Buy at opening candle range breakoutlongBacktest Results @ BTCUSDT • 10 Minutes
This intraday breakout strategy seeks to enter once price breads above the opening candle High, at any stage of a day. It takes profit on Opening Range High+Opening Range Size, and it has a stop loss at Opening Range Low. It never carries a position overnight; it always exits at the last candle of a day in case if no other exit conditions were met.
Equity Curve
Backtest covers 71 days of BTCUSDT • 10 Minutes (Bitcoin vs Tether, Binance US) data, from May 23, 2025 to August 3, 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 Buy at opening candle range breakout on 71 days of BTCUSDT • 10 Minutes candles. This backtest resulted in 59 positions, with the average win rate of 56% and reward-risk ratio of 0.88. If you assume that 0.88 reward-to-risk ratio holds, you need a minimum win rate of 53.2 to be profitable. So you're looking good so far. However, 59 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: 1.00% vs 4.20% for the asset
- Max Drawdown: Max Drawdown: -4.60% vs -11.10% for the asset
- Exposure: Exposure: 15.40% time in the market
- Win Rate: Win Rate: 56.0%, vs 53.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 0.88
With that exposure in mind, you can tell that for 15% time-in-market, you get 23.81% of the asset upside potential, and 41.44% of the asset downside potential.
Buy at opening candle range breakout: enter a position when
All of the following: # Papa 10min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: exit a position when
All of the following: # X-ray 10min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ BTCUSDT • 10 Minutes (1.0%) backtest results explained by Alex C
Alex C
AuthorThe backtest results show some concerning patterns. While the win rate of 56% looks decent at first glance, the negative Sharpe and Sortino ratios (-0.44 and -0.54) indicate poor risk-adjusted returns. This is nicht gut.
The strategy significantly underperforms buy & hold (1.0% vs 4.2%) with only 15.4% market exposure. This tells me the strategy is missing major moves while trying to be selective. The Risk/Reward ratio of 0.88 is suboptimal - you lose more on losing trades (-0.36%) than you make on winning trades (0.32%). Even though the win rate provides some cushion above the minimal required 53.2%, the absolute performance numbers are nicht sehr beeindruckend.
I would suggest optimizing the exit conditions, as the average hold time of 25.1 candles seems too long for a breakout strategy. The correlation of 0.43 to the underlying asset is actually good for diversification purposes, but with these performance metrics, it's not enough to justify trading this system. The strategy needs fundamental improvements before going live mit echtem Geld.
Tabular metrics of Buy at opening candle range breakout backtested on BTCUSDT • 10 Minutes
| Total Trades | 59 | Net Profit | 1.0% | Buy & Hold Profit | 4.2% |
| Win Rate | 56% | Reward/Risk Ratio | 0.88 | Max Drawdown | -4.6% |
| Asset Max Drawdown | -11.1% | Exposure | 15.4% | Avg Candles in Position | 25.1 |
| Sharpe Ratio | -0.44 | Sortino Ratio | -0.54 | Realized Volatility | 8.81% |
| Max Winning Streak | 5 | Avg Winning Streak | 2.1 | Max Losing Streak | 4 |
| Avg Losing Streak | 1.7 | Avg Trades per Month | 49.9 | Avg Trades per Day | 1.7 |
| Return Std Dev | 0.5 | Loss Std Dev | 0.3 | Win Std Dev | 0.4 |
| Expectancy | 0.1 | Beta | 0.13 |
All backtests for Buy at opening candle range breakout
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
BTCUSDT • 10 Minutes | 15% | (1.0%/4.2%) 0.24x | (-4.6%/-11.1%) 0.41x | 56 | 0.9 |
EURUSD • 10 Minutes | 22% | (0.8%/2.1%) 0.38x | (-1.7%/-3.6%) 0.47x | 87 | 0.2 |
GLD • 10 Minutes | 24% | (0.8%/39.2%) 0.02x | (-2.6%/-8.3%) 0.31x | 60 | 0.7 |
NVDA • 10 Minutes | 32% | (25.9%/41.7%) 0.62x | (-15.6%/-42.8%) 0.36x | 54 | 1.1 |
PLTR • 10 Minutes | 33% | (38.1%/439.0%) 0.09x | (-25.4%/-46.5%) 0.55x | 58 | 1.0 |
SPY • 10 Minutes | 22% | (16.4%/12.3%) 1.33x | (-5.5%/-20.7%) 0.27x | 68 | 0.8 |
TSLA • 10 Minutes | 29% | (-7.9%/23.0%) -0.34x | (-34.7%/-55.3%) 0.63x | 60 | 0.7 |
WMT • 10 Minutes | 32% | (13.3%/40.0%) 0.33x | (-9.1%/-23.8%) 0.38x | 63 | 0.8 |
BTCUSDT • 15 Minutes | 20% | (2.3%/33.4%) 0.07x | (-7.2%/-12.0%) 0.60x | 52 | 1.1 |
EURUSD • 15 Minutes | 27% | (3.9%/8.2%) 0.48x | (-1.4%/-4.3%) 0.33x | 83 | 0.3 |
GLD • 15 Minutes | 31% | (4.0%/66.4%) 0.06x | (-4.4%/-8.3%) 0.53x | 59 | 0.8 |
NVDA • 15 Minutes | 34% | (69.7%/211.7%) 0.33x | (-10.1%/-42.8%) 0.24x | 57 | 1.2 |
PLTR • 15 Minutes | 33% | (124.3%/846.9%) 0.15x | (-14.3%/-46.5%) 0.31x | 56 | 1.4 |
SPY • 15 Minutes | 24% | (13.3%/31.8%) 0.42x | (-4.4%/-21.1%) 0.21x | 62 | 0.8 |
TSLA • 15 Minutes | 27% | (16.3%/41.6%) 0.39x | (-20.0%/-55.6%) 0.36x | 56 | 0.9 |
WMT • 15 Minutes | 33% | (27.2%/83.0%) 0.33x | (-4.9%/-23.8%) 0.21x | 64 | 0.9 |
BTCUSDT • 30 Minutes | 21% | (-3.7%/14.3%) -0.26x | (-20.8%/-31.2%) 0.67x | 57 | 0.7 |
EURUSD • 30 Minutes | 35% | (-1.1%/5.7%) -0.19x | (-5.2%/-7.4%) 0.70x | 75 | 0.3 |
GLD • 30 Minutes | 34% | (11.1%/87.3%) 0.13x | (-6.9%/-11.8%) 0.58x | 55 | 1.0 |
NVDA • 30 Minutes | 34% | (58.6%/1089.5%) 0.05x | (-29.2%/-42.9%) 0.68x | 54 | 1.1 |
PLTR • 30 Minutes | 30% | (19.4%/1516.1%) 0.01x | (-41.6%/-48.4%) 0.86x | 54 | 0.9 |
SPY • 30 Minutes | 35% | (18.1%/65.6%) 0.28x | (-6.8%/-20.2%) 0.34x | 63 | 0.7 |
TSLA • 30 Minutes | 29% | (62.0%/33.8%) 1.83x | (-20.9%/-67.1%) 0.31x | 56 | 1.0 |
WMT • 30 Minutes | 32% | (32.0%/138.6%) 0.23x | (-6.5%/-23.8%) 0.27x | 58 | 1.1 |
BTCUSDT • 5 Minutes | 18% | (2.2%/5.7%) 0.39x | (-2.1%/-8.9%) 0.24x | 64 | 1.0 |
EURUSD • 5 Minutes | 23% | (0.7%/0.8%) 0.87x | (-0.7%/-3.7%) 0.19x | 88 | 0.2 |
GLD • 5 Minutes | 23% | (-3.0%/21.5%) -0.14x | (-7.3%/-8.0%) 0.91x | 61 | 0.5 |
NVDA • 5 Minutes | 29% | (14.6%/42.5%) 0.34x | (-9.3%/-38.8%) 0.24x | 61 | 0.9 |
PLTR • 5 Minutes | 26% | (18.3%/95.6%) 0.19x | (-14.7%/-46.6%) 0.32x | 55 | 1.1 |
SPY • 5 Minutes | 14% | (5.4%/3.4%) 1.59x | (-4.0%/-21.1%) 0.19x | 61 | 0.9 |
TSLA • 5 Minutes | 21% | (47.4%/-22.2%) -2.14x | (-7.1%/-48.5%) 0.15x | 68 | 0.9 |
WMT • 5 Minutes | 27% | (12.5%/1.2%) 10.42x | (-4.8%/-23.8%) 0.20x | 63 | 0.9 |