Range breakoutlongBacktest-Ergebnisse @ EURUSD • 1 Hour
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 19.4 months von EURUSD • 1 Hour (Euro vs USD spot (Interactive Brokers)) Daten, von December 20, 2023 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 19.4 months von EURUSD • 1 Hour Kerzen getestet. Dieser Backtest ergab 196 Positionen, mit einer durchschnittlichen Gewinnrate von 34% und einem Risiko-Rendite-Verhältnis von 2.12. Wenn Sie annehmen, dass das 2.12 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 32.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.60% vs 7.10% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -6.80% vs -9.00% für das Asset
- Exposition: Exposition: 30.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 34.0%, vs 32.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.12
Mit dieser Exposition können Sie erkennen, dass Sie bei 30% Marktzeit 22.54% des Asset-Aufwärtspotenzials und 75.56% des Asset-Abwärtspotenzials erhalten.
Range breakout: Position eingehen wenn
All of the following: # Papa
60min Chart(high) > 60min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
60min Relative Volume (20, SMA, 1) > 1.5Range breakout: Position verlassen wenn
All of the following: # Delta 60min Chart(close) < 60min Range (20, 0), Middle
Range breakout @ EURUSD • 1 Hour (1.6%) erklärt von Alex C
Alex C
AutorThe metrics show some concerning patterns. The strategy has a good Risk/Reward ratio of 2.12 and the win rate of 34% is above the minimal required 32.1% - but only barely so. This small margin leaves little room for error in real trading conditions, where slippage and other factors could easily errode this advantage.
The negative Sharpe (-1.23) and Sortino (-2.11) ratios are particularly problematic and suggest the strategy is not generating good risk-adjusted returns. With a maximum drawdown of -6.8% against only 1.6% total profit over 19.4 months, the risk/return profile is suboptimal. The strategy significantly underperforms buy & hold (7.1%) while still exposing to notable drawdown risk.
I would not recommend trading this strategy in its current form. The high number of trades (196 over the period) combined with the low win rate means you will experience many consecutive losses - the maximum losing streak of 9 trades could be psychologically challenging. The strategy needs optimization to either improve the win rate while maintaining the R/R ratio, or to significantly increase the R/R ratio to better compensate for the low win rate. Maybe consider adding additional filters to reduce false signals.
Tabellarische Metriken von Range breakout getestet auf EURUSD • 1 Hour
| Gesamttrades | 196 | Nettogewinn | 1.6% | Buy & Hold Gewinn | 7.1% |
| Gewinnrate | 34% | Risiko/Rendite-Verhältnis | 2.12 | Maximaler Drawdown | -6.8% |
| Asset Maximaler Drawdown | -9.0% | Exposition | 30.2% | Durchschn. Kerzen in Position | 13.7 |
| Sharpe-Ratio | -1.23 | Sortino-Ratio | -2.11 | Realisierte Volatilität | 3.61% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.4 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.8 | Durchschn. Trades pro Monat | 20.2 | Durchschn. Trades pro Tag | 0.7 |
| Rendite Std Dev | 0.4 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.5 |
| Erwartungswert | 0.1 | Beta | 0.33 |
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 |