Range breakoutlongBacktest Results @ BTCUSDT • 10 Minutes
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 69 days of BTCUSDT • 10 Minutes (Bitcoin vs Tether, Binance US) data, from May 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 69 days of BTCUSDT • 10 Minutes candles. This backtest resulted in 205 positions, with the average win rate of 36% and reward-risk ratio of 2.39. If you assume that 2.39 reward-to-risk ratio holds, you need a minimum win rate of 29.5 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 10.50% vs 14.30% for the asset
- Max Drawdown: Max Drawdown: -4.90% vs -12.10% for the asset
- Exposure: Exposure: 32.70% time in the market
- Win Rate: Win Rate: 36.0%, vs 29.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.39
With that exposure in mind, you can tell that for 33% time-in-market, you get 73.43% of the asset upside potential, and 40.50% of the asset downside potential.
Range breakout: enter a position when
All of the following: # Papa
10min Chart(high) > 10min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
10min Relative Volume (20, SMA, 1) > 1.5Range breakout: exit a position when
All of the following: # Delta 10min Chart(close) < 10min Range (20, 0), Middle
Range breakout @ BTCUSDT • 10 Minutes (10.5%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break it down for you from behind the Wendy's grill.
The strategy is showing some serious potential with that 10.5% gain in just over 2 months - that's not bad at all! What really gets me hyped is that 2.39 Risk/Reward ratio and the 35.71% win rate leeway. That means we're way above the minimum win rate needed to stay profitable, which is like having extra sauce on your tendies! 🍗 The max drawdown of only 4.9% is pretty sweet too, especially compared to the asset's 12.1% drawdown.
Here's what's making me a bit cautious though (gotta keep it real): The 36% win rate might seem low, but with that juicy risk/reward ratio, it's actually working out nicely. The 9-trade losing streak could be rough on the mental game though - might need to size positions carefully to avoid getting rekt. Also, while the strategy made 10.5%, buy & hold did 14.3%, so we're slightly underperforming the market. But hey, with lower exposure and drawdown, it might be worth the trade-off! 💎🙌
Not financial advice, but if I wasn't flipping burgers, I'd definitely give this strategy a closer look. Those Sharpe and Sortino ratios are looking clean AF! 🔥
Sarah
AuthorThe strategy looks mediocre at best, and I'm being generous here. Let me tell you why, mi amigo.
First of all, your win rate is pathetically low at 36%. Yes, yes, I know you have a good risk/reward ratio of 2.39, but honestly? You're basically gambling here - losing 2 out of every 3 trades is psychologically brutal. Even worse, you've had losing streaks of 9 trades in a row! That's enough to make most traders lose their cabeza and abandon the strategy completely.
The most embarassing part? Your strategy underperformed a simple buy & hold by almost 4%. What's the point of all this sophisticated "range breakout" nonsense if you could have made more money by just buying Bitcoin and going to sleep? And with your market exposure at only 32.7%, you're taking all this risk for subpar returns. Es ridiculous!
Look, I appreciate that your drawdown is relatively controlled at -4.9% compared to the asset's -12.1%. The Sharpe and Sortino ratios aren't terrible either. But trading nearly 6 times per day with such a low win rate? You're basically feeding your broker with commisions while getting mediocre results. Mi consejo? Either significantly improve the entry conditions or find a completely different strategy. This one is not worth your tiempo.
Tabular metrics of Range breakout backtested on BTCUSDT • 10 Minutes
| Total Trades | 205 | Net Profit | 10.5% | Buy & Hold Profit | 14.3% |
| Win Rate | 36% | Reward/Risk Ratio | 2.39 | Max Drawdown | -4.9% |
| Asset Max Drawdown | -12.1% | Exposure | 32.7% | Avg Candles in Position | 14.5 |
| Sharpe Ratio | 2.21 | Sortino Ratio | 5.00 | Realized Volatility | 20.36% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.4 | Max Losing Streak | 9 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 178.3 | Avg Trades per Day | 5.9 |
| Return Std Dev | 0.6 | Loss Std Dev | 0.2 | Win Std Dev | 0.7 |
| Expectancy | 0.2 | 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 |