Range breakoutlongBacktest-Ergebnisse @ WMT • 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 WMT • 1 Minute (Walmart 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 WMT • 1 Minute Kerzen getestet. Dieser Backtest ergab 200 Positionen, mit einer durchschnittlichen Gewinnrate von 32% und einem Risiko-Rendite-Verhältnis von 2.04. Wenn Sie annehmen, dass das 2.04 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.9, um profitabel zu sein. Sie sind also am Arsch! Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -0.50% vs 3.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -3.20% vs -5.10% für das Asset
- Exposition: Exposition: 30.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 32.0%, vs 32.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.04
Mit dieser Exposition können Sie erkennen, dass Sie bei 31% Marktzeit -15.15% des Asset-Aufwärtspotenzials und 62.75% 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 @ WMT • 1 Minute (-0.5%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results show some concerning patterns. While the Win Rate Leeway looks good at first glance, the overall strategy performance is quite problematic. A negative net profit of -0.5% against a buy & hold profit of 3.3% shows that this strategy is underperforming the market significantly.
The win rate of 32% is very low, even though the Risk/Reward ratio of 2.04 mathematically balances it. What worries me most is the high frequency of trades - 10.5 trades per day is excessive and will result in high transaction costs which are not even factored in these results yet. The maximum losing streak of 13 trades in combination with the high trade frequency could lead to substantial drawdowns in real trading conditions.
From pure mathematical perspective, the strategy shows some potential due to the positive Win Rate Leeway, but the market exposure of only 30.9% suggests it might be missing important moves. The average holding time of 14.4 candles appears too short for capturing meaningful price movements. I would suggest optimizing the entry conditions to reduce false signals and maybe increasing the holding period to capture more of the trend movement.
Sarah
AutorMadre mia, this strategy is a complete disaster! Your win rate is pathetically low at 32% - you might as well be throwing darts blindfolded! And somehow you managed to lose money (-0.5%) while the market was actually up 3.3%. Impressive how bad that is!
The only somewhat decent thing here is the Risk/Reward ratio of 2.04, but what good is that when you're losing more than 2/3 of your trades? And those losing streaks... 13 losses in a row? That's enough to make anyone's account bleed to death! The drawdown of -3.2% might not look terrible, but with such poor performance it's just the tip of the iceberg.
Look, I've seen bad strategies before, but this one is especialmente terrible. You're doing way too many trades (10.5 per day) with horrible accuracy. The market exposure of 30.9% suggests you're getting in and out like a drunk monkey. And that -10.7% CAGR compared to the asset's +2.5%? Magnifico... magnificamente terrible!
My suggestion? Throw this strategy in la basura where it belongs and start over. And next time, try to actually make money instead of donating it to the market.
Tabellarische Metriken von Range breakout getestet auf WMT • 1 Minute
| Gesamttrades | 200 | Nettogewinn | -0.5% | Buy & Hold Gewinn | 3.3% |
| Gewinnrate | 32% | Risiko/Rendite-Verhältnis | 2.04 | Maximaler Drawdown | -3.2% |
| Asset Maximaler Drawdown | -5.1% | Exposition | 30.9% | Durchschn. Kerzen in Position | 14.4 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 13 |
| Durchschn. Verlustserie | 3.1 | Durchschn. Trades pro Monat | 315.8 | Durchschn. Trades pro Tag | 10.5 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.2 |
| Erwartungswert | -0.0 | Beta | 0.34 |
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 |