we backtest strategies, so you don't have to

Range breakoutlong
Backtest Results @ EURUSD • 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 9 days of EURUSD • 1 Minute (Euro vs USD spot (Interactive Brokers)) data, from July 16, 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.

Strategy

Asset

Strategy Drawdown

Asset Drawdown

So, we have backtested Range breakout on 9 days of EURUSD • 1 Minute candles. This backtest resulted in 153 positions, with the average win rate of 22% and reward-risk ratio of 2.76. If you assume that 2.76 reward-to-risk ratio holds, you need a minimum win rate of 26.6 to be profitable. So you're screwed! The key metrics are as follows:

Total Return: Total Return: -0.50% vs 0.90% for the asset
Max Drawdown: Max Drawdown: -0.60% vs -0.70% for the asset
Exposure: Exposure: 22.30% time in the market
Win Rate: Win Rate: 22.0%, vs 26.6% minimum
Reward/Risk Ratio: Reward/Risk Ratio: 2.76

With that exposure in mind, you can tell that for 22% time-in-market, you get -55.56% of the asset upside potential, and 85.71% 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) > 1.5

Range breakout: exit a position when

All of the following: # Delta
  1min Chart(close) < 1min Range (20, 0), Middle

Range breakout @ EURUSD • 1 Minute (-0.5%) backtest results explained by Alex C

Alex C

Author

The backtest results show quite problematic behavior. The win rate of 22% is far too low for sustainable trading, even with a risk/reward ratio of 2.76. This means the strategy is losing more often than mathematics would allow for profitable operation.

The high frequency of trades - 38.3 per day - combined with such poor win rate suggests the strategy is too sensitive and probably catches a lot of false signals. I notice the volume trigger of 1.5x relative volume might be too low for EURUSD on 1-minute timeframe. From my experience with forex markets, we should look at 2x or even 3x volume spikes for more reliable breakout signals.

The most concerning metric is the 22 trades losing streak. This is completely unacceptable from risk management perspective. No trader can psychologically handle such long drawdown periods, even if individual losses are small. The strategy needs fundamental rework - either stricter entry filters or complete redesign of the core logic. The current version is mathematically invalid for real trading.

Tabular metrics of Range breakout backtested on EURUSD • 1 Minute

Total Trades	153	Net Profit	-0.5%	Buy & Hold Profit	0.9%
Win Rate	22%	Reward/Risk Ratio	2.76	Max Drawdown	-0.6%
Asset Max Drawdown	-0.7%	Exposure	22.3%	Avg Candles in Position	13.2
Sharpe Ratio		Sortino Ratio		Realized Volatility	—
Max Winning Streak	3	Avg Winning Streak	1.4	Max Losing Streak	22
Avg Losing Streak	4.3	Avg Trades per Month	1147.5	Avg Trades per Day	38.3
Return Std Dev	0.0	Loss Std Dev	0.0	Win Std Dev	0.0
Expectancy	-0.2	Beta	0.24

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

Range breakoutlongBacktest Results @ EURUSD • 1 Minute