Range breakoutlongBacktest-Ergebnisse @ WMT • 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 WMT • 10 Minutes (Walmart 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 WMT • 10 Minutes Kerzen getestet. Dieser Backtest ergab 209 Positionen, mit einer durchschnittlichen Gewinnrate von 41% und einem Risiko-Rendite-Verhältnis von 2.10. Wenn Sie annehmen, dass das 2.10 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.3, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 23.20% vs 39.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -5.30% vs -23.80% für das Asset
- Exposition: Exposition: 32.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 41.0%, vs 32.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.10
Mit dieser Exposition können Sie erkennen, dass Sie bei 32% Marktzeit 58.73% des Asset-Aufwärtspotenzials und 22.27% 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 @ WMT • 10 Minutes (23.2%) erklärt von Alex C
Alex C
AutorThe results look quite solid from mathematical perspective. I see a few interesting patterns here which make me think this strategy has good potential.
First thing that catches my eye is the Risk/Reward ratio of 2.10 combined with 41% win rate. This is mathematically viable setup - you need only 32.3% win rate to break even, and you are achieving 41%. That's quite good margin of safety. The win rate leeway of 40.68 is significant enough to account for potential market changes without breaking the strategy.
However, I notice some concerning things in the data. The strategy underperforms buy & hold (23.2% vs 39.5%), which is not optimal. Also the maximum drawdown of -5.3% seems bit too optimistic for such long backtest period - I would expect higher drawdowns in real trading conditions. The correlation of 0.55 to underlying asset suggests strategy might not provide enough diversification benefit.
I would recommend to test this on different time periods and maybe add some position sizing rules. The average of 1.1 trades per day is good - not too frequent to make commission costs problem, but enough trades to have statistical significance. Just make sure to account for spread and commission in your real trading calculations.
Tabellarische Metriken von Range breakout getestet auf WMT • 10 Minutes
| Gesamttrades | 209 | Nettogewinn | 23.2% | Buy & Hold Gewinn | 39.5% |
| Gewinnrate | 41% | Risiko/Rendite-Verhältnis | 2.10 | Maximaler Drawdown | -5.3% |
| Asset Maximaler Drawdown | -23.8% | Exposition | 32.3% | Durchschn. Kerzen in Position | 14.4 |
| Sharpe-Ratio | 1.48 | Sortino-Ratio | 2.65 | Realisierte Volatilität | 11.57% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 2.2 | Durchschn. Trades pro Monat | 33.5 | Durchschn. Trades pro Tag | 1.1 |
| Rendite Std Dev | 0.9 | Verlust Std Dev | 0.4 | Gewinn Std Dev | 0.9 |
| Erwartungswert | 0.3 | Beta | 0.25 |
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 |