Range breakoutlongBacktest-Ergebnisse @ PLTR • 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 4.8 years von PLTR • 1 Hour (Palantir Technologies Inc.) Daten, von September 30, 2020 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 4.8 years von PLTR • 1 Hour Kerzen getestet. Dieser Backtest ergab 192 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 2.35. Wenn Sie annehmen, dass das 2.35 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 29.9, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 449.70% vs 1466.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -56.30% vs -86.60% für das Asset
- Exposition: Exposition: 37.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 29.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.35
Mit dieser Exposition können Sie erkennen, dass Sie bei 38% Marktzeit 30.66% des Asset-Aufwärtspotenzials und 65.01% 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 @ PLTR • 1 Hour (449.7%) erklärt von Alex C
Alex C
AutorThe data shows some interesting patterns, but I have concerns about the strategy's robustness. While the R/R ratio of 2.35 and win rate leeway of 42.7% look mathematicaly solid, the max drawdown of 56.3% is too high for my taste. This indicates high risk exposure that could be problematic in real trading situations.
The market exposure of 37.8% combined with only 0.2 trades per day suggests this is a relatively selective strategy, which is good. However, the 11-trade losing streak is concerning - this could psychologicaly break many traders even if they follow the system perfectly. The low Sharpe ratio of 0.34 also indicates suboptimal risk-adjusted returns, especialy when compared to the buy & hold performance which outperformed the strategy by more than 3x.
From pure mathematical perspective, the strategy shows statistical edge with its 43% win rate against 29.9% minimal required win rate. But I would want to see how sensitive these metrics are to parameter changes - even small adjustments to the 20-period range or 1.5 volume threshold could dramaticaly impact performance. Before considering real money implementation, I would suggest extensive robustness testing across different market regimes.
Tabellarische Metriken von Range breakout getestet auf PLTR • 1 Hour
| Gesamttrades | 192 | Nettogewinn | 449.7% | Buy & Hold Gewinn | 1466.7% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 2.35 | Maximaler Drawdown | -56.3% |
| Asset Maximaler Drawdown | -86.6% | Exposition | 37.8% | Durchschn. Kerzen in Position | 15.6 |
| Sharpe-Ratio | 0.34 | Sortino-Ratio | 0.51 | Realisierte Volatilität | 37.37% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 11 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 6.5 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 6.1 | Verlust Std Dev | 2.0 | Gewinn Std Dev | 6.5 |
| Erwartungswert | 0.4 | Beta | 0.38 |
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 |