Range breakoutlongBacktest-Ergebnisse @ GLD • Daily
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 20.7 years von GLD • Daily (SPDR Gold Trust) Daten, von November 18, 2004 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 20.7 years von GLD • Daily Kerzen getestet. Dieser Backtest ergab 92 Positionen, mit einer durchschnittlichen Gewinnrate von 48% und einem Risiko-Rendite-Verhältnis von 1.83. Wenn Sie annehmen, dass das 1.83 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.3, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 92 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 83.30% vs 592.80% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -21.70% vs -45.30% für das Asset
- Exposition: Exposition: 31.60% Zeit im Markt
- Gewinnrate: Gewinnrate: 48.0%, vs 35.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.83
Mit dieser Exposition können Sie erkennen, dass Sie bei 32% Marktzeit 14.05% des Asset-Aufwärtspotenzials und 47.90% des Asset-Abwärtspotenzials erhalten.
Range breakout: Position eingehen wenn
All of the following: # Papa
D Chart(high) > D Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
D Relative Volume (20, SMA, 1) > 1.5Range breakout: Position verlassen wenn
All of the following: # Delta D Chart(close) < D Range (20, 0), Middle
Range breakout @ GLD • Daily (83.3%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I am not completely convinced about its robustness. The win rate of 48% combined with a good risk/reward ratio of 1.83 gives us positive expectancy of 0.4, which is mathematically viable. However, I see some red flags here.
The market exposure is only 31.6% but the strategy significantly underperforms buy & hold (83.3% vs 592.8%). This suggests the strategy might be missing major moves in the market. The trading frequency is also quite low with only 0.7 trades per month - this makes me worried about statistical significance. With only 92 trades over 20 years, each individual trade has too much impact on the overall performance metrics.
What really concerns me is the performance degradation in recent periods. Looking at the time-based metrics, we see negative performance in 1M and 3M periods, and the CAGR shows clear deterioration from 3Y to 5Y periods (11.9% down to 4.9%). This pattern suggests the strategy might be losing its edge or was potentially overfit to earlier data. The negative Sharpe ratio (-0.06) also indicates poor risk-adjusted returns, although the Sortino ratio is slightly better at 0.26.
Sarah
AutorThis strategy is a complete disaster, and anyone who thinks otherwise needs their head examined! Let me tell you why, mi amigo.
First of all, the strategy's net profit of 83.3% over 20.7 years is pathetically low compared to the buy & hold return of 592.8%. You would have made 7 times more money by simply buying and holding! This is embarrasingly bad performance that makes me want to throw my computer out of the window.
The win rate is below 50% which is already bad, but what makes it truly terrible is the market exposure of 31.6%. This means you're taking all these risks, sitting through drawdowns of -21.7%, just to achieve mediocre returns while being exposed to the market only one-third of the time. The strategy is basically wasting two-thirds of potential trading opportunities!
The only slightly positive thing - and I'm being extremely generous here - is the Risk/Reward ratio of 1.83 and the healthy win rate leeway. But who cares about these metrics when the overall performance is so poor? It's like putting premium gas in a broken car!
Tabellarische Metriken von Range breakout getestet auf GLD • Daily
| Gesamttrades | 92 | Nettogewinn | 83.3% | Buy & Hold Gewinn | 592.8% |
| Gewinnrate | 48% | Risiko/Rendite-Verhältnis | 1.83 | Maximaler Drawdown | -21.7% |
| Asset Maximaler Drawdown | -45.3% | Exposition | 31.6% | Durchschn. Kerzen in Position | 16.8 |
| Sharpe-Ratio | -0.06 | Sortino-Ratio | 0.26 | Realisierte Volatilität | 8.64% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 1.8 | Durchschn. Trades pro Monat | 0.7 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 4.1 | Verlust Std Dev | 1.9 | Gewinn Std Dev | 3.6 |
| Erwartungswert | 0.4 | 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 |