Reversal strategy: BB Low Breakdown on elevated volumelongBacktest-Ergebnisse @ MSFT • 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 MSFT • 30 Minutes (Microsoft Corporation) 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 MSFT • 30 Minutes Kerzen getestet. Dieser Backtest ergab 135 Positionen, mit einer durchschnittlichen Gewinnrate von 27% und einem Risiko-Rendite-Verhältnis von 4.16. Wenn Sie annehmen, dass das 4.16 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 19.4, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 75.90% vs 103.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -19.80% vs -26.60% für das Asset
- Exposition: Exposition: 45.90% Zeit im Markt
- Gewinnrate: Gewinnrate: 27.0%, vs 19.4% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 4.16
Mit dieser Exposition können Sie erkennen, dass Sie bei 46% Marktzeit 73.33% des Asset-Aufwärtspotenzials und 74.44% 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 @ MSFT • 30 Minutes (75.9%) erklärt von Alex C, Mike
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its reliability. The risk/reward ratio of 4.16 is quite gut, but the low win rate of 27% makes me sceptical about psychological aspects of trading this strategy in real conditions. Even though the win rate leeway is positiv, having 13 losses in a row could be devastating for most traders mindset.
The exposure of 45.9% is quite reasonable, and the average holding time of 33 candles suggests this is truly a swing trading approach. What catches my attention is that the strategy underperforms buy & hold (75.9% vs 103.5%), which is not optimal when trading a strong uptrending stock like Microsoft. The Sharpe ratio of 0.93 is below what I would normally want to see - I typically look for values above 1.2 for strategies I implement.
I would suggest to work on improving the entry conditions to get a better win rate, maybe by adding some momentum indicators or testing different RSI settings. The current drawdown of -19.8% is too high for my taste, especially given the underperformance versus buy & hold. While the strategy shows some promise with its favorable risk/reward ratio, I would not trade it in its current form without significant optimizations.
Mike
AutorYo fam, this MSFT strategy is looking pretty juicy! 🚀 The risk/reward setup is actually fire - we're talking 4.16 R/R ratio which means when we hit, we hit BIG (4.63% average wins vs -1.11% losses).
The win rate might look kinda sus at 27%, but check this out - we only need 19.4% to break even! That's like having a 26.8% cushion above what we need, which is straight-up amazing. Plus, that 75.9% total profit over 3 years ain't too shabby, even though it's trailing behind buy & hold (but hey, we're only exposed to the market 45.9% of the time, so we're chillin' during crashes).
The only thing that makes me a bit nervous is that 13-trade losing streak potential - that could be rough on the mental game fr fr. But with proper position sizing and knowing that our winners are gonna be 4x bigger than our losses, I think this could be a solid strategy to YOLO some Wendy's paychecks into. 💎🙌 Just gotta stay diamond-handed through those rough patches! NFA tho, just my two tendies worth. 🍗
Tabellarische Metriken von Reversal strategy: BB Low Breakdown on elevated volume getestet auf MSFT • 30 Minutes
| Gesamttrades | 135 | Nettogewinn | 75.9% | Buy & Hold Gewinn | 103.5% |
| Gewinnrate | 27% | Risiko/Rendite-Verhältnis | 4.16 | Maximaler Drawdown | -19.8% |
| Asset Maximaler Drawdown | -26.6% | Exposition | 45.9% | Durchschn. Kerzen in Position | 33.0 |
| Sharpe-Ratio | 0.93 | Sortino-Ratio | 0.56 | Realisierte Volatilität | 16.04% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 13 |
| Durchschn. Verlustserie | 4.1 | Durchschn. Trades pro Monat | 7.2 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 3.0 | Verlust Std Dev | 0.5 | Gewinn Std Dev | 2.7 |
| Erwartungswert | 0.4 | Beta | 0.44 |
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 |