Buy at opening candle range breakoutlongBacktest Results @ GLD • 5 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 6.2 months of GLD • 5 Minutes (SPDR Gold Trust) data, from January 28, 2025 to August 1, 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 6.2 months of GLD • 5 Minutes candles. This backtest resulted in 90 positions, with the average win rate of 61% and reward-risk ratio of 0.50. If you assume that 0.50 reward-to-risk ratio holds, you need a minimum win rate of 66.7 to be profitable. So you're screwed! However, 90 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: -3.00% vs 21.50% for the asset
- Max Drawdown: Max Drawdown: -7.30% vs -8.00% for the asset
- Exposure: Exposure: 22.70% time in the market
- Win Rate: Win Rate: 61.0%, vs 66.7% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 0.50
With that exposure in mind, you can tell that for 23% time-in-market, you get -13.95% of the asset upside potential, and 91.25% of the asset downside potential.
Buy at opening candle range breakout: enter a position when
All of the following: # Papa 5min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: exit a position when
All of the following: # X-ray 5min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ GLD • 5 Minutes (-3.0%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, this backtest on GLD is giving me some mixed feelings! 🤔 The win rate at 61% looks pretty sweet at first glance, but there's some red flags we gotta talk about.
The strategy is doing about one trade per day, which is cool for managing those Wendy's shifts 😅, but that -3% net profit while the market's up 21.5% is straight-up painful bruh. The Risk/Reward ratio at 0.5 means we're risking twice what we're making on wins - that's like betting $2 to win $1, not the kind of odds we're looking for in this game! 💸
I do like that we're getting some decent winning streaks (up to 8 trades!), and the market exposure is low at 22.7% which could be good for sleeping at night. But that -7.3% max drawdown combined with the negative Sharpe and Sortino ratios is telling me this strategy needs some serious tweaking before I'd YOLO my paycheck into it. Maybe we could adjust the exit conditions to let winners run longer? Just thinking out loud here! 🚀
Sarah
AuthorDios mio, this strategy is a complete disaster! You are losing money while the market is making +21.5%? What kind of amateur hour is this?
Look at these pathetic numbers - your Risk/Reward is only 0.5 which means your losses are twice as big as your wins. Even with 61% win rate you're still losing money! The math simply doesn't work. And that -7.3% drawdown? Por favor, this is embarassing when the asset itself only dropped -8%... you managed to catch almost all the downside while missing the upside completely!
The most ridicolous part is your market exposure of only 22.7%. You're basically sitting on the sidelines while GLD is making new highs. With volatility of 6.78% vs asset's 20.27%, you're not even participating in the moves. Your strategy is like watching a football match from the parking lot!
I would fire anyone who brought me these results. The negative Sharpe and Sortino ratios tell me this is worse than just holding cash. Do yourself a favor - either completely rebuild this strategy from scratch or just buy and hold. This is painful to even look at.
Tabular metrics of Buy at opening candle range breakout backtested on GLD • 5 Minutes
| Total Trades | 90 | Net Profit | -3.0% | Buy & Hold Profit | 21.5% |
| Win Rate | 61% | Reward/Risk Ratio | 0.50 | Max Drawdown | -7.3% |
| Asset Max Drawdown | -8.0% | Exposure | 22.7% | Avg Candles in Position | 24.2 |
| Sharpe Ratio | -0.72 | Sortino Ratio | -0.90 | Realized Volatility | 6.78% |
| Max Winning Streak | 8 | Avg Winning Streak | 2.5 | Max Losing Streak | 5 |
| Avg Losing Streak | 1.5 | Avg Trades per Month | 29.2 | Avg Trades per Day | 1.0 |
| Return Std Dev | 0.5 | Loss Std Dev | 0.6 | Win Std Dev | 0.3 |
| Expectancy | -0.1 | Beta | 0.1 |
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 |