Bollinger bands pierce (long)longBacktest Results @ GLD • 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 5.7 years of GLD • 1 Hour (SPDR Gold Trust) data, from October 25, 2019 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 5.7 years of GLD • 1 Hour candles. This backtest resulted in 186 positions, with the average win rate of 41% and reward-risk ratio of 1.78. If you assume that 1.78 reward-to-risk ratio holds, you need a minimum win rate of 36.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 21.00% vs 117.60% for the asset
- Max Drawdown: Max Drawdown: -28.20% vs -22.20% for the asset
- Exposure: Exposure: 34.60% time in the market
- Win Rate: Win Rate: 41.0%, vs 36.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.78
With that exposure in mind, you can tell that for 35% time-in-market, you get 17.86% of the asset upside potential, and 127.03% 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) @ GLD • 1 Hour (21.0%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest shows some concerning patterns that make me skeptical about this strategy. Let me explain why.
The strategy shows a win rate of 41% with a risk/reward ratio of 1.78, which mathematically could work. However, the market exposure of 34.6% delivered only 21% net profit over 5.7 years, while buy & hold made 117.6%. This massive underperformance is a red flag. The negative Sharpe (-0.26) and Sortino (-0.58) ratios confirm that the risk-adjusted returns are poor.
What worries me most is the degrading performance over time. While short-term metrics look okay (CAGR of 14-22% for 1M-6M), the longer-term performance drops dramatically to just 0.7% CAGR over 5 years. This suggests the strategy might be curve-fitted to recent data and lacks robustness. Combined with the relatively high drawdown of -28.2%, which is worse than the asset's drawdown, I would definetely not trade this strategy in its current form.
Mike
AuthorYo fam, let me break down this Bollinger Bands strategy on GLD! 🚀
The strat's giving us some mixed signals here. On the bright side, we're rocking a solid 1.78 risk/reward ratio and the win rate is actually 4064% above what we need to break even - that's pretty fire! 🔥 The average winner is bringing in 1.53% while we're only losing 0.86% on the L's, which isn't too shabby for an hourly timeframe.
But here's where it gets a bit sus - the overall net profit is only 21% over 5.7 years, while buy & hold would've given us 117.6%. Plus that 28.2% max drawdown is kinda scary ngl. The strategy's only in the market about 35% of the time, which might explain why we're leaving some gains on the table. Also seeing those negative Sharpe and Sortino ratios makes me a bit nervous fam. 💀
Would I YOLO my Wendy's paycheck on this? Probably not as is, but there might be some potential here. Maybe we could tweak the exit conditions to let winners run more, or combine it with some other indicators. The bones are good but it needs some work to become a real tendies printer! 💸 Remember, past performance doesn't guarantee future results, but at least the risk management looks solid! 🎯
Sarah
AuthorDios mío, this strategy is a complete disaster! The numbers are screaming "stay away" louder than my abuela when she catches someone messing up her kitchen.
Look at these pathetic metrics - 21% net profit over 5.7 years while buy & hold gave 117.6%? That's embarrassingly bad! The win rate of 41% might look acceptable with the Risk/Reward ratio of 1.78, but combine that with a horrific -28.2% max drawdown and negative Sharpe/Sortino ratios, and you've got yourself a recipe for account destruction. You would have to be completely loco to trade this!
The performance degradation over time periods tells me this strategy is as reliable as a chocolate teapot. It starts decently in shorter timeframes but completely falls apart in longer ones - from 22% CAGR in 6 months to a miserable 0.7% in 5 years. This is clear evidence of curve fitting and strategy fragility. Honestly, whoever designed this strategy should consider taking up gardening instead of trading - might be more profitable!
Tabular metrics of Bollinger bands pierce (long) backtested on GLD • 1 Hour
| Total Trades | 186 | Net Profit | 21.0% | Buy & Hold Profit | 117.6% |
| Win Rate | 41% | Reward/Risk Ratio | 1.78 | Max Drawdown | -28.2% |
| Asset Max Drawdown | -22.2% | Exposure | 34.6% | Avg Candles in Position | 17.6 |
| Sharpe Ratio | -0.26 | Sortino Ratio | -0.58 | Realized Volatility | 8.68% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.4 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 5.3 | Avg Trades per Day | 0.2 |
| Return Std Dev | 1.8 | Loss Std Dev | 0.6 | Win Std Dev | 1.9 |
| Expectancy | 0.1 | Beta | 0.36 |
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 |