Range breakoutlongBacktest-Ergebnisse @ SPY • 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 12.5 months von SPY • 10 Minutes (SPDR S&P 500) Daten, von July 16, 2024 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 12.5 months von SPY • 10 Minutes Kerzen getestet. Dieser Backtest ergab 184 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 1.82. Wenn Sie annehmen, dass das 1.82 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.5, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 5.10% vs 13.10% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -9.70% vs -20.70% für das Asset
- Exposition: Exposition: 33.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 35.5% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.82
Mit dieser Exposition können Sie erkennen, dass Sie bei 33% Marktzeit 38.93% des Asset-Aufwärtspotenzials und 46.86% 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 @ SPY • 10 Minutes (5.1%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting characteristics, but I am not completely convinced about the strategy's robustness.
The positive aspects are the good Risk/Reward ratio of 1.82 and the fact that the actual win rate (39%) is above the minimal required win rate (35.5%). This gives a healthy margin of error. The strategy also shows reasonable trading frequency with about 1 trade per day, which is enough to generate statistical significance over the tested period. The market exposure of 33.3% suggests it's fairly selective about when it trades, which is gut.
However, there are some concerning signals. The win rate of 39% is quite low, even if it's above the minimal requirement. The maximum drawdown of 9.7% is significant relative to the total profit of 5.1%. Also problematic is that the strategy underperformed buy & hold by a significant margin (5.1% vs 13.1%). The Sharpe ratio of 0.11 is too low - I would typically want to see at least 0.5 for a strategy to be considered. These metrics suggest the strategy might not be robust enough for real trading.
I would recommend to optimize the entry conditions to improve the win rate and reduce the maximum drawdown. Perhaps adjusting the volume threshold or adding additional filters could help. But in its current form, I would not trade this strategy with real money.
Mike
AutorYo fam, this range breakout strategy is looking pretty interesting! 🚀 Let me break it down for a fellow trader who's grinding at Wendy's like me.
The strategy's giving us some decent numbers with that 1.82 Risk/Reward ratio - that's actually pretty sweet! We're getting bigger wins than losses (0.60% vs -0.33%), and even though the win rate is only 39%, it's still above what we need to be profitable. That 3.8k% win rate leeway is straight-up fire! 🔥
But keep it real though - we're underperforming buy & hold (5.1% vs 13.1%), and that max drawdown of 9.7% could hurt if you're playing with leverage. The trading frequency looks solid with about one trade per day, so you won't get killed on commissions like some of those scalping strategies I've tried (RIP my paycheck lol).
For my Wendy's portfolio, I'd consider this as part of a larger strategy mix. The low market exposure (33.3%) means it's pretty conservative, which could be good for not getting rekt, but might want to look at tweaking it to catch more upside moves. Maybe combine it with some YOLO plays? Not financial advice tho, just what I'd do with my tendies! 💎🙌
Sarah
AutorMadre mía, this strategy is more disappointing than my ex-husband! Let me tell you why this is not good enough.
First of all, the performance is pathetic - only 5.1% net profit when buy & hold gave 13.1%? That's like paying someone to lose your money! And with a win rate of just 39%, you're basically a professional loser. Even though the Risk/Reward ratio looks decent at 1.82, you're still underperforming the market significantly.
The most alarming thing is those losing streaks, mi amor. 10 consecutive losses? That's not a strategy, that's a disaster waiting to happen! The drawdown of -9.7% is also concerning - imagine explaining to your clients why their money keeps disappearing.
The only slightly positive thing I see is the win rate leeway being above minimal required - but honestly, that's like being proud of not failing completely. The exposure is also quite low at 33.3%, which means you're missing most of the market moves. The Sharpe and Sortino ratios are basically saying "don't bother" with values around 0.11.
If this was my strategy, I would throw it in the garbage where it belongs. You need to go back to the drawing board and create something that actually makes money, not loses it slower than others.
Tabellarische Metriken von Range breakout getestet auf SPY • 10 Minutes
| Gesamttrades | 184 | Nettogewinn | 5.1% | Buy & Hold Gewinn | 13.1% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 1.82 | Maximaler Drawdown | -9.7% |
| Asset Maximaler Drawdown | -20.7% | Exposition | 33.3% | Durchschn. Kerzen in Position | 17.1 |
| Sharpe-Ratio | 0.11 | Sortino-Ratio | 0.12 | Realisierte Volatilität | 9.85% |
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.6 | Durchschn. Trades pro Monat | 29.5 | Durchschn. Trades pro Tag | 1.0 |
| Rendite Std Dev | 0.7 | Verlust Std Dev | 0.4 | Gewinn Std Dev | 0.7 |
| Erwartungswert | 0.1 | Beta | 0.24 |
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 |