Bollinger bands pierce (long)longBacktest Results @ GLD • Daily
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 20.7 years of GLD • Daily (SPDR Gold Trust) data, from November 18, 2004 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 20.7 years of GLD • Daily candles. This backtest resulted in 95 positions, with the average win rate of 45% and reward-risk ratio of 2.13. If you assume that 2.13 reward-to-risk ratio holds, you need a minimum win rate of 31.9 to be profitable. So you're looking good so far. However, 95 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 106.40% vs 595.10% for the asset
- Max Drawdown: Max Drawdown: -23.80% vs -45.30% for the asset
- Exposure: Exposure: 33.00% time in the market
- Win Rate: Win Rate: 45.0%, vs 31.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.13
With that exposure in mind, you can tell that for 33% time-in-market, you get 17.88% of the asset upside potential, and 52.54% of the asset downside potential.
Bollinger bands pierce (long): enter a position when
All of the following: # Echo D Chart(close) (1 candles ago) < D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) D Chart(close) > D Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): exit a position when
All of the following: # Oscar D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ GLD • Daily (106.4%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, this Bollinger Bands strategy on GLD is giving me some mixed vibes 🤔 The win rate's sitting at 45% which ain't great, but check this out - when it wins, it wins BIG with a 2.13 risk/reward ratio! That's some serious juice 🔥
Looking at the numbers, we're getting decent gains over the long haul (106.4% total profit), but it's way behind the buy & hold return of 595.1%. That's kinda rough ngl. But here's the thing - we're only exposed to the market 33% of the time, so we're actually playing it pretty safe compared to YOLO-ing our whole account 💎🙌
The thing that's got me hyped is that fat 44.68% win rate leeway - means we've got tons of room for error and the strategy can still print tendies! The max drawdown of -23.8% is way better than the asset's -45.3%, so we're actually managing risk pretty well here fam 📈
My verdict? This ain't no moonshot strategy 🚀 but it's definitely not trash either. Could be solid for a part of your portfolio if you're cool with slower, steadier gains. Just don't expect this to be your ticket to a Lambo overnight! 💪 3/5 confidence rating for me dawg 🎯
Sarah
AuthorMadre de dios, this strategy is absolute garbage! The buy & hold return is 595% while this pathetic attempt only managed 106%? That's embarassing! And you dare to show me these results?
The market exposure is only 33%, which means you're missing out on most of the action like a scared kitten. With 95 trades over 20 years, you're basically a sleeping beauty - less than 1 trade per month! And when you do trade, your win rate is below 50%. Que desastre!
The only semi-decent thing here is the Risk/Reward ratio of 2.13, but that's like having a Ferrari with no engine - looks good on paper but gets you nowhere. The negative Sharpe ratio is telling me this strategy is worse than putting your money under the mattress! And that 23.8% drawdown? Dios mio, that's enough to give anyone nightmares. Better to go to casino - at least they give you free drinks while taking your money!
Tabular metrics of Bollinger bands pierce (long) backtested on GLD • Daily
| Total Trades | 95 | Net Profit | 106.4% | Buy & Hold Profit | 595.1% |
| Win Rate | 45% | Reward/Risk Ratio | 2.13 | Max Drawdown | -23.8% |
| Asset Max Drawdown | -45.3% | Exposure | 33.0% | Avg Candles in Position | 17.1 |
| Sharpe Ratio | -0.11 | Sortino Ratio | 0.22 | Realized Volatility | 8.58% |
| Max Winning Streak | 7 | Avg Winning Streak | 2.0 | Max Losing Streak | 5 |
| Avg Losing Streak | 2.3 | Avg Trades per Month | 0.8 | Avg Trades per Day | 0.0 |
| Return Std Dev | 4.3 | Loss Std Dev | 1.3 | Win Std Dev | 4.0 |
| Expectancy | 0.4 | Beta | 0.31 |
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 |