Bollinger bands pierce (long)longBacktest Results @ BTCUSDT • 1 Hour
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 13.9 months of BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US) data, from May 23, 2024 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 13.9 months of BTCUSDT • 1 Hour candles. This backtest resulted in 187 positions, with the average win rate of 38% and reward-risk ratio of 1.80. If you assume that 1.80 reward-to-risk ratio holds, you need a minimum win rate of 35.7 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 9.30% vs 71.30% for the asset
- Max Drawdown: Max Drawdown: -17.20% vs -30.60% for the asset
- Exposure: Exposure: 29.70% time in the market
- Win Rate: Win Rate: 38.0%, vs 35.7% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.80
With that exposure in mind, you can tell that for 30% time-in-market, you get 13.04% of the asset upside potential, and 56.21% of the asset downside potential.
Bollinger bands pierce (long): enter a position when
All of the following: # Echo 60min Chart(close) (1 candles ago) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 60min Chart(close) > 60min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): exit a position when
All of the following: # Oscar 60min Chart(close) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ BTCUSDT • 1 Hour (9.3%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy looks mathematically sound but not particularly impressive. The Win Rate of 38% combined with Risk/Reward of 1.8 gives positive expectancy, which is good. However, the net profit of 9.3% versus buy & hold of 71.3% shows this strategy significantly underperforms the market.
What concerns me most is the negative Sharpe and Sortino ratios. This indicates poor risk-adjusted returns - the strategy is taking on risk without adequate compensation. The max drawdown of 17.2% is also quite high relative to the total returns. The high number of trades (187 over 13.9 months) means transaction costs could significantly impact real performance.
One positive aspect is the Win Rate Leeway - being 37.64% above the minimal required win rate provides good mathematical buffer for strategy deterioration. But with market exposure of only 29.7%, you're missing most of the upside during bull trends. I would suggest optimizing the exit conditions to hold winners longer, since the average holding time of 14.9 candles seems too short for capturing larger moves.
Sarah
AuthorMadre mía, this strategy is pure garbage! The buy & hold gives you 71.3% while this joke of a strategy barely makes 9.3%? Are you seriously considering throwing away 62% of your trades for this pathetic return?
Look at those risk metrics - negative Sharpe and Sortino ratios! This means you'd literally make more money putting your cash under your pillow. And that 17.2% drawdown? Dios mío, you could lose your shirt faster than at a strip club!
The only remotely decent thing here is the Risk/Reward ratio of 1.8, but it's completely neutralized by that embarassing 38% win rate. You're basically paying premium to lose money slower than if you were trading randomly! And let's not even talk about that market exposure of 29.7% - you're missing out on most of the good moves while catching all the bad ones like some kind of masochist!
If you're thinking about trading this strategy, I suggest you better go buy lottery tickets - at least those give you better odds than this desastre total!
Tabular metrics of Bollinger bands pierce (long) backtested on BTCUSDT • 1 Hour
| Total Trades | 187 | Net Profit | 9.3% | Buy & Hold Profit | 71.3% |
| Win Rate | 38% | Reward/Risk Ratio | 1.80 | Max Drawdown | -17.2% |
| Asset Max Drawdown | -30.6% | Exposure | 29.7% | Avg Candles in Position | 14.9 |
| Sharpe Ratio | -0.29 | Sortino Ratio | -0.21 | Realized Volatility | 26.49% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.6 | Max Losing Streak | 6 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 27.0 | Avg Trades per Day | 0.9 |
| Return Std Dev | 2.0 | Loss Std Dev | 0.7 | Win Std Dev | 2.1 |
| 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 |