Range breakoutlongBacktest-Ergebnisse @ EURUSD • 10 Minutes
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 95 days von EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)) Daten, von April 21, 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 95 days von EURUSD • 10 Minutes Kerzen getestet. Dieser Backtest ergab 188 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 1.83. Wenn Sie annehmen, dass das 1.83 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.3, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.10% vs 1.80% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -1.20% vs -4.30% für das Asset
- Exposition: Exposition: 23.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 35.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.83
Mit dieser Exposition können Sie erkennen, dass Sie bei 23% Marktzeit 61.11% des Asset-Aufwärtspotenzials und 27.91% des Asset-Abwärtspotenzials erhalten.
Range breakout: Position eingehen wenn
All of the following: # Papa
10min Chart(high) > 10min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
10min Relative Volume (20, SMA, 1) > 1.5Range breakout: Position verlassen wenn
All of the following: # Delta 10min Chart(close) < 10min Range (20, 0), Middle
Range breakout @ EURUSD • 10 Minutes (1.1%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results show some interesting characteristics, but I have concerns about the strategy's stability. The win rate of 39% with a risk/reward ratio of 1.83 is mathematically viable - this explains the positive expectancy of 0.1. However, I'm not convinced about the strategy's edge.
What worries me most is the relation between net profit and market exposure. With 23.3% market exposure, we achieve only 1.1% profit while buy & hold delivers 1.8%. This suggests the strategy might be picking up random noise rather than actual market inefficiencies. The high amount of trades (188 in 95 days) makes me suspect there is some overtrading happening here. The long losing streak of 12 trades is also concerning from risk management perspective.
On the positive side, the Sharpe ratio of 1.65 and especially Sortino ratio of 4.28 suggest good risk-adjusted returns. The relatively low correlation of 0.47 to the underlying asset could make this useful in a portfolio context. But I would want to see results from different market regimes before considering this strategy viable. The current backtest period is too short to make reliable conclusions about the strategy's robustness.
Sarah
AutorAy dios mío, this strategy is like a teenager trying to drive Formula 1 - technically moving but definitely not winning any races!
The win rate of 39% is pathetically low, even though technically it's above the minimal required 35.3%. Yes, you have a positive expectancy of 0.1 and your Risk/Reward looks acceptable at 1.83, but let's be real here - you're barely making any money! A measly 1.1% net profit over 95 days? Mi abuela could do better keeping her money under her mattress!
The most concerning part is that you're underperforming the buy & hold strategy (1.8%) while exposing yourself to unnecessary trading risks. Those losing streaks of up to 12 trades in a row? ¡Qué horror! That's enough to make most traders lose their minds and their accounts.
The only somewhat decent things here are your risk metrics - the Sharpe and Sortino ratios aren't terrible, and the max drawdown is contained at -1.2%. But honestly, with such mediocre returns, who cares? You're basically running a complicated machine to generate peanuts. Either fix this strategy or throw it in la basura where it belongs!
Tabellarische Metriken von Range breakout getestet auf EURUSD • 10 Minutes
| Gesamttrades | 188 | Nettogewinn | 1.1% | Buy & Hold Gewinn | 1.8% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 1.83 | Maximaler Drawdown | -1.2% |
| Asset Maximaler Drawdown | -4.3% | Exposition | 23.3% | Durchschn. Kerzen in Position | 8.5 |
| Sharpe-Ratio | 1.65 | Sortino-Ratio | 4.28 | Realisierte Volatilität | 3.75% |
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 12 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 118.7 | Durchschn. Trades pro Tag | 4.0 |
| Rendite Std Dev | 0.1 | Verlust Std Dev | 0.0 | Gewinn Std Dev | 0.1 |
| Erwartungswert | 0.1 | Beta | 0.15 |
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 |