Range breakoutlongBacktest-Ergebnisse @ WMT • 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 WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour Kerzen getestet. Dieser Backtest ergab 190 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 2.41. Wenn Sie annehmen, dass das 2.41 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 29.3, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 60.90% vs 145.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -15.70% vs -26.90% für das Asset
- Exposition: Exposition: 33.40% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 29.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.41
Mit dieser Exposition können Sie erkennen, dass Sie bei 33% Marktzeit 41.94% des Asset-Aufwärtspotenzials und 58.36% 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 @ WMT • 1 Hour (60.9%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting charakteristics, but I am not fully convinced. The win rate of 39% is acceptable since we have a good risk/reward ratio of 2.41, making the strategy mathematically viable. However, the net profit of 60.9% over 5.7 years is significantly below the buy & hold return of 145.2%, which is concerning.
The market exposure of 33.4% suggests this is a relatively conservative strategy, which explains the lower volatility (9.85% vs asset's 20.10%). The max drawdown of -15.7% is quite decent compared to the asset's -26.9%. But the Sharpe ratio of 0.18 is quite poor - I would expect at least 0.5 for a strategy worth implementing. The average of 5.5 trades per month gives us enough statistical significance with 190 total trades, so these metrics should be fairly reliable.
From my mathematical perspective, while the strategy shows some promise with its risk management (good risk/reward, controlled drawdown), the poor risk-adjusted returns (low Sharpe) and significant underperformance versus buy & hold make it hard to justify implementing as is. I would suggest optimizing the entry conditions to improve the win rate while maintaining the good risk/reward ratio. Perhaps adjusting the volume threshold from 1.5 to something more selective could help.
Sarah
AutorMadre mía, this strategy is like a sick dog that needs to be put down! Let me tell you why.
First, the strategy significantly underperforms buy & hold (60.9% vs 145.2%). That's pathetic! You're basically losing money by being too clever, when you could have just bought and forget about it. And with a market exposure of just 33.4%, you're not even taking full advantage of the market movements.
The win rate is absolutely terrible - 39%! Even though your Risk/Reward ratio looks decent at 2.41, you're still getting beaten up constantly. Yes, you're technically above your minimal sufficient win rate, but why would you want to trade something that loses 61% of the time? That's masochistic!
The risk metrics are embarrasing - a Sharpe ratio of 0.18 is laughably bad. The strategy's volatility is lower than the asset's, but that's only because you're sitting out of the market most of the time like a scared cat. And that 15.7% drawdown? For such low market exposure, that's actually quite terrible.
Look, if you want to waste your time with mediocre results, be my guest. But this strategy needs either a complete overhaul or should be thrown in the garbage where it belongs. And I'm being kind here!
Tabellarische Metriken von Range breakout getestet auf WMT • 1 Hour
| Gesamttrades | 190 | Nettogewinn | 60.9% | Buy & Hold Gewinn | 145.2% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 2.41 | Maximaler Drawdown | -15.7% |
| Asset Maximaler Drawdown | -26.9% | Exposition | 33.4% | Durchschn. Kerzen in Position | 16.6 |
| Sharpe-Ratio | 0.18 | Sortino-Ratio | 0.70 | Realisierte Volatilität | 9.85% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.6 | Durchschn. Trades pro Monat | 5.5 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 1.8 | Verlust Std Dev | 0.7 | Gewinn Std Dev | 1.9 |
| Erwartungswert | 0.3 | Beta | 0.34 |
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 |