Range breakoutlongBacktest Results @ GLD • 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 38 days of GLD • 1 Minute (SPDR Gold Trust) data, from June 17, 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 38 days of GLD • 1 Minute candles. This backtest resulted in 191 positions, with the average win rate of 38% and reward-risk ratio of 1.80. If you assume that 1.80 reward-to-risk ratio holds, you need a minimum win rate of 35.7 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 0.60% vs -1.40% for the asset
- Max Drawdown: Max Drawdown: -1.90% vs -4.10% for the asset
- Exposure: Exposure: 31.80% time in the market
- Win Rate: Win Rate: 38.0%, vs 35.7% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.80
With that exposure in mind, you can tell that for 32% time-in-market, you get -42.86% of the asset upside potential, and 46.34% 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 @ GLD • 1 Minute (0.6%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest shows some interesting properties, but I am not fully convinced. While the strategy shows a positive net profit of 0.6% against a negative buy & hold of -1.4%, there are some concerns I have from mathematical perspective.
The high frequency of trades (10.1 per day) combined with the relatively low win rate of 38% would normally be problematic. However, the risk/reward ratio of 1.8 compensates for this, resulting in a positive expectancy of 0.1. This matches with the win rate leeway being healthy at 37.64% above minimal required - this is actually quite good from statistical viewpoint.
What worries me though is the market exposure of 31.8% and the average holding time of 15.6 candles. For a 1-minute chart strategy, this seems too long. Also the max drawdown of -1.9% is significant given the small overall profit. I would want to see more data beyond 38 days to validate if these metrics are stable. The missing volatility and correlation metrics (showing as NaN) make it harder to properly evaluate the risk characteristics. Before real trading, I would suggest to optimize the exit conditions to reduce average holding time and collect more backtest data.
Mike
AuthorYo fam, this Range Breakout strategy on GLD is looking pretty juicy! 🚀 The numbers are giving me some serious hopium vibes, especially that sweet 1.8 Risk/Reward ratio!
The strategy is doing about 10 trades a day, which is perfect for someone like me working the Wendy's shift - I can actually keep up with that! Love how it beat the market too, giving us 0.6% while buy & hold was down -1.4%. That's some alpha right there! 💪 The max drawdown is only -1.9%, which means I won't have to explain to my manager why I'm crying in the break room.
The win rate at 38% might look low to some paper hands, but check this out - we only needed 35.7% to break even! That's a solid safety margin right there. Plus, with those juicy winners being almost twice the size of the losers, we're building that account steadily. Might not be a lambo tomorrow, but it's honest work! 🔥 Just gotta stay diamond hands through those 9-trade losing streaks when they come! NFA but I'm pretty hyped about these results!
Sarah
AuthorThese numbers are not completely terrible, but they show serious weaknesses that make me question if you really know what you're doing. Let me point out the obvios problems here.
First, your win rate is pathetically low at 38%. Even though you have a decent R/R ratio of 1.8, trading with such a low win rate is going to be psychologically challenging. Most traders would lose their mind seeing 6 out of 10 trades going against them.
The max losing streak of 9 trades is another red flag. Have you considered how much capital you need to survive such drawdowns? And let's not even talk about the average losing streak of 2.5 trades - that's going to be mentally exhausting.
The only thing saving this strategy from being complete garbage is the positive expectancy of 0.1 and the fact that you're beating buy & hold by 2%. But honestly, with 191 trades in just 38 days, the transaction costs would probably eat most of your profits in real trading.
I must say though, the market exposure of 31.8% is actually decent - at least you're not constantly exposed to market risks like most amateur strategies. But overall, this needs serious work before it's worth real money.
Tabular metrics of Range breakout backtested on GLD • 1 Minute
| Total Trades | 191 | Net Profit | 0.6% | Buy & Hold Profit | -1.4% |
| Win Rate | 38% | Reward/Risk Ratio | 1.80 | Max Drawdown | -1.9% |
| Asset Max Drawdown | -4.1% | Exposure | 31.8% | Avg Candles in Position | 15.6 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 5 | Avg Winning Streak | 1.6 | Max Losing Streak | 9 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 301.6 | Avg Trades per Day | 10.1 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.2 |
| Expectancy | 0.1 | Beta | 0.26 |
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 |