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Range breakoutlong
Backtest Results @ SPY • 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 SPY • 1 Minute (SPDR S&P 500) 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.

Strategy

Asset

Strategy Drawdown

Asset Drawdown

So, we have backtested Range breakout on 38 days of SPY • 1 Minute candles. This backtest resulted in 197 positions, with the average win rate of 35% and reward-risk ratio of 2.42. If you assume that 2.42 reward-to-risk ratio holds, you need a minimum win rate of 29.2 to be profitable. So you're looking good so far. The key metrics are as follows:

Total Return: Total Return: 1.60% vs 6.60% for the asset
Max Drawdown: Max Drawdown: -1.10% vs -1.50% for the asset
Exposure: Exposure: 32.20% time in the market
Win Rate: Win Rate: 35.0%, vs 29.2% minimum
Reward/Risk Ratio: Reward/Risk Ratio: 2.42

With that exposure in mind, you can tell that for 32% time-in-market, you get 24.24% of the asset upside potential, and 73.33% 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 @ SPY • 1 Minute (1.6%) backtest results explained by Mike

Mike

Author

Yo fam, this Range Breakout strategy is looking pretty interesting! 🚀 The numbers are giving me some mixed vibes, but there's definitely potential here.

First off, that 35% win rate might look scary, but check this out - we're actually crushing it with a 2.42 risk/reward ratio! That's what I call making our winners count 💪. We're sitting pretty with a 34.7% cushion above the minimum win rate we need, which is absolutely bonkers good. Plus, that max drawdown of only -1.1% is like, super chill for a day trading strategy.

The one thing that's got me a bit worried is that we're underperforming buy & hold (1.6% vs 6.6%). But hey, we're only exposed to the market 32% of the time, so we're actually being pretty efficient with our capital. That means we could potentially leverage this bad boy or trade multiple setups! And averaging 10 trades per day? That's perfect for us Wendy's warriors trying to stack those tendies between shifts! 🍗

Keep in mind though, this is just paper trading results from the future (2025 lol), so we gotta stay grounded. But man, with these kind of numbers, I might have to skip the next PS5 drop and put that money into trading instead! 🎮➡️📈

Tabular metrics of Range breakout backtested on SPY • 1 Minute

Total Trades	197	Net Profit	1.6%	Buy & Hold Profit	6.6%
Win Rate	35%	Reward/Risk Ratio	2.42	Max Drawdown	-1.1%
Asset Max Drawdown	-1.5%	Exposure	32.2%	Avg Candles in Position	15.3
Sharpe Ratio		Sortino Ratio		Realized Volatility	—
Max Winning Streak	3	Avg Winning Streak	1.4	Max Losing Streak	10
Avg Losing Streak	2.6	Avg Trades per Month	311.1	Avg Trades per Day	10.4
Return Std Dev	0.1	Loss Std Dev	0.0	Win Std Dev	0.2
Expectancy	0.2	Beta	0.33

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 @ SPY • 1 Minute