Range breakoutlongBacktest Results @ EURUSD • 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 95 days of EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)) data, from April 21, 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 95 days of EURUSD • 10 Minutes candles. This backtest resulted in 188 positions, with the average win rate of 39% and reward-risk ratio of 1.83. If you assume that 1.83 reward-to-risk ratio holds, you need a minimum win rate of 35.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 1.10% vs 1.80% for the asset
- Max Drawdown: Max Drawdown: -1.20% vs -4.30% for the asset
- Exposure: Exposure: 23.30% time in the market
- Win Rate: Win Rate: 39.0%, vs 35.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.83
With that exposure in mind, you can tell that for 23% time-in-market, you get 61.11% of the asset upside potential, and 27.91% 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 @ EURUSD • 10 Minutes (1.1%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest results show some interesting characteristics, but I have concerns about the strategy's stability. The win rate of 39% with a risk/reward ratio of 1.83 is mathematically viable - this explains the positive expectancy of 0.1. However, I'm not convinced about the strategy's edge.
What worries me most is the relation between net profit and market exposure. With 23.3% market exposure, we achieve only 1.1% profit while buy & hold delivers 1.8%. This suggests the strategy might be picking up random noise rather than actual market inefficiencies. The high amount of trades (188 in 95 days) makes me suspect there is some overtrading happening here. The long losing streak of 12 trades is also concerning from risk management perspective.
On the positive side, the Sharpe ratio of 1.65 and especially Sortino ratio of 4.28 suggest good risk-adjusted returns. The relatively low correlation of 0.47 to the underlying asset could make this useful in a portfolio context. But I would want to see results from different market regimes before considering this strategy viable. The current backtest period is too short to make reliable conclusions about the strategy's robustness.
Sarah
AuthorAy dios mío, this strategy is like a teenager trying to drive Formula 1 - technically moving but definitely not winning any races!
The win rate of 39% is pathetically low, even though technically it's above the minimal required 35.3%. Yes, you have a positive expectancy of 0.1 and your Risk/Reward looks acceptable at 1.83, but let's be real here - you're barely making any money! A measly 1.1% net profit over 95 days? Mi abuela could do better keeping her money under her mattress!
The most concerning part is that you're underperforming the buy & hold strategy (1.8%) while exposing yourself to unnecessary trading risks. Those losing streaks of up to 12 trades in a row? ¡Qué horror! That's enough to make most traders lose their minds and their accounts.
The only somewhat decent things here are your risk metrics - the Sharpe and Sortino ratios aren't terrible, and the max drawdown is contained at -1.2%. But honestly, with such mediocre returns, who cares? You're basically running a complicated machine to generate peanuts. Either fix this strategy or throw it in la basura where it belongs!
Tabular metrics of Range breakout backtested on EURUSD • 10 Minutes
| Total Trades | 188 | Net Profit | 1.1% | Buy & Hold Profit | 1.8% |
| Win Rate | 39% | Reward/Risk Ratio | 1.83 | Max Drawdown | -1.2% |
| Asset Max Drawdown | -4.3% | Exposure | 23.3% | Avg Candles in Position | 8.5 |
| Sharpe Ratio | 1.65 | Sortino Ratio | 4.28 | Realized Volatility | 3.75% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.8 | Max Losing Streak | 12 |
| Avg Losing Streak | 2.7 | Avg Trades per Month | 118.7 | Avg Trades per Day | 4.0 |
| Return Std Dev | 0.1 | Loss Std Dev | 0.0 | Win Std Dev | 0.1 |
| Expectancy | 0.1 | Beta | 0.15 |
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 |