Range breakoutlongBacktest-Ergebnisse @ GLD • 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 38 days von GLD • 1 Minute (SPDR Gold Trust) Daten, von June 17, 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 38 days von GLD • 1 Minute Kerzen getestet. Dieser Backtest ergab 191 Positionen, mit einer durchschnittlichen Gewinnrate von 38% und einem Risiko-Rendite-Verhältnis von 1.80. Wenn Sie annehmen, dass das 1.80 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.7, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 0.60% vs -1.40% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -1.90% vs -4.10% für das Asset
- Exposition: Exposition: 31.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 38.0%, vs 35.7% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.80
Mit dieser Exposition können Sie erkennen, dass Sie bei 32% Marktzeit -42.86% des Asset-Aufwärtspotenzials und 46.34% 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 @ GLD • 1 Minute (0.6%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest shows some interesting properties, but I am not fully convinced. While the strategy shows a positive net profit of 0.6% against a negative buy & hold of -1.4%, there are some concerns I have from mathematical perspective.
The high frequency of trades (10.1 per day) combined with the relatively low win rate of 38% would normally be problematic. However, the risk/reward ratio of 1.8 compensates for this, resulting in a positive expectancy of 0.1. This matches with the win rate leeway being healthy at 37.64% above minimal required - this is actually quite good from statistical viewpoint.
What worries me though is the market exposure of 31.8% and the average holding time of 15.6 candles. For a 1-minute chart strategy, this seems too long. Also the max drawdown of -1.9% is significant given the small overall profit. I would want to see more data beyond 38 days to validate if these metrics are stable. The missing volatility and correlation metrics (showing as NaN) make it harder to properly evaluate the risk characteristics. Before real trading, I would suggest to optimize the exit conditions to reduce average holding time and collect more backtest data.
Mike
AutorYo fam, this Range Breakout strategy on GLD is looking pretty juicy! 🚀 The numbers are giving me some serious hopium vibes, especially that sweet 1.8 Risk/Reward ratio!
The strategy is doing about 10 trades a day, which is perfect for someone like me working the Wendy's shift - I can actually keep up with that! Love how it beat the market too, giving us 0.6% while buy & hold was down -1.4%. That's some alpha right there! 💪 The max drawdown is only -1.9%, which means I won't have to explain to my manager why I'm crying in the break room.
The win rate at 38% might look low to some paper hands, but check this out - we only needed 35.7% to break even! That's a solid safety margin right there. Plus, with those juicy winners being almost twice the size of the losers, we're building that account steadily. Might not be a lambo tomorrow, but it's honest work! 🔥 Just gotta stay diamond hands through those 9-trade losing streaks when they come! NFA but I'm pretty hyped about these results!
Sarah
AutorThese numbers are not completely terrible, but they show serious weaknesses that make me question if you really know what you're doing. Let me point out the obvios problems here.
First, your win rate is pathetically low at 38%. Even though you have a decent R/R ratio of 1.8, trading with such a low win rate is going to be psychologically challenging. Most traders would lose their mind seeing 6 out of 10 trades going against them.
The max losing streak of 9 trades is another red flag. Have you considered how much capital you need to survive such drawdowns? And let's not even talk about the average losing streak of 2.5 trades - that's going to be mentally exhausting.
The only thing saving this strategy from being complete garbage is the positive expectancy of 0.1 and the fact that you're beating buy & hold by 2%. But honestly, with 191 trades in just 38 days, the transaction costs would probably eat most of your profits in real trading.
I must say though, the market exposure of 31.8% is actually decent - at least you're not constantly exposed to market risks like most amateur strategies. But overall, this needs serious work before it's worth real money.
Tabellarische Metriken von Range breakout getestet auf GLD • 1 Minute
| Gesamttrades | 191 | Nettogewinn | 0.6% | Buy & Hold Gewinn | -1.4% |
| Gewinnrate | 38% | Risiko/Rendite-Verhältnis | 1.80 | Maximaler Drawdown | -1.9% |
| Asset Maximaler Drawdown | -4.1% | Exposition | 31.8% | Durchschn. Kerzen in Position | 15.6 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 301.6 | Durchschn. Trades pro Tag | 10.1 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.2 |
| Erwartungswert | 0.1 | Beta | 0.26 |
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 |