Buy at opening candle range breakoutlongBacktest Results @ SPY • 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 SPY • 5 Minutes (SPDR S&P 500) 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 SPY • 5 Minutes candles. This backtest resulted in 99 positions, with the average win rate of 61% and reward-risk ratio of 0.95. If you assume that 0.95 reward-to-risk ratio holds, you need a minimum win rate of 51.3 to be profitable. So you're looking good so far. However, 99 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: 5.40% vs 3.40% for the asset
- Max Drawdown: Max Drawdown: -4.00% vs -21.10% for the asset
- Exposure: Exposure: 14.10% time in the market
- Win Rate: Win Rate: 61.0%, vs 51.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 0.95
With that exposure in mind, you can tell that for 14% time-in-market, you get 158.82% of the asset upside potential, and 18.96% 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 @ SPY • 5 Minutes (5.4%) backtest results explained by Alex C
Alex C
AuthorThe backtest results show some interesting metrics, but I am not totally convinced. While the win rate of 61% looks decent, the risk/reward ratio of 0.95 is not optimal - we typically want to see this above 1.2 for reliable profitability.
The strategy shows low market exposure at 14.1% which is good for risk management, but the Sharpe ratio of 0.28 indicates poor risk-adjusted returns. The max drawdown of -4% is acceptable, but when combined with only 5.4% total profit over 6.2 months, the mathematical efficiency is questionable. The beta of 0.23 suggests low correlation to market movements, which could be positive for diversification purposes.
What concerns me most is the inconsistency across time periods - we see positive 6-month performance but negative 3-month returns. This volatility in results makes me skeptical about the strategy's statistical robustness. While the win rate leeway looks impressive, I would need to see more data points and longer testing period before considering this strategy mathematically valid. Perhaps some parameter optimization could improve the risk/reward characteristics.
Tabular metrics of Buy at opening candle range breakout backtested on SPY • 5 Minutes
| Total Trades | 99 | Net Profit | 5.4% | Buy & Hold Profit | 3.4% |
| Win Rate | 61% | Reward/Risk Ratio | 0.95 | Max Drawdown | -4.0% |
| Asset Max Drawdown | -21.1% | Exposure | 14.1% | Avg Candles in Position | 13.3 |
| Sharpe Ratio | 0.28 | Sortino Ratio | 0.46 | Realized Volatility | 6.48% |
| Max Winning Streak | 9 | Avg Winning Streak | 2.4 | Max Losing Streak | 3 |
| Avg Losing Streak | 1.5 | Avg Trades per Month | 32.1 | Avg Trades per Day | 1.1 |
| Return Std Dev | 0.6 | Loss Std Dev | 0.2 | Win Std Dev | 0.7 |
| Expectancy | 0.2 | Beta | 0.23 |
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 |