Bollinger bands pierce (long)longBacktest Results @ EURUSD • 10 Minutes
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 97 days of EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)) data, from April 7, 2025 to July 13, 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 97 days of EURUSD • 10 Minutes candles. This backtest resulted in 198 positions, with the average win rate of 36% and reward-risk ratio of 2.10. If you assume that 2.10 reward-to-risk ratio holds, you need a minimum win rate of 32.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 2.30% vs 6.80% for the asset
- Max Drawdown: Max Drawdown: -2.70% vs -4.30% for the asset
- Exposure: Exposure: 32.00% time in the market
- Win Rate: Win Rate: 36.0%, vs 32.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.10
With that exposure in mind, you can tell that for 32% time-in-market, you get 33.82% of the asset upside potential, and 62.79% of the asset downside potential.
Bollinger bands pierce (long): enter a position when
All of the following: # Echo 10min Chart(close) (1 candles ago) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 10min Chart(close) > 10min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): exit a position when
All of the following: # Oscar 10min Chart(close) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ EURUSD • 10 Minutes (2.3%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe strategy shows some interesting characteristics, but I have few concerns about its statistical robustness. Let me explain why.
The positive aspects first: The Risk/Reward ratio of 2.10 is quite good, and the win rate of 36% is actually above the minimal required win rate of 32.3% - this is mathematically viable. The strategy also shows reasonable market exposure of 32%, which means it's not constantly in the market making random trades. The volatility metrics and drawdown numbers are also not too concerning.
However, I see major red flags in the performance numbers. The strategy only achieved 2.3% net profit while the market itself did 6.8% - this is quite problematic. The average trade duration of 15 candles combined with 4.1 trades per day suggests there might be some overlap in positions, which could increase risk exposure beyond what the numbers show. Also the maximum losing streak of 8 trades is quite concerning when compared to maximum winning streak of only 4.
In summary, while the mathematical foundation appears sound, I would not trade this strategy without significant modifications. The underperformance versus buy-and-hold combined with high trading frequency makes me doubt its real-world viability. I would suggest optimizing the exit conditions to improve the average win size, which is currently too small relative to the trading costs one would face in live trading.
Mike
AuthorYo fam, this Bollinger Bands strategy is giving me some mixed vibes, but there's definitely some potential here! 🚀
First off, that 2.1 reward-to-risk ratio is pretty sweet, and we're actually running above the minimum required win rate - that's a major green flag! 📈 The strategy is pumping out about 4 trades per day, which is perfect for someone like me working the Wendy's shift (gotta check those charts on my breaks lol). The max drawdown of -2.7% is super manageable too, way better than some of my previous YOLO plays 😅
But here's where it gets a bit sus - we're only catching 36% winners, and that Buy & Hold is actually outperforming us (6.8% vs our 2.3%). Plus, those losing streaks can go up to 8 trades in a row, which might shake out paper hands. But real talk, with those Sharpe and Sortino ratios looking decent, this could be a solid base for building something bigger! 💎🙌
Think I might paper trade this for a bit, maybe add some filters to bump up that win rate. Could be a nice side hustle while I stack those Wendy's paychecks! 🍔💰
Sarah
AuthorThis strategy is a complete disaster, and whoever designed it should probably stick to their day job! Let me tell you why, amigo.
First of all, look at that pathetic 2.3% net profit over 97 days when the market itself made 6.8%. You're literally losing money compared to simply buying and holding! This is what we call in the business "being worse than doing nothing." And with a 36% win rate? Por favor, that's embarrassing! Even though mathematically it could work with the 2.10 risk/reward ratio, it's still terrible execution.
The market exposure is only 32%, which means you're sitting on your hands most of the time, missing out on 68% of potential opportunities. And when you do trade, you're averaging 15 candles per position - that's like watching paint dry in a 10-minute timeframe! Not to mention those losing streaks of up to 8 trades in a row - imagine explaining that to your account balance!
The only slightly positive thing I see is the decent Sortino ratio of 2.78, but honestly, that's like having a nice paintjob on a broken car. The strategy is fundamentally flawed and needs a complete overhaul. If this was my strategy, I would throw it in the basura where it belongs and start from scratch.
Tabular metrics of Bollinger bands pierce (long) backtested on EURUSD • 10 Minutes
| Total Trades | 198 | Net Profit | 2.3% | Buy & Hold Profit | 6.8% |
| Win Rate | 36% | Reward/Risk Ratio | 2.10 | Max Drawdown | -2.7% |
| Asset Max Drawdown | -4.3% | Exposure | 32.0% | Avg Candles in Position | 15.0 |
| Sharpe Ratio | 0.95 | Sortino Ratio | 2.78 | Realized Volatility | 3.82% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.6 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.8 | Avg Trades per Month | 122.5 | Avg Trades per Day | 4.1 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.3 |
| Expectancy | 0.1 | Beta | 0.32 |
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 |