Range breakoutlongBacktest Results @ WMT • 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 WMT • 1 Minute (Walmart Inc.) 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 WMT • 1 Minute candles. This backtest resulted in 200 positions, with the average win rate of 32% and reward-risk ratio of 2.04. If you assume that 2.04 reward-to-risk ratio holds, you need a minimum win rate of 32.9 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -0.50% vs 3.30% for the asset
- Max Drawdown: Max Drawdown: -3.20% vs -5.10% for the asset
- Exposure: Exposure: 30.90% time in the market
- Win Rate: Win Rate: 32.0%, vs 32.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.04
With that exposure in mind, you can tell that for 31% time-in-market, you get -15.15% of the asset upside potential, and 62.75% 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 @ WMT • 1 Minute (-0.5%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest results show some concerning patterns. While the Win Rate Leeway looks good at first glance, the overall strategy performance is quite problematic. A negative net profit of -0.5% against a buy & hold profit of 3.3% shows that this strategy is underperforming the market significantly.
The win rate of 32% is very low, even though the Risk/Reward ratio of 2.04 mathematically balances it. What worries me most is the high frequency of trades - 10.5 trades per day is excessive and will result in high transaction costs which are not even factored in these results yet. The maximum losing streak of 13 trades in combination with the high trade frequency could lead to substantial drawdowns in real trading conditions.
From pure mathematical perspective, the strategy shows some potential due to the positive Win Rate Leeway, but the market exposure of only 30.9% suggests it might be missing important moves. The average holding time of 14.4 candles appears too short for capturing meaningful price movements. I would suggest optimizing the entry conditions to reduce false signals and maybe increasing the holding period to capture more of the trend movement.
Sarah
AuthorMadre mia, this strategy is a complete disaster! Your win rate is pathetically low at 32% - you might as well be throwing darts blindfolded! And somehow you managed to lose money (-0.5%) while the market was actually up 3.3%. Impressive how bad that is!
The only somewhat decent thing here is the Risk/Reward ratio of 2.04, but what good is that when you're losing more than 2/3 of your trades? And those losing streaks... 13 losses in a row? That's enough to make anyone's account bleed to death! The drawdown of -3.2% might not look terrible, but with such poor performance it's just the tip of the iceberg.
Look, I've seen bad strategies before, but this one is especialmente terrible. You're doing way too many trades (10.5 per day) with horrible accuracy. The market exposure of 30.9% suggests you're getting in and out like a drunk monkey. And that -10.7% CAGR compared to the asset's +2.5%? Magnifico... magnificamente terrible!
My suggestion? Throw this strategy in la basura where it belongs and start over. And next time, try to actually make money instead of donating it to the market.
Tabular metrics of Range breakout backtested on WMT • 1 Minute
| Total Trades | 200 | Net Profit | -0.5% | Buy & Hold Profit | 3.3% |
| Win Rate | 32% | Reward/Risk Ratio | 2.04 | Max Drawdown | -3.2% |
| Asset Max Drawdown | -5.1% | Exposure | 30.9% | Avg Candles in Position | 14.4 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 6 | Avg Winning Streak | 1.7 | Max Losing Streak | 13 |
| Avg Losing Streak | 3.1 | Avg Trades per Month | 315.8 | Avg Trades per Day | 10.5 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.2 |
| Expectancy | -0.0 | Beta | 0.34 |
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 |