Bollinger bands pierce (long)longBacktest Results @ SPY • 1 Minute
This stragegy buys when price breaks up from the Bollinger Bands upper band. This is believed to indicate the beginning of a big upmove. It then sells whenever price goes below the Bollinger Bands middle line. See whether buying the Bollinger Bands breakout is a good idea! We've backtested it.
Equity Curve
Backtest covers 38 days of SPY • 1 Minute (SPDR S&P 500) data, from June 3, 2025 to July 11, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Bollinger bands pierce (long) on 38 days of SPY • 1 Minute candles. This backtest resulted in 178 positions, with the average win rate of 34% and reward-risk ratio of 2.24. If you assume that 2.24 reward-to-risk ratio holds, you need a minimum win rate of 30.9 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 1.20% vs 4.60% for the asset
- Max Drawdown: Max Drawdown: -1.90% vs -2.10% for the asset
- Exposure: Exposure: 30.30% time in the market
- Win Rate: Win Rate: 34.0%, vs 30.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.24
With that exposure in mind, you can tell that for 30% time-in-market, you get 26.09% of the asset upside potential, and 90.48% of the asset downside potential.
Bollinger bands pierce (long): enter a position when
All of the following: # Echo 1min Chart(close) (1 candles ago) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 1min Chart(close) > 1min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): exit a position when
All of the following: # Oscar 1min Chart(close) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ SPY • 1 Minute (1.2%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, these backtest results are looking pretty interesting! 🤔 The strategy is grinding out some modest gains with a 1.2% net profit, but what really catches my eye is that juicy 2.24 risk/reward ratio! 💪
Looking deeper, we're hitting the market with about 9 trades per day which is sweet for scalping. The win rate is only 34%, but check this out - we've got a 33.69% leeway above the minimal required win rate! That's actually fire because it means the strategy is mathematically solid even with the lower win rate. We're losing more often but making bigger gains when we win, classic asymmetric betting right there! 📈
One concern though - we're underperforming buy & hold (4.6%) by quite a bit, and that 10-trade losing streak could be rough on the mental game. But with only a -1.9% max drawdown, it's not too scary for the account balance. Might be worth throwing some lunch money at this and seeing how it runs! Just gotta make sure those commission fees don't eat up the gains since we're trading pretty frequently. WAGMI! 🚀
Sarah
AuthorThis strategy is pure garbage, and whoever designed it should consider a career in flower arrangement instead of trading. Let me tell you why.
First, the strategy severely underperforms buy & hold (1.2% vs 4.6%). That's embarassing! You're basically losing money when accounting for inflation, and working hard to achieve that brillant failure. Is like trying to dig a hole with a spoon when you have a perfectly good shovel right next to you.
The win rate is atrocious - only 34%! You're losing 2 out of 3 trades! Yes, yes, I see the Risk/Reward ratio is 2.24, which technically makes it matematically viable with that win rate. But why would anyone want to be wrong most of the time? It's like choosing to fail your driving test 66% of the time just because you know eventually you'll pass. The psychological impact would kill most traders faster than you can say "margin call".
The only slightly positive thing I see is the win rate leeway, but that's like praising the comfortable seats in a car that doesn't start. The max losing streak of 10 trades is particularly concerning - imagin explaining to your spouse how you managed to lose 10 trades in a row following your "sistem".
My recomendation? Delete this strategy and start over. Or better yet, just buy and hold SPY like a normal person.
Tabular metrics of Bollinger bands pierce (long) backtested on SPY • 1 Minute
| Total Trades | 178 | Net Profit | 1.2% | Buy & Hold Profit | 4.6% |
| Win Rate | 34% | Reward/Risk Ratio | 2.24 | Max Drawdown | -1.9% |
| Asset Max Drawdown | -2.1% | Exposure | 30.3% | Avg Candles in Position | 16.1 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 4 | Avg Winning Streak | 1.6 | Max Losing Streak | 10 |
| Avg Losing Streak | 3.1 | Avg Trades per Month | 281.1 | Avg Trades per Day | 9.4 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.2 |
| Expectancy | 0.1 | Beta | 0.29 |
All backtests for Bollinger bands pierce (long)
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 24% | (6.4%/8.9%) 0.72x | (-2.3%/-1.9%) 1.21x | 45 | 2.9 |
EURUSD • 1 Minute | 28% | (0.2%/-0.9%) -0.22x | (-0.6%/-1.2%) 0.50x | 34 | 2.1 |
GLD • 1 Minute | 30% | (2.6%/0.0%) Infinityx | (-1.9%/-5.5%) 0.35x | 40 | 2.1 |
NVDA • 1 Minute | 29% | (10.9%/16.7%) 0.65x | (-2.1%/-4.4%) 0.48x | 42 | 2.5 |
SPY • 1 Minute | 30% | (1.2%/4.6%) 0.26x | (-1.9%/-2.1%) 0.90x | 34 | 2.2 |
TSLA • 1 Minute | 31% | (-15.1%/-10.3%) 1.47x | (-16.7%/-21.4%) 0.78x | 31 | 1.5 |
WMT • 1 Minute | 26% | (-3.3%/-5.4%) 0.61x | (-4.0%/-6.4%) 0.63x | 32 | 1.6 |
BTCUSDT • 10 Minutes | 27% | (7.2%/26.3%) 0.27x | (-4.8%/-12.1%) 0.40x | 38 | 2.1 |
EURUSD • 10 Minutes | 32% | (2.3%/6.8%) 0.34x | (-2.7%/-4.3%) 0.63x | 36 | 2.1 |
GLD • 10 Minutes | 38% | (6.0%/43.7%) 0.14x | (-9.8%/-8.3%) 1.18x | 43 | 1.6 |
NVDA • 10 Minutes | 33% | (8.1%/32.9%) 0.25x | (-26.2%/-42.8%) 0.61x | 44 | 1.4 |
SPY • 10 Minutes | 33% | (3.6%/14.3%) 0.25x | (-7.7%/-20.7%) 0.37x | 42 | 1.6 |
TSLA • 10 Minutes | 31% | (4.5%/59.0%) 0.08x | (-37.6%/-55.3%) 0.68x | 39 | 1.7 |
WMT • 10 Minutes | 34% | (25.4%/40.1%) 0.63x | (-6.8%/-23.8%) 0.29x | 43 | 2.1 |
BTCUSDT • 1 Hour | 30% | (9.3%/71.3%) 0.13x | (-17.2%/-30.6%) 0.56x | 38 | 1.8 |
EURUSD • 1 Hour | 32% | (6.5%/8.4%) 0.77x | (-4.2%/-9.0%) 0.47x | 40 | 1.9 |
GLD • 1 Hour | 35% | (21.0%/117.6%) 0.18x | (-28.2%/-22.2%) 1.27x | 41 | 1.8 |
NVDA • 1 Hour | 36% | (521.6%/3126.3%) 0.17x | (-36.1%/-68.0%) 0.53x | 47 | 2.3 |
SPY • 1 Hour | 36% | (31.9%/106.7%) 0.30x | (-11.2%/-35.1%) 0.32x | 46 | 1.6 |
TSLA • 1 Hour | 34% | (2572.3%/1395.5%) 1.84x | (-29.3%/-75.1%) 0.39x | 46 | 3.1 |
WMT • 1 Hour | 34% | (62.8%/138.2%) 0.45x | (-14.6%/-26.9%) 0.54x | 43 | 2.1 |
BTCUSDT • Daily | 36% | (320.8%/1335.5%) 0.24x | (-61.6%/-76.6%) 0.80x | 40 | 3.2 |
EURUSD • Daily | 29% | (3.2%/10.8%) 0.30x | (-10.2%/-23.3%) 0.44x | 30 | 2.7 |
GLD • Daily | 33% | (106.4%/595.1%) 0.18x | (-23.8%/-45.3%) 0.53x | 45 | 2.1 |
NVDA • Daily | 39% | (9137.3%/373678.5%) 0.02x | (-67.9%/-90.0%) 0.75x | 50 | 2.5 |
SPY • Daily | 32% | (32.3%/1316.3%) 0.02x | (-33.3%/-56.7%) 0.59x | 42 | 1.7 |
TSLA • Daily | 35% | (8915.3%/24185.2%) 0.37x | (-40.7%/-75.0%) 0.54x | 45 | 5.0 |
WMT • Daily | 34% | (-20.9%/9978.0%) -0.00x | (-65.4%/-50.6%) 1.29x | 37 | 1.7 |