Range breakoutlongBacktest-Ergebnisse @ GLD • 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 5.7 years von GLD • 1 Hour (SPDR Gold Trust) Daten, von November 8, 2019 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 5.7 years von GLD • 1 Hour Kerzen getestet. Dieser Backtest ergab 202 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 2.24. Wenn Sie annehmen, dass das 2.24 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 30.9, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 39.30% vs 122.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -19.50% vs -22.20% für das Asset
- Exposition: Exposition: 37.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 30.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.24
Mit dieser Exposition können Sie erkennen, dass Sie bei 38% Marktzeit 32.08% des Asset-Aufwärtspotenzials und 87.84% 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 @ GLD • 1 Hour (39.3%) erklärt von Sarah
Sarah
AutorDios mío, this strategy is a complete disaster! I can't believe anyone would even consider trading this garbage. Let me tell you why you should run away from it as fast as posible.
First, the strategy severely underperforms buy & hold - 39.3% vs 122.5%. That's pathetic! You're basically losing money by being too clever. The market exposure of 37.9% shows you're missing most of the good moves while probably catching all the bad ones. And that Win Rate of 39%? Madre mía, it's terrible! You're losing 61% of the time!
The risk metrics are even more horrible. A Sharpe ratio of 0.03 is basically saying you're taking massive risk for minimal returns. The max drawdown of -19.5% is almost as bad as just holding the asset (-22.2%), but with way worse returns! The strategy can't even justify its existence from a risk-adjusted perspective.
Look, I know you probably spent time developing this, but sometimes we have to be brutal - this strategy is pure rubbish. The only slightly positive thing is the Risk/Reward ratio of 2.24, but what good is that when you're losing most trades and massively underperforming? Delete this strategy and start over. And next time, try to create something that actually makes money instead of this disaster.
Tabellarische Metriken von Range breakout getestet auf GLD • 1 Hour
| Gesamttrades | 202 | Nettogewinn | 39.3% | Buy & Hold Gewinn | 122.5% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 2.24 | Maximaler Drawdown | -19.5% |
| Asset Maximaler Drawdown | -22.2% | Exposition | 37.9% | Durchschn. Kerzen in Position | 17.7 |
| Sharpe-Ratio | 0.03 | Sortino-Ratio | 0.03 | Realisierte Volatilität | 9.12% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 10 |
| Durchschn. Verlustserie | 2.4 | Durchschn. Trades pro Monat | 5.8 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 1.7 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 1.9 |
| Erwartungswert | 0.3 | Beta | 0.39 |
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 |