Reversal strategy: BB Low Breakdown on elevated volumelongBacktest-Ergebnisse @ SPY • 1 Hour
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 5.7 years von SPY • 1 Hour (SPDR S&P 500) Daten, von November 15, 2019 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 5.7 years von SPY • 1 Hour Kerzen getestet. Dieser Backtest ergab 166 Positionen, mit einer durchschnittlichen Gewinnrate von 28% und einem Risiko-Rendite-Verhältnis von 3.81. Wenn Sie annehmen, dass das 3.81 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 20.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 89.30% vs 99.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -27.10% vs -35.10% für das Asset
- Exposition: Exposition: 56.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 28.0%, vs 20.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 3.81
Mit dieser Exposition können Sie erkennen, dass Sie bei 56% Marktzeit 89.57% des Asset-Aufwärtspotenzials und 77.21% des Asset-Abwärtspotenzials erhalten.
Reversal strategy: BB Low Breakdown on elevated volume: Position eingehen wenn
All of the following: # "Romeo"
60min Chart(low) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Low
60min Relative Strength Index (14, 70, 30, close) < 35
60min Volume (20, SMA), Vol. > 60min Volume (20, SMA), MA
None of the following:
60min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: Position verlassen wenn
Any of the following: 60min 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 @ SPY • 1 Hour (89.3%) erklärt von Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I'm having concerns about its reliability. The win rate of 28% is quite low, even though it's compensated by a good risk/reward ratio of 3.81. This means when we win, we win big - but we loose much more often then we win.
The maximum drawdown of 27.1% is concerning, especially for a strategy that only captures 56.3% of market exposure. With 166 trades over 5.7 years, we see about 4.8 trades per month - this is not much trading activity, which makes the statistics less reliable. The long losing streaks (up to 13 trades in row) could be psychologically challenging for many traders, even though mathematically the strategy shows positive expectancy.
From pure mathematical perspective, the strategy is viable since actual win rate (28%) is significantly above minimal required win rate (20.8%). However, I would recommend to look into ways to improve entry conditions to reduce false signals. The elevated volume requirement is good, but maybe adding momentum indicators could help filter out some losing trades. Also the high maximum drawdown suggests that position sizing and risk management need careful consideration.
Sarah
AutorMadre mía, this strategy is like watching a drunk person trying to dance salsa - occasionally impressive but mostly painful to watch!
The 28% win rate with a 72% loss rate makes me want to throw my keyboard across the room. Yes, yes, I see the Risk/Reward ratio is 3.81 and technically the strategy is profitable, but holy mother of drawdowns - 27.1%? That's not a strategy, that's a rollercoaster of pure anxiety!
Look at those losing streaks - 13 losses in a row! Dios mío, even the most patient trader would probably jump out of the window before seeing the end of such a streak. The market exposure of 56.3% suggests you're spending half the time biting your nails waiting for something to happen, only to lose money 72% of the time when it does!
I must admit, the one thing that doesn't make me completely lose my faith in humanity is the Win Rate Leeway being well above the minimal required win rate. But honestly, this is like saying "congratulations, your horrible strategy isn't completely mathematically impossible!" The fact that it underperforms buy & hold (89.3% vs 99.7%) just adds insult to injury.
Tabellarische Metriken von Reversal strategy: BB Low Breakdown on elevated volume getestet auf SPY • 1 Hour
| Gesamttrades | 166 | Nettogewinn | 89.3% | Buy & Hold Gewinn | 99.7% |
| Gewinnrate | 28% | Risiko/Rendite-Verhältnis | 3.81 | Maximaler Drawdown | -27.1% |
| Asset Maximaler Drawdown | -35.1% | Exposition | 56.3% | Durchschn. Kerzen in Position | 32.9 |
| Sharpe-Ratio | 1.15 | Sortino-Ratio | 0.84 | Realisierte Volatilität | 12.52% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.5 | Max. Verlustserie | 13 |
| Durchschn. Verlustserie | 3.7 | Durchschn. Trades pro Monat | 4.8 | Durchschn. Trades pro Tag | 0.2 |
| Rendite Std Dev | 3.0 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 2.7 |
| Erwartungswert | 0.4 | Beta | 0.46 |
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 |