Range breakoutlongBacktest Results @ SPY • 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 12.5 months of SPY • 10 Minutes (SPDR S&P 500) data, from July 16, 2024 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 12.5 months of SPY • 10 Minutes candles. This backtest resulted in 184 positions, with the average win rate of 39% and reward-risk ratio of 1.82. If you assume that 1.82 reward-to-risk ratio holds, you need a minimum win rate of 35.5 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 5.10% vs 13.10% for the asset
- Max Drawdown: Max Drawdown: -9.70% vs -20.70% for the asset
- Exposure: Exposure: 33.30% time in the market
- Win Rate: Win Rate: 39.0%, vs 35.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.82
With that exposure in mind, you can tell that for 33% time-in-market, you get 38.93% of the asset upside potential, and 46.86% 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 @ SPY • 10 Minutes (5.1%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results show some interesting characteristics, but I am not completely convinced about the strategy's robustness.
The positive aspects are the good Risk/Reward ratio of 1.82 and the fact that the actual win rate (39%) is above the minimal required win rate (35.5%). This gives a healthy margin of error. The strategy also shows reasonable trading frequency with about 1 trade per day, which is enough to generate statistical significance over the tested period. The market exposure of 33.3% suggests it's fairly selective about when it trades, which is gut.
However, there are some concerning signals. The win rate of 39% is quite low, even if it's above the minimal requirement. The maximum drawdown of 9.7% is significant relative to the total profit of 5.1%. Also problematic is that the strategy underperformed buy & hold by a significant margin (5.1% vs 13.1%). The Sharpe ratio of 0.11 is too low - I would typically want to see at least 0.5 for a strategy to be considered. These metrics suggest the strategy might not be robust enough for real trading.
I would recommend to optimize the entry conditions to improve the win rate and reduce the maximum drawdown. Perhaps adjusting the volume threshold or adding additional filters could help. But in its current form, I would not trade this strategy with real money.
Mike
AuthorYo fam, this range breakout strategy is looking pretty interesting! 🚀 Let me break it down for a fellow trader who's grinding at Wendy's like me.
The strategy's giving us some decent numbers with that 1.82 Risk/Reward ratio - that's actually pretty sweet! We're getting bigger wins than losses (0.60% vs -0.33%), and even though the win rate is only 39%, it's still above what we need to be profitable. That 3.8k% win rate leeway is straight-up fire! 🔥
But keep it real though - we're underperforming buy & hold (5.1% vs 13.1%), and that max drawdown of 9.7% could hurt if you're playing with leverage. The trading frequency looks solid with about one trade per day, so you won't get killed on commissions like some of those scalping strategies I've tried (RIP my paycheck lol).
For my Wendy's portfolio, I'd consider this as part of a larger strategy mix. The low market exposure (33.3%) means it's pretty conservative, which could be good for not getting rekt, but might want to look at tweaking it to catch more upside moves. Maybe combine it with some YOLO plays? Not financial advice tho, just what I'd do with my tendies! 💎🙌
Sarah
AuthorMadre mía, this strategy is more disappointing than my ex-husband! Let me tell you why this is not good enough.
First of all, the performance is pathetic - only 5.1% net profit when buy & hold gave 13.1%? That's like paying someone to lose your money! And with a win rate of just 39%, you're basically a professional loser. Even though the Risk/Reward ratio looks decent at 1.82, you're still underperforming the market significantly.
The most alarming thing is those losing streaks, mi amor. 10 consecutive losses? That's not a strategy, that's a disaster waiting to happen! The drawdown of -9.7% is also concerning - imagine explaining to your clients why their money keeps disappearing.
The only slightly positive thing I see is the win rate leeway being above minimal required - but honestly, that's like being proud of not failing completely. The exposure is also quite low at 33.3%, which means you're missing most of the market moves. The Sharpe and Sortino ratios are basically saying "don't bother" with values around 0.11.
If this was my strategy, I would throw it in the garbage where it belongs. You need to go back to the drawing board and create something that actually makes money, not loses it slower than others.
Tabular metrics of Range breakout backtested on SPY • 10 Minutes
| Total Trades | 184 | Net Profit | 5.1% | Buy & Hold Profit | 13.1% |
| Win Rate | 39% | Reward/Risk Ratio | 1.82 | Max Drawdown | -9.7% |
| Asset Max Drawdown | -20.7% | Exposure | 33.3% | Avg Candles in Position | 17.1 |
| Sharpe Ratio | 0.11 | Sortino Ratio | 0.12 | Realized Volatility | 9.85% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.7 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 29.5 | Avg Trades per Day | 1.0 |
| Return Std Dev | 0.7 | Loss Std Dev | 0.4 | Win Std Dev | 0.7 |
| Expectancy | 0.1 | Beta | 0.24 |
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 |