Bollinger bands pierce (long)longBacktest Results @ WMT • 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 38.7 years of WMT • Daily (Walmart Inc.) data, from November 10, 1986 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 38.7 years of WMT • Daily candles. This backtest resulted in 207 positions, with the average win rate of 37% and reward-risk ratio of 1.74. If you assume that 1.74 reward-to-risk ratio holds, you need a minimum win rate of 36.5 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: -20.90% vs 9978.00% for the asset
- Max Drawdown: Max Drawdown: -65.40% vs -50.60% for the asset
- Exposure: Exposure: 34.10% time in the market
- Win Rate: Win Rate: 37.0%, vs 36.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.74
With that exposure in mind, you can tell that for 34% time-in-market, you get -0.21% of the asset upside potential, and 129.25% 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) @ WMT • Daily (-20.9%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThis strategy looks quite problematic from mathematical perspective. While the Win Rate Leeway appears positive, the overall metrics reveal severe issues that would make this strategy not viable for real trading.
The most concerning aspect is the significant underperformance compared to buy & hold - we see -20.9% net profit versus almost 10000% buy & hold return over 38.7 years. This massive difference cannot be explained by normal market fluctuations. The negative Sharpe (-0.46) and Sortino (-0.29) ratios confirm that the risk-adjusted returns are poor. A max drawdown of -65.4% is also extremely concerning - this is worse than the underlying asset's drawdown of -50.6%.
The trading frequency is too low with only 0.9 trades per month on average. This makes the statistical significance of the results questionable, even though we have 207 total trades. The market exposure of 34.1% suggests the strategy misses most of the upside moves while still being exposed to significant downside risk.
I would definitely not recommend trading this strategy in its current form. The mathematical evidence strongly suggests it needs fundamental rework, not just parameter optimization. The entry/exit rules based on Bollinger Band piercing appear to be capturing noise rather than actual predictive signals.
Mike
AuthorYo fam, let me break down this Bollinger Bands strategy on WMT! 🎯 The numbers are kinda wild here, but not in the way we'd hope for at the Wendy's night shift.
The strategy's overall performance is giving me mixed vibes. That 37% win rate with a 1.74 risk/reward ratio isn't terrible - actually it's mathematically viable since we only need 36.5% to break even. But that -20.9% total return over 38 years compared to Buy & Hold's insane 9978% return is making me cry into my tendies 😭
What's really sus is that max drawdown of -65.4% - that's like losing your entire paycheck and next month's rent money! 📉 But check this out: the recent performance is actually looking decent with a 15.6% return in the last year. Maybe this bad boy just needed some time to warm up? 🚀
Here's my take: This strategy might be worth paper trading, but I wouldn't YOLO my entire Wendy's savings into it. The recent performance is promising, but that historical drawdown is scarier than running out of fries during dinner rush. Maybe use it as part of a larger strategy and keep position sizes small? Diamond hands aren't always the answer! 💎🤲
Sarah
AuthorMadre de Dios, this strategy is absolute garbage! The numbers are screaming "stay away" louder than my mother when she catch me stealing cookies.
First, look at that pathetic -20.9% net profit over 38 years while buy & hold made almost 10,000%! You would have done better putting your money under your pillow. And that market exposure of 34% means you're sitting out most of the good moves. The strategy is like a bad student who skip most classes and still expect to pass!
The win rate is technically above minimal sufficient (37% vs 36.5%), but that's like being proud of passing exam with D-. And that -65.4% maximum drawdown? Dios mío, that's not a trading strategy, that's financial suicide! Even with good risk/reward ratio of 1.74, the strategy manages to lose money - that's actually impresive in how bad it is!
Only 0.9 trades per month means this strategy is more passive than my uncle Manuel after Sunday lunch. The recent performance looks better, but don't let it fool you - it's like putting lipstick on cerdo. With these horrible Sharpe and Sortino ratios, you'd be better off throwing darts at stock listings blindfolded.
Tabular metrics of Bollinger bands pierce (long) backtested on WMT • Daily
| Total Trades | 207 | Net Profit | -20.9% | Buy & Hold Profit | 9978.0% |
| Win Rate | 37% | Reward/Risk Ratio | 1.74 | Max Drawdown | -65.4% |
| Asset Max Drawdown | -50.6% | Exposure | 34.1% | Avg Candles in Position | 15.0 |
| Sharpe Ratio | -0.46 | Sortino Ratio | -0.29 | Realized Volatility | 12.09% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.7 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.7 | Avg Trades per Month | 0.9 | Avg Trades per Day | 0.0 |
| Return Std Dev | 5.2 | Loss Std Dev | 2.2 | Win Std Dev | 5.1 |
| Expectancy | 0.0 | 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 |