Bollinger bands pierce (long)longBacktest Results @ GLD • 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 12.6 months of GLD • 10 Minutes (SPDR Gold Trust) data, from June 28, 2024 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 12.6 months of GLD • 10 Minutes candles. This backtest resulted in 199 positions, with the average win rate of 43% and reward-risk ratio of 1.58. If you assume that 1.58 reward-to-risk ratio holds, you need a minimum win rate of 38.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 6.00% vs 43.70% for the asset
- Max Drawdown: Max Drawdown: -9.80% vs -8.30% for the asset
- Exposure: Exposure: 37.50% time in the market
- Win Rate: Win Rate: 43.0%, vs 38.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.58
With that exposure in mind, you can tell that for 38% time-in-market, you get 13.73% of the asset upside potential, and 118.07% 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) @ GLD • 10 Minutes (6.0%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, let me break down this Bollinger Bands strategy on GLD! 🚀
Looking at these numbers, we've got some interesting stuff going on here. The win rate is sitting at 43% with a solid 1.58 risk/reward ratio - that's actually pretty sweet because we only need a 38.8% win rate to break even! We're running with a good safety margin here, which is totally my jam. Plus, averaging about 1 trade per day means we're not getting killed on commissions. 💪
The downside is we're only catching 6% gains while GLD itself went up 43.7% - kinda feels like leaving tendies on the table, ngl. But hey, we're only exposed to the market 37.5% of the time, so we're taking way less risk than buy-and-hold gang. That -9.8% max drawdown isn't too scary either - I've seen way worse working the Wendy's late shift! 🍔
I'd probably give this strategy a shot with a small position size to start. The numbers aren't screaming "YOLO your life savings" but they're solid enough to work with. Just gotta stay disciplined and maybe look for ways to ride those winners a bit longer. Diamond hands when it's working, paper hands when it's not! 💎🙌
Sarah
AuthorMadre de Dios, this strategy is complete garbage! Let me tell you why this is a disaster waiting to happen.
First of all, you're severely underperforming the market - 6% net profit versus 43.7% buy & hold? That's embarassing! You would have made 7 times more money by simply buying and holding like a lazy person. Even my grandmother could do better than this by randomly throwing darts at trading decisions.
The win rate is pathetic - 43% wins with a 1.58 risk/reward? Si, matematically it can work because of the minimal sufficient win rate being 38.8%, but why would anyone want to lose money more than half the time? This is like playing russian roulette with 3 bullets in the chamber!
The risk metrics are absolutely terrible. Negative Sharpe ratio (-0.07) and catastrophic Sortino ratio (-0.89) tells me this strategy is not just bad, it's consistently bad! And that 9.8% drawdown is like a punch in the face considering the tiny returns you're getting.
Mi consejo? Throw this strategy in the basura where it belongs. You're basically paying the market to torture you slowly. If you want to lose money this badly, at least do it faster and save yourself some time!
Tabular metrics of Bollinger bands pierce (long) backtested on GLD • 10 Minutes
| Total Trades | 199 | Net Profit | 6.0% | Buy & Hold Profit | 43.7% |
| Win Rate | 43% | Reward/Risk Ratio | 1.58 | Max Drawdown | -9.8% |
| Asset Max Drawdown | -8.3% | Exposure | 37.5% | Avg Candles in Position | 17.8 |
| Sharpe Ratio | -0.07 | Sortino Ratio | -0.89 | Realized Volatility | 7.92% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.9 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 31.6 | Avg Trades per Day | 1.1 |
| Return Std Dev | 0.6 | Loss Std Dev | 0.3 | Win Std Dev | 0.6 |
| Expectancy | 0.1 | Beta | 0.26 |
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 |