzen ausbricht, begleitet von erhöhtem Handelsvolumen. Sie steigt aus, sobald der Preis unter einer SMA(20) schließt. Die Idee ist es, Trends zu folgen und den durch Volumen bestätigten Momentum zu nutzen.
Eigenkapitalkurve
Der Backtest umfasst 7 days von BTCUSDT • 1 Minute (Bitcoin vs Tether, Binance US) Daten, von July 19, 2025 bis July 25, 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 Range breakout über 7 days von BTCUSDT • 1 Minute Kerzen getestet. Dieser Backtest ergab 114 Positionen, mit einer durchschnittlichen Gewinnrate von 46% und einem Risiko-Rendite-Verhältnis von 1.27. Wenn Sie annehmen, dass das 1.27 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 44.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 0.40% vs -0.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -2.30% vs -4.50% für das Asset
- Exposition: Exposition: 25.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 46.0%, vs 44.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.27
Mit dieser Exposition können Sie erkennen, dass Sie bei 26% Marktzeit -80.00% des Asset-Aufwärtspotenzials und 51.11% des Asset-Abwärtspotenzials erhalten.
Range breakout: Position eingehen wenn
All of the following: # Papa
1min Chart(high) > 1min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
1min Relative Volume (20, SMA, 1) > 1.5Range breakout: Position verlassen wenn
All of the following: # Delta 1min Chart(close) < 1min Range (20, 0), Middle
Range breakout @ BTCUSDT • 1 Minute (0.4%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results look quite interessant from mathematical perspective. The strategy shows some promising characteristics, but also has some concerns I must point out.
First the positives: The strategy achieves a 0.4% net profit against a -0.5% buy & hold, which means it outperforms the market in this timeframe. The risk/reward ratio of 1.27 is acceptable, and most importantly, the win rate of 46% is comfortably above the minimal sufficient win rate of 44.1%. This gives us a good win rate leeway of about 4.5%, which provides some statistical buffer.
However, I have concerns about the high frequency of trades - 38 trades per day is very much and makes the strategy susceptible to death by thousand cuts through fees, which I dont see accounted for in these metrics. Also, the max drawdown of -2.3% relative to only 0.4% net profit is not optimal from risk management perspective. The short average hold time of 11.7 candles combined with such high trade frequency suggests the strategy might be overreacting to noise rather than catching real movements.
I would suggest to try increase the volume threshold from 1.5 to maybe 2.0 or 2.5 to reduce false signals, and maybe add some additional filters to reduce the number of trades while maintaining the positive expectancy. But the basic idea looks not completely terrible.
Mike
AutorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break it down for my fellow degens.
First off, we're beating the market here - strategy's up 0.4% while buy & hold is down 0.5%. That's already a W! The strategy's making moves with 114 trades in just a week, which is pretty active. I'm loving that 1.27 risk/reward ratio and the fact we're running with a 46% win rate when we only need 44.1% to break even. That's some sweet margin of safety right there! 💪
The drawdown is looking controlled at -2.3% (way better than the market's -4.5%), and we're only exposed to the market about 26% of the time. That means we're not bagholding through the rough patches. The average trade duration is just 11.7 minutes - perfect for scalping those quick gains! The losing streaks aren't too scary either, maxing out at 7 while winners can string together 6 in a row.
This could be a solid strategy for us Wendy's warriors to stack some tendies! Just gotta keep those position sizes reasonable and maybe even consider scaling in during those winning streaks. Not financial advice though - I'm just a dude behind the fry station dreaming big! 🍗📈
Sarah
AutorMadre mía, this backtest shows some serious problems! The strategy is like throwing spaghetti at the wall hoping something sticks.
38 trades per day? Are you trying to make your broker rich with fees? This hyperactive trading style is typically a recipe for disaster, especially in crypto where spreads and fees can eat you alive. The 0.4% net profit is pathetic considering the risk you're taking - you might as well put your money under your pillow!
The win rate is barely above the minimal sufficient rate - just 1.9% difference. That's walking on very thin ice, mi amigo! One small change in market conditions and your strategy goes *poof*. And that 25.9% market exposure? It's like you're scared of the market! Either commit properly or go home.
The most alarming thing is those streaks - 7 consecutive losses? Dios mío! With such tight margins, this could absolutely destroy your account if you're not careful with position sizing. And don't even get me started on those NaN values in your risk metrics - it's like driving blindfolded!
Look, if you want to throw away money, there are faster ways to do it. This strategy needs serious work before it's even remotely considerable for real trading.
Tabellarische Metriken von Range breakout getestet auf BTCUSDT • 1 Minute
| Gesamttrades | 114 | Nettogewinn | 0.4% | Buy & Hold Gewinn | -0.5% |
| Gewinnrate | 46% | Risiko/Rendite-Verhältnis | 1.27 | Maximaler Drawdown | -2.3% |
| Asset Maximaler Drawdown | -4.5% | Exposition | 25.9% | Durchschn. Kerzen in Position | 11.7 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.0 | Durchschn. Trades pro Monat | 1140.0 | Durchschn. Trades pro Tag | 38.0 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.1 |
| Erwartungswert | 0.0 | Beta | 0.21 |
Alle Backtests für Range breakout
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 26% | (0.4%/-0.5%) -0.80x | (-2.3%/-4.5%) 0.51x | 46 | 1.3 |
EURUSD • 1 Minute | 22% | (-0.5%/0.9%) -0.56x | (-0.6%/-0.7%) 0.86x | 22 | 2.8 |
GLD • 1 Minute | 32% | (0.6%/-1.4%) -0.43x | (-1.9%/-4.1%) 0.46x | 38 | 1.8 |
NVDA • 1 Minute | 25% | (7.8%/20.4%) 0.38x | (-3.7%/-5.3%) 0.70x | 34 | 3.0 |
PLTR • 1 Minute | 28% | (1.3%/15.0%) 0.09x | (-5.4%/-12.9%) 0.42x | 36 | 1.9 |
SPY • 1 Minute | 32% | (1.6%/6.6%) 0.24x | (-1.1%/-1.5%) 0.73x | 35 | 2.4 |
TSLA • 1 Minute | 26% | (0.7%/-0.2%) -3.50x | (-12.8%/-19.2%) 0.67x | 35 | 1.9 |
WMT • 1 Minute | 31% | (-0.5%/3.3%) -0.15x | (-3.2%/-5.1%) 0.63x | 32 | 2.0 |
BTCUSDT • 10 Minutes | 33% | (10.5%/14.3%) 0.73x | (-4.9%/-12.1%) 0.40x | 36 | 2.4 |
EURUSD • 10 Minutes | 23% | (1.1%/1.8%) 0.61x | (-1.2%/-4.3%) 0.28x | 39 | 1.8 |
GLD • 10 Minutes | 38% | (9.4%/35.8%) 0.26x | (-5.4%/-8.3%) 0.65x | 37 | 2.2 |
NVDA • 10 Minutes | 30% | (19.8%/37.4%) 0.53x | (-28.5%/-42.8%) 0.67x | 46 | 1.4 |
PLTR • 10 Minutes | 31% | (43.5%/467.7%) 0.09x | (-32.3%/-46.5%) 0.69x | 40 | 1.9 |
SPY • 10 Minutes | 33% | (5.1%/13.1%) 0.39x | (-9.7%/-20.7%) 0.47x | 39 | 1.8 |
TSLA • 10 Minutes | 28% | (30.7%/25.4%) 1.21x | (-21.4%/-55.3%) 0.39x | 40 | 1.9 |
WMT • 10 Minutes | 32% | (23.2%/39.5%) 0.59x | (-5.3%/-23.8%) 0.22x | 41 | 2.1 |
BTCUSDT • 1 Hour | 34% | (0.5%/70.3%) 0.01x | (-18.7%/-30.6%) 0.61x | 34 | 2.0 |
EURUSD • 1 Hour | 30% | (1.6%/7.1%) 0.23x | (-6.8%/-9.0%) 0.76x | 34 | 2.1 |
GLD • 1 Hour | 38% | (39.3%/122.5%) 0.32x | (-19.5%/-22.2%) 0.88x | 39 | 2.2 |
NVDA • 1 Hour | 44% | (555.6%/3243.4%) 0.17x | (-52.5%/-68.0%) 0.77x | 46 | 2.1 |
PLTR • 1 Hour | 38% | (449.7%/1466.7%) 0.31x | (-56.3%/-86.6%) 0.65x | 43 | 2.4 |
SPY • 1 Hour | 36% | (28.0%/107.0%) 0.26x | (-17.4%/-35.1%) 0.50x | 40 | 2.0 |
TSLA • 1 Hour | 39% | (1353.0%/1305.7%) 1.04x | (-40.8%/-75.1%) 0.54x | 39 | 3.1 |
WMT • 1 Hour | 33% | (60.9%/145.2%) 0.42x | (-15.7%/-26.9%) 0.58x | 39 | 2.4 |
BTCUSDT • Daily | 35% | (549.0%/1346.8%) 0.41x | (-54.7%/-76.6%) 0.71x | 47 | 3.3 |
GLD • Daily | 32% | (83.3%/592.8%) 0.14x | (-21.7%/-45.3%) 0.48x | 48 | 1.8 |
NVDA • Daily | 32% | (6469.1%/396269.9%) 0.02x | (-55.8%/-90.0%) 0.62x | 50 | 2.7 |
SPY • Daily | 22% | (90.1%/1344.4%) 0.07x | (-15.9%/-56.7%) 0.28x | 49 | 2.3 |
TSLA • Daily | 30% | (2791.1%/24273.6%) 0.11x | (-42.7%/-75.0%) 0.57x | 42 | 4.8 |
WMT • Daily | 30% | (30.4%/10116.3%) 0.00x | (-67.6%/-50.6%) 1.34x | 39 | 1.8 |