Range breakoutlongBacktest-Ergebnisse @ PLTR • 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 PLTR • 1 Minute (Palantir Technologies Inc.) 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 PLTR • 1 Minute Kerzen getestet. Dieser Backtest ergab 181 Positionen, mit einer durchschnittlichen Gewinnrate von 36% und einem Risiko-Rendite-Verhältnis von 1.85. Wenn Sie annehmen, dass das 1.85 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.1, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.30% vs 15.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -5.40% vs -12.90% für das Asset
- Exposition: Exposition: 27.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 36.0%, vs 35.1% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.85
Mit dieser Exposition können Sie erkennen, dass Sie bei 28% Marktzeit 8.67% des Asset-Aufwärtspotenzials und 41.86% 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 @ PLTR • 1 Minute (1.3%) erklärt von Alex C
Alex C
AutorThe backtest results show some interesting patterns, but I am not completely convinced about this strategy. Even though the Win Rate Leeway looks good at first glance, there are some critical issues I see here.
First thing that catches my attention is the big gap between strategy profit (1.3%) and buy & hold (15%). This is not good at all, especially considering the relatively high market exposure of 27.7%. Also the win rate of 36% is quite problematic, even though it is above the minimal sufficient rate. What worries me most is the combination of high trade frequency (9.5 trades per day) and the long losing streaks of up to 9 trades. This could be very challenging psychologically, even if you trade with perfect discipline.
The risk metrics are showing some NaN values which makes proper risk assessment difficult - this is a red flag for me as a quantitative analyst. The max drawdown of -5.4% is actually not too bad compared to the asset drawdown of -12.9%, but with such low overall returns, the risk-adjusted performance is questionable. I would suggest to either modify the entry conditions to be more selective, or maybe try this on a different timeframe where the signal-to-noise ratio could be better.
Tabellarische Metriken von Range breakout getestet auf PLTR • 1 Minute
| Gesamttrades | 181 | Nettogewinn | 1.3% | Buy & Hold Gewinn | 15.0% |
| Gewinnrate | 36% | Risiko/Rendite-Verhältnis | 1.85 | Maximaler Drawdown | -5.4% |
| Asset Maximaler Drawdown | -12.9% | Exposition | 27.7% | Durchschn. Kerzen in Position | 14.3 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 285.8 | Durchschn. Trades pro Tag | 9.5 |
| Rendite Std Dev | 0.4 | Verlust Std Dev | 0.2 | Gewinn Std Dev | 0.4 |
| Erwartungswert | 0.0 | Beta | 0.23 |
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 |