Range breakoutlongBacktest-Ergebnisse @ SPY • 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 SPY • 1 Hour (SPDR S&P 500) 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 SPY • 1 Hour Kerzen getestet. Dieser Backtest ergab 183 Positionen, mit einer durchschnittlichen Gewinnrate von 40% und einem Risiko-Rendite-Verhältnis von 1.96. Wenn Sie annehmen, dass das 1.96 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 33.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 28.00% vs 107.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -17.40% vs -35.10% für das Asset
- Exposition: Exposition: 36.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 40.0%, vs 33.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.96
Mit dieser Exposition können Sie erkennen, dass Sie bei 36% Marktzeit 26.17% des Asset-Aufwärtspotenzials und 49.57% 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 @ SPY • 1 Hour (28.0%) erklärt von Alex C
Alex C
AutorThe backtest results show some interesting patterns, but I am not completely convinced about the strategy. The win rate of 40% with a risk/reward ratio of 1.96 is mathematically viable - this reflects in the positive expectancy of 0.2. However, the strategy significantly underperforms buy & hold (28% vs 107%), which makes me skeptical about its real-world application.
What concerns me most is the high maximum drawdown of 17.4% relative to the total profit. This suggests the strategy might be too risky for its returns. The Sharpe ratio of 0.28 is quite low - I would normally want to see at least 0.5 for a strategy to be considered. The volatility metrics show that while the strategy reduces overall volatility compared to the underlying asset (7.79% vs 17.55%), it doesn't compensate enough in terms of returns.
The one positive aspect I see is the healthy win rate leeway of 39.66% above the minimal required win rate. This suggests the strategy has some robustness against deteriorating market conditions. But with a maximum losing streak of 8 trades, one needs significant psychological strength and capital to survive such periods. I would recommend to either adjust the exit conditions to reduce the maximum drawdown or look for additional filters to improve the entry precision.
Tabellarische Metriken von Range breakout getestet auf SPY • 1 Hour
| Gesamttrades | 183 | Nettogewinn | 28.0% | Buy & Hold Gewinn | 107.0% |
| Gewinnrate | 40% | Risiko/Rendite-Verhältnis | 1.96 | Maximaler Drawdown | -17.4% |
| Asset Maximaler Drawdown | -35.1% | Exposition | 36.3% | Durchschn. Kerzen in Position | 18.8 |
| Sharpe-Ratio | 0.28 | Sortino-Ratio | 0.47 | Realisierte Volatilität | 7.79% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.4 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 5.3 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 1.4 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 1.3 |
| Erwartungswert | 0.2 | Beta | 0.18 |
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 |