Range breakoutlongBacktest-Ergebnisse @ TSLA • 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 TSLA • 10 Minutes (Tesla, Inc.) 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 TSLA • 10 Minutes Kerzen getestet. Dieser Backtest ergab 186 Positionen, mit einer durchschnittlichen Gewinnrate von 40% und einem Risiko-Rendite-Verhältnis von 1.87. Wenn Sie annehmen, dass das 1.87 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 34.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 30.70% vs 25.40% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -21.40% vs -55.30% für das Asset
- Exposition: Exposition: 27.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 40.0%, vs 34.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.87
Mit dieser Exposition können Sie erkennen, dass Sie bei 28% Marktzeit 120.87% des Asset-Aufwärtspotenzials und 38.70% 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 @ TSLA • 10 Minutes (30.7%) erklärt von Alex C, Sarah
Alex C
AutorThe backtest results look quite promising from a mathematical perspective. The strategy shows a solid performance with 30.7% net profit, outperforming buy & hold by 5.3 percentage points. What catches my attention immediately is the excellent win rate leeway of 39.65% - this means the strategy has significant room for error above its minimal required win rate.
The low market exposure of 27.7% combined with a beta of 0.23 suggests the strategy is quite conservative and doesn't expose you to unnecessary market risk. However, I see some concerning signals in the maximum drawdown of -21.4% and especially in the losing streak of 10 trades. This could be psychologicaly challenging to trade, even though the mathematics suggest it's managable. The average trade duration of 13.9 candles (about 2.3 hours) seems reasonable for a breakout strategy.
What I find most interessting is the risk/reward ratio of 1.87 combined with the 40% win rate - this gives us a positive expectancy of 0.1, which is statisticaly significant given the sample size of 186 trades. However, I would suggest running additional tests with different timeframes to ensure the strategy isn't over-fitted to the 10-minute chart. Also, the relatively low Sharpe ratio of 0.55 suggests there might be room for optimization in terms of risk-adjusted returns.
Sarah
AutorDios mío, let me tell you what's wrong with this mess of a strategy.
The win rate is pathetic - only 40%! Even though you have a decent reward/risk of 1.87, this is barely keeping you above water. Your strategy is basically throwing darts blindfolded and hoping for the best. The 10-trade losing streak is particularly concerning - this could absolutely destroy an account if position sizing isn't managed properly. And speaking of destruction, that 21.4% drawdown is not something to be proud of, amigo.
The market exposure of 27.7% suggests you're missing a lot of moves. With an average of only 1 trade per day on a volatile stock like Tesla, you're leaving money on the table. The strategy is clearly too restrictive with its entry conditions. And those 13.9 candles average hold time? Too short to capture meaningful trends.
The only halfway decent thing here is that you're beating buy & hold by about 5%. But let's be honest - with these metrics, it's probably more luck than skill. The low Sharpe ratio of 0.55 confirms this strategy is far from optimal. You need to go back to the drawing board and fix these entry conditions - they're clearly not working as intended.
Tabellarische Metriken von Range breakout getestet auf TSLA • 10 Minutes
| Gesamttrades | 186 | Nettogewinn | 30.7% | Buy & Hold Gewinn | 25.4% |
| Gewinnrate | 40% | Risiko/Rendite-Verhältnis | 1.87 | Maximaler Drawdown | -21.4% |
| Asset Maximaler Drawdown | -55.3% | Exposition | 27.7% | Durchschn. Kerzen in Position | 13.9 |
| Sharpe-Ratio | 0.55 | Sortino-Ratio | 0.91 | Realisierte Volatilität | 32.86% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 29.8 | Durchschn. Trades pro Tag | 1.0 |
| Rendite Std Dev | 2.4 | Verlust Std Dev | 1.1 | Gewinn Std Dev | 2.3 |
| Erwartungswert | 0.1 | 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 |