Range breakoutlongBacktest Results @ BTCUSDT • 1 Minute
This strategy enters once price action beraks through the range of the last 20 candles, while accompanied with elevated trading volume. It exits once price closes below an SMA(20). The idea is to follow trends, riding momentum confirmed by volume.
Equity Curve
Backtest covers 7 days of BTCUSDT • 1 Minute (Bitcoin vs Tether, Binance US) data, from July 19, 2025 to July 25, 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 Range breakout on 7 days of BTCUSDT • 1 Minute candles. This backtest resulted in 114 positions, with the average win rate of 46% and reward-risk ratio of 1.27. If you assume that 1.27 reward-to-risk ratio holds, you need a minimum win rate of 44.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 0.40% vs -0.50% for the asset
- Max Drawdown: Max Drawdown: -2.30% vs -4.50% for the asset
- Exposure: Exposure: 25.90% time in the market
- Win Rate: Win Rate: 46.0%, vs 44.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.27
With that exposure in mind, you can tell that for 26% time-in-market, you get -80.00% of the asset upside potential, and 51.11% of the asset downside potential.
Range breakout: enter a position when
All of the following: # Papa
1min Chart(high) > 1min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
1min Relative Volume (20, SMA, 1) > 1.5Range breakout: exit a position when
All of the following: # Delta 1min Chart(close) < 1min Range (20, 0), Middle
Range breakout @ BTCUSDT • 1 Minute (0.4%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results look quite interessant from mathematical perspective. The strategy shows some promising characteristics, but also has some concerns I must point out.
First the positives: The strategy achieves a 0.4% net profit against a -0.5% buy & hold, which means it outperforms the market in this timeframe. The risk/reward ratio of 1.27 is acceptable, and most importantly, the win rate of 46% is comfortably above the minimal sufficient win rate of 44.1%. This gives us a good win rate leeway of about 4.5%, which provides some statistical buffer.
However, I have concerns about the high frequency of trades - 38 trades per day is very much and makes the strategy susceptible to death by thousand cuts through fees, which I dont see accounted for in these metrics. Also, the max drawdown of -2.3% relative to only 0.4% net profit is not optimal from risk management perspective. The short average hold time of 11.7 candles combined with such high trade frequency suggests the strategy might be overreacting to noise rather than catching real movements.
I would suggest to try increase the volume threshold from 1.5 to maybe 2.0 or 2.5 to reduce false signals, and maybe add some additional filters to reduce the number of trades while maintaining the positive expectancy. But the basic idea looks not completely terrible.
Mike
AuthorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break it down for my fellow degens.
First off, we're beating the market here - strategy's up 0.4% while buy & hold is down 0.5%. That's already a W! The strategy's making moves with 114 trades in just a week, which is pretty active. I'm loving that 1.27 risk/reward ratio and the fact we're running with a 46% win rate when we only need 44.1% to break even. That's some sweet margin of safety right there! 💪
The drawdown is looking controlled at -2.3% (way better than the market's -4.5%), and we're only exposed to the market about 26% of the time. That means we're not bagholding through the rough patches. The average trade duration is just 11.7 minutes - perfect for scalping those quick gains! The losing streaks aren't too scary either, maxing out at 7 while winners can string together 6 in a row.
This could be a solid strategy for us Wendy's warriors to stack some tendies! Just gotta keep those position sizes reasonable and maybe even consider scaling in during those winning streaks. Not financial advice though - I'm just a dude behind the fry station dreaming big! 🍗📈
Sarah
AuthorMadre mía, this backtest shows some serious problems! The strategy is like throwing spaghetti at the wall hoping something sticks.
38 trades per day? Are you trying to make your broker rich with fees? This hyperactive trading style is typically a recipe for disaster, especially in crypto where spreads and fees can eat you alive. The 0.4% net profit is pathetic considering the risk you're taking - you might as well put your money under your pillow!
The win rate is barely above the minimal sufficient rate - just 1.9% difference. That's walking on very thin ice, mi amigo! One small change in market conditions and your strategy goes *poof*. And that 25.9% market exposure? It's like you're scared of the market! Either commit properly or go home.
The most alarming thing is those streaks - 7 consecutive losses? Dios mío! With such tight margins, this could absolutely destroy your account if you're not careful with position sizing. And don't even get me started on those NaN values in your risk metrics - it's like driving blindfolded!
Look, if you want to throw away money, there are faster ways to do it. This strategy needs serious work before it's even remotely considerable for real trading.
Tabular metrics of Range breakout backtested on BTCUSDT • 1 Minute
| Total Trades | 114 | Net Profit | 0.4% | Buy & Hold Profit | -0.5% |
| Win Rate | 46% | Reward/Risk Ratio | 1.27 | Max Drawdown | -2.3% |
| Asset Max Drawdown | -4.5% | Exposure | 25.9% | Avg Candles in Position | 11.7 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 6 | Avg Winning Streak | 1.7 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.0 | Avg Trades per Month | 1140.0 | Avg Trades per Day | 38.0 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.1 |
| Expectancy | 0.0 | Beta | 0.21 |
All backtests for Range breakout
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 26% | (0.4%/-0.5%) -0.80x | (-2.3%/-4.5%) 0.51x | 46 | 1.3 |
EURUSD • 1 Minute | 22% | (-0.5%/0.9%) -0.56x | (-0.6%/-0.7%) 0.86x | 22 | 2.8 |
GLD • 1 Minute | 32% | (0.6%/-1.4%) -0.43x | (-1.9%/-4.1%) 0.46x | 38 | 1.8 |
NVDA • 1 Minute | 25% | (7.8%/20.4%) 0.38x | (-3.7%/-5.3%) 0.70x | 34 | 3.0 |
PLTR • 1 Minute | 28% | (1.3%/15.0%) 0.09x | (-5.4%/-12.9%) 0.42x | 36 | 1.9 |
SPY • 1 Minute | 32% | (1.6%/6.6%) 0.24x | (-1.1%/-1.5%) 0.73x | 35 | 2.4 |
TSLA • 1 Minute | 26% | (0.7%/-0.2%) -3.50x | (-12.8%/-19.2%) 0.67x | 35 | 1.9 |
WMT • 1 Minute | 31% | (-0.5%/3.3%) -0.15x | (-3.2%/-5.1%) 0.63x | 32 | 2.0 |
BTCUSDT • 10 Minutes | 33% | (10.5%/14.3%) 0.73x | (-4.9%/-12.1%) 0.40x | 36 | 2.4 |
EURUSD • 10 Minutes | 23% | (1.1%/1.8%) 0.61x | (-1.2%/-4.3%) 0.28x | 39 | 1.8 |
GLD • 10 Minutes | 38% | (9.4%/35.8%) 0.26x | (-5.4%/-8.3%) 0.65x | 37 | 2.2 |
NVDA • 10 Minutes | 30% | (19.8%/37.4%) 0.53x | (-28.5%/-42.8%) 0.67x | 46 | 1.4 |
PLTR • 10 Minutes | 31% | (43.5%/467.7%) 0.09x | (-32.3%/-46.5%) 0.69x | 40 | 1.9 |
SPY • 10 Minutes | 33% | (5.1%/13.1%) 0.39x | (-9.7%/-20.7%) 0.47x | 39 | 1.8 |
TSLA • 10 Minutes | 28% | (30.7%/25.4%) 1.21x | (-21.4%/-55.3%) 0.39x | 40 | 1.9 |
WMT • 10 Minutes | 32% | (23.2%/39.5%) 0.59x | (-5.3%/-23.8%) 0.22x | 41 | 2.1 |
BTCUSDT • 1 Hour | 34% | (0.5%/70.3%) 0.01x | (-18.7%/-30.6%) 0.61x | 34 | 2.0 |
EURUSD • 1 Hour | 30% | (1.6%/7.1%) 0.23x | (-6.8%/-9.0%) 0.76x | 34 | 2.1 |
GLD • 1 Hour | 38% | (39.3%/122.5%) 0.32x | (-19.5%/-22.2%) 0.88x | 39 | 2.2 |
NVDA • 1 Hour | 44% | (555.6%/3243.4%) 0.17x | (-52.5%/-68.0%) 0.77x | 46 | 2.1 |
PLTR • 1 Hour | 38% | (449.7%/1466.7%) 0.31x | (-56.3%/-86.6%) 0.65x | 43 | 2.4 |
SPY • 1 Hour | 36% | (28.0%/107.0%) 0.26x | (-17.4%/-35.1%) 0.50x | 40 | 2.0 |
TSLA • 1 Hour | 39% | (1353.0%/1305.7%) 1.04x | (-40.8%/-75.1%) 0.54x | 39 | 3.1 |
WMT • 1 Hour | 33% | (60.9%/145.2%) 0.42x | (-15.7%/-26.9%) 0.58x | 39 | 2.4 |
BTCUSDT • Daily | 35% | (549.0%/1346.8%) 0.41x | (-54.7%/-76.6%) 0.71x | 47 | 3.3 |
GLD • Daily | 32% | (83.3%/592.8%) 0.14x | (-21.7%/-45.3%) 0.48x | 48 | 1.8 |
NVDA • Daily | 32% | (6469.1%/396269.9%) 0.02x | (-55.8%/-90.0%) 0.62x | 50 | 2.7 |
SPY • Daily | 22% | (90.1%/1344.4%) 0.07x | (-15.9%/-56.7%) 0.28x | 49 | 2.3 |
TSLA • Daily | 30% | (2791.1%/24273.6%) 0.11x | (-42.7%/-75.0%) 0.57x | 42 | 4.8 |
WMT • Daily | 30% | (30.4%/10116.3%) 0.00x | (-67.6%/-50.6%) 1.34x | 39 | 1.8 |