Range breakoutlongBacktest-Ergebnisse @ SPY • 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 SPY • 1 Minute (SPDR S&P 500) 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 SPY • 1 Minute Kerzen getestet. Dieser Backtest ergab 197 Positionen, mit einer durchschnittlichen Gewinnrate von 35% und einem Risiko-Rendite-Verhältnis von 2.42. Wenn Sie annehmen, dass das 2.42 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 29.2, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.60% vs 6.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -1.10% vs -1.50% für das Asset
- Exposition: Exposition: 32.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 35.0%, vs 29.2% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.42
Mit dieser Exposition können Sie erkennen, dass Sie bei 32% Marktzeit 24.24% des Asset-Aufwärtspotenzials und 73.33% 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 @ SPY • 1 Minute (1.6%) erklärt von Mike
Mike
AutorYo fam, this Range Breakout strategy is looking pretty interesting! 🚀 The numbers are giving me some mixed vibes, but there's definitely potential here.
First off, that 35% win rate might look scary, but check this out - we're actually crushing it with a 2.42 risk/reward ratio! That's what I call making our winners count 💪. We're sitting pretty with a 34.7% cushion above the minimum win rate we need, which is absolutely bonkers good. Plus, that max drawdown of only -1.1% is like, super chill for a day trading strategy.
The one thing that's got me a bit worried is that we're underperforming buy & hold (1.6% vs 6.6%). But hey, we're only exposed to the market 32% of the time, so we're actually being pretty efficient with our capital. That means we could potentially leverage this bad boy or trade multiple setups! And averaging 10 trades per day? That's perfect for us Wendy's warriors trying to stack those tendies between shifts! 🍗
Keep in mind though, this is just paper trading results from the future (2025 lol), so we gotta stay grounded. But man, with these kind of numbers, I might have to skip the next PS5 drop and put that money into trading instead! 🎮➡️📈
Tabellarische Metriken von Range breakout getestet auf SPY • 1 Minute
| Gesamttrades | 197 | Nettogewinn | 1.6% | Buy & Hold Gewinn | 6.6% |
| Gewinnrate | 35% | Risiko/Rendite-Verhältnis | 2.42 | Maximaler Drawdown | -1.1% |
| Asset Maximaler Drawdown | -1.5% | Exposition | 32.2% | Durchschn. Kerzen in Position | 15.3 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.4 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.6 | Durchschn. Trades pro Monat | 311.1 | Durchschn. Trades pro Tag | 10.4 |
| Rendite Std Dev | 0.1 | Verlust Std Dev | 0.0 | Gewinn Std Dev | 0.2 |
| Erwartungswert | 0.2 | Beta | 0.33 |
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 |