Bollinger bands pierce (long)longBacktest Results @ SPY • 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 SPY • 10 Minutes (SPDR S&P 500) 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 SPY • 10 Minutes candles. This backtest resulted in 175 positions, with the average win rate of 42% and reward-risk ratio of 1.56. If you assume that 1.56 reward-to-risk ratio holds, you need a minimum win rate of 39.1 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 3.60% vs 14.30% for the asset
- Max Drawdown: Max Drawdown: -7.70% vs -20.70% for the asset
- Exposure: Exposure: 32.90% time in the market
- Win Rate: Win Rate: 42.0%, vs 39.1% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.56
With that exposure in mind, you can tell that for 33% time-in-market, you get 25.17% of the asset upside potential, and 37.20% 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) @ SPY • 10 Minutes (3.6%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, let me break down this Bollinger Bands strategy for you! 🚀
This strategy is giving some interesting vibes - it's not crushing the market (3.6% vs 14.3% buy & hold), but there's some juicy potential here. The win rate might look a bit low at 42%, but check this out: our winners are hitting 0.51% while losers are only -0.33%. That's a solid 1.56 risk/reward ratio! Plus, we've got this crazy good win rate leeway of 41.61%, which means we're way above what we need to be profitable. 💪
What really catches my eye is the trading frequency - about 1 trade per day. That's perfect for us Wendy's warriors who can't watch charts 24/7! The max drawdown of -7.7% is pretty chill compared to the market's -20.7%, so we're not taking too much heat. The market exposure is only 32.9%, which means we're not constantly risking our tendies. 🍗
I'd say this could be a decent base strategy to build on, especially for someone looking for consistent small wins rather than YOLO plays. Maybe add some more confirmation signals or optimize the exit strategy to bump up that win rate a bit. Not financial advice, but I might throw some of my next paycheck at testing this bad boy! 🎯
Sarah
AuthorMadre de Dios, this strategy is a complete disaster! Let me tell you why you should throw this garbage straight to papelera.
First of all, you're losing money compared to simple buy & hold - 3.6% vs 14.3%? That's patético! You're basically paying commission to lose money slower than you could make it by doing nothing. And with a terrible 42% win rate? Por favor, you might as well flip a coin, at least you wouldn't waste time staring at charts.
The risk metrics are even more horrible - negative Sharpe ratio means you're taking stupid risks for negative returns. A 7.7% drawdown for such mediocre returns? That's like jumping off a cliff to pick up a penny! And your market exposure is only 32.9% - you're missing most of the actual market moves while catching these pathetic signals.
Look, I know Bollinger Bands look pretty on charts, but this implementation is pure basura. The only slightly positive thing is your Risk/Reward ratio of 1.56, but what good is that when you're losing on most trades? You're basically paying for the privilege of being wrong 58% of the time.
Either completely redesign this strategy or save yourself the trouble and invest in index funds. This is not trading, this is slowly bleeding money with extra steps.
Tabular metrics of Bollinger bands pierce (long) backtested on SPY • 10 Minutes
| Total Trades | 175 | Net Profit | 3.6% | Buy & Hold Profit | 14.3% |
| Win Rate | 42% | Reward/Risk Ratio | 1.56 | Max Drawdown | -7.7% |
| Asset Max Drawdown | -20.7% | Exposure | 32.9% | Avg Candles in Position | 17.8 |
| Sharpe Ratio | -0.16 | Sortino Ratio | 0.30 | Realized Volatility | 8.14% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.7 | Max Losing Streak | 9 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 27.8 | Avg Trades per Day | 0.9 |
| Return Std Dev | 0.6 | Loss Std Dev | 0.3 | Win Std Dev | 0.5 |
| Expectancy | 0.1 | Beta | 0.18 |
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 |