Reversal strategy: BB Low Breakdown on elevated volumelongBacktest-Ergebnisse @ META • 30 Minutes
Diese Intraday-Umkehrstrategie versucht einzusteigen, sobald der Preis nach unten aus dem Bollinger Bands Tief ausbricht, während der RSI Überverkauf signalisiert und das Handelsvolumen über dem Durchschnitt liegt. Sie steigt auch nie auf der letzten Kerze eines Tages ein. Sie steigt aus, sobald der RSI Überverkauf signalisiert, während sie auch einen Take Profit und einen Stop Loss hat.
Eigenkapitalkurve
Der Backtest umfasst 3.1 years von META • 30 Minutes (Meta Platforms, Inc.) Daten, von July 5, 2022 bis August 1, 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 Reversal strategy: BB Low Breakdown on elevated volume über 3.1 years von META • 30 Minutes Kerzen getestet. Dieser Backtest ergab 183 Positionen, mit einer durchschnittlichen Gewinnrate von 25% und einem Risiko-Rendite-Verhältnis von 6.03. Wenn Sie annehmen, dass das 6.03 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 14.2, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 291.90% vs 356.00% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -23.60% vs -51.80% für das Asset
- Exposition: Exposition: 46.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 25.0%, vs 14.2% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 6.03
Mit dieser Exposition können Sie erkennen, dass Sie bei 46% Marktzeit 81.99% des Asset-Aufwärtspotenzials und 45.56% des Asset-Abwärtspotenzials erhalten.
Reversal strategy: BB Low Breakdown on elevated volume: Position eingehen wenn
All of the following: # "Romeo"
30min Chart(low) < 30min Bollinger Bands ® (20, 2, 2, 0, close), Low
30min Relative Strength Index (14, 70, 30, close) < 35
30min Volume (20, SMA), Vol. > 30min Volume (20, SMA), MA
None of the following:
30min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: Position verlassen wenn
Any of the following: 30min Relative Strength Index (14, 70, 30, close) > 80
Exit if lost more than 1% (after candle closes).
Exit if gained more than 10% (after candle closes).
Exit after 100 candles, for any PnL.
Reversal strategy: BB Low Breakdown on elevated volume @ META • 30 Minutes (291.9%) erklärt von Alex C, Mike
Alex C
AutorThe strategy shows some interesting mathematical characteristics, but I am not completely convinced. Let me explain why.
The positive aspects are quite clear: The Risk/Reward ratio of 6.03 is excellent, and the strategy manages to achieve a decent Sharpe ratio of 1.38. The win rate leeway of 24.86% above the minimal required win rate is mathematically significant. This means the strategy has room for deterioration without becoming unprofitable, which is good. Also interesting is that the strategy achieves this with only 46.3% market exposure, which reduces overall risk.
However, there are some concerning points that cannot be ignored from mathematical perspective. The win rate of only 25% is quite low, even if it is above the minimal required rate. This makes the strategy psychologically difficult to trade, as you must accept losing 3 out of 4 trades. The maximum drawdown of 23.6% is also quite high relative to the stop loss of 1%, suggesting that losses can cluster together. The longest losing streak of 9 trades confirms this clustering effect.
I would suggest to either modify the entry conditions to improve win rate, or reduce position size to better handle the drawdowns. From pure mathematical viewpoint, the strategy is viable but requires strict risk management and psychological discipline to execute properly. The numbers tell us it can work, but the human factor could easily destroy its edge.
Mike
AutorYo fam, this META strategy is looking pretty juicy! 🚀 The numbers are giving me some serious YOLO vibes, but let's break it down like we're counting tendies at the end of a Wendy's shift.
That 25% win rate might look sus at first, but check out that monster 6.81% average win vs just -1.13% average loss! We're talking about a strategy that's basically playing small losses for huge gains - kinda like buying those crazy OTM options but way more controlled. The 291.9% total gain over 3 years is straight fire 🔥, even though it's slightly under buy & hold (but with way less exposure to the market, which is actually pretty smart).
The risk metrics are what really get me hyped though. That 23.6% max drawdown is way better than META's own 51.8% drawdown - meaning we could've slept way better during those rough patches. Plus that juicy 24.86 win rate leeway means this strategy has some serious padding - you could mess up a bit and still come out winning. Low-key genius moves right here! 💎🙌 Just gotta have the stomach for those 9-trade losing streaks, but that's what diamond hands are for, right?
Tabellarische Metriken von Reversal strategy: BB Low Breakdown on elevated volume getestet auf META • 30 Minutes
| Gesamttrades | 183 | Nettogewinn | 291.9% | Buy & Hold Gewinn | 356.0% |
| Gewinnrate | 25% | Risiko/Rendite-Verhältnis | 6.03 | Maximaler Drawdown | -23.6% |
| Asset Maximaler Drawdown | -51.8% | Exposition | 46.3% | Durchschn. Kerzen in Position | 24.3 |
| Sharpe-Ratio | 1.38 | Sortino-Ratio | 1.53 | Realisierte Volatilität | 23.87% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.2 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 3.7 | Durchschn. Trades pro Monat | 9.8 | Durchschn. Trades pro Tag | 0.3 |
| Rendite Std Dev | 4.0 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 3.9 |
| Erwartungswert | 0.7 | Beta | 0.36 |
Alle Backtests für Reversal strategy: BB Low Breakdown on elevated volume
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
META • 10 Minutes | 55% | (64.3%/53.3%) 1.21x | (-22.5%/-35.1%) 0.64x | 32 | 3.3 |
MSFT • 10 Minutes | 58% | (46.3%/18.1%) 2.56x | (-21.4%/-23.9%) 0.90x | 45 | 1.9 |
NVDA • 10 Minutes | 55% | (7.9%/41.7%) 0.19x | (-40.0%/-42.8%) 0.93x | 26 | 3.1 |
PLTR • 10 Minutes | 50% | (142.4%/439.0%) 0.32x | (-25.7%/-46.5%) 0.55x | 26 | 4.3 |
SPY • 10 Minutes | 64% | (13.5%/12.3%) 1.10x | (-12.7%/-20.7%) 0.61x | 47 | 1.4 |
TSLA • 10 Minutes | 55% | (-2.1%/23.0%) -0.09x | (-42.1%/-55.3%) 0.76x | 20 | 4.2 |
META • 30 Minutes | 46% | (291.9%/356.0%) 0.82x | (-23.6%/-51.8%) 0.46x | 25 | 6.0 |
MSFT • 30 Minutes | 46% | (75.9%/103.5%) 0.73x | (-19.8%/-26.6%) 0.74x | 27 | 4.2 |
NVDA • 30 Minutes | 43% | (925.3%/1089.5%) 0.85x | (-34.1%/-42.9%) 0.79x | 28 | 5.7 |
PLTR • 30 Minutes | 32% | (101.6%/1516.1%) 0.07x | (-28.8%/-48.4%) 0.60x | 23 | 4.5 |
SPY • 30 Minutes | 52% | (60.8%/65.6%) 0.93x | (-12.9%/-20.2%) 0.64x | 35 | 3.0 |
TSLA • 30 Minutes | 37% | (-6.4%/33.8%) -0.19x | (-43.8%/-67.1%) 0.65x | 20 | 4.3 |
META • 1 Hour | 36% | (181.7%/283.5%) 0.64x | (-27.4%/-76.8%) 0.36x | 23 | 5.4 |
MSFT • 1 Hour | 43% | (122.1%/250.0%) 0.49x | (-16.9%/-38.2%) 0.44x | 23 | 5.2 |
NVDA • 1 Hour | 25% | (106.1%/3270.7%) 0.03x | (-44.6%/-68.0%) 0.66x | 23 | 4.3 |
PLTR • 1 Hour | 25% | (163.7%/1420.6%) 0.12x | (-33.3%/-86.6%) 0.38x | 29 | 3.4 |
SPY • 1 Hour | 56% | (89.3%/99.7%) 0.90x | (-27.1%/-35.1%) 0.77x | 28 | 3.8 |
TSLA • 1 Hour | 26% | (-39.1%/1194.5%) -0.03x | (-64.5%/-75.1%) 0.86x | 22 | 3.4 |