Buy at opening candle range breakoutlong

Backtest Results @ SPY • 30 Minutes

The strategy shows some interesting characteristics, but I have concerns about its efficiency. The win rate of 63% looks good at first glance, but when we consider the Risk/Reward ratio of 0.71, it becomes problematic. This means our winners are smaller than our losers, which puts pressure on maintaining that high win rate.

The market exposure of 34.6% with only 18.1% net profit over 3.1 years is not optimal, especially when compared to the buy & hold profit of 65.6%. The Sharpe ratio of 0.51 and Sortino ratio of 0.38 are both below what I would consider acceptable for a systematic trading strategy. What catches my attention though is the relatively low drawdown of -6.8% compared to the asset's -20.2% - this suggests good risk management charakteristics.

From pure mathematics perspective, the strategy is viable because the actual win rate (63%) exceeds the minimal sufficient win rate (58.5%). However, I would be concerned about the strategy's ability to generate meaningful returns in different market conditions. The performance by time periods shows significant inconsistency, which makes me skeptical about its robustness. I would recommend to either optimize the exit rules to improve the Risk/Reward ratio or look for additional filters to reduce the number of trades while maintaining the positive charakteristics.

Yo fam, this opening range breakout strategy on SPY is giving some interesting vibes! 🤔 The 63% win rate is pretty sweet, and that 6.8% max drawdown is way better than SPY's 20.2% drawdown - that's some serious risk management right there! 💪

The strategy is doing about 25 trades per month which is perfect for us Wendy's warriors - not too crazy on commissions but enough action to keep it spicy! The average hold time of 6.4 candles means we're not bagholding forever, just quick in-and-out plays which I'm totally down with. Love that it only keeps us in the market 34.6% of the time - means we're not exposed during all the choppy nonsense.

Not gonna lie though, that 18.1% total return vs SPY's 65.6% over 3 years is kinda weak sauce 😅 But hear me out - the low correlation (0.44) and beta (0.20) mean this could be a solid complement to a buy-and-hold portfolio. Plus that 6241.5% win rate leeway is insane! Means the strategy has room to breathe even if market conditions get a bit rough. To the moon! 🚀

Madre mía, this strategy is a complete disaster! The numbers are screaming "mediocre" from every angle.

Look at that pathetic 18.1% net profit over 3.1 years while the market made 65.6%! You would have done better throwing darts at a board blindfolded or simply buying and holding like any sensible investor. The market exposure of 34.6% shows you're missing most of the actual moves - what a joke!

The win rate of 63% might look decent at first glance, but when you look at the miserable average win size of 0.33% versus -0.46% average loss, it's clear this strategy is bleeding money slowly. A risk/reward ratio of 0.71 means you're risking more than you're making on each trade - this is Trading 101 stuff that you're getting wrong!

The most alarming thing is the volatility of performance across different time periods. One month you're up 0.1%, then three months you're down -3.2% - there's no consistency! And that pathetic Sharpe ratio of 0.51 confirms what I suspected - this strategy is barely better than gambling.

My honest advice? Throw this strategy in the garbage where it belongs. You're wasting your time with these amateur hour signals. Either develop something with actual edge or just buy an index fund and save yourself the headache.