Range breakoutlongBacktest Results @ TSLA • 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 TSLA • 10 Minutes (Tesla, Inc.) 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 TSLA • 10 Minutes candles. This backtest resulted in 186 positions, with the average win rate of 40% and reward-risk ratio of 1.87. If you assume that 1.87 reward-to-risk ratio holds, you need a minimum win rate of 34.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 30.70% vs 25.40% for the asset
- Max Drawdown: Max Drawdown: -21.40% vs -55.30% for the asset
- Exposure: Exposure: 27.70% time in the market
- Win Rate: Win Rate: 40.0%, vs 34.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.87
With that exposure in mind, you can tell that for 28% time-in-market, you get 120.87% of the asset upside potential, and 38.70% 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 @ TSLA • 10 Minutes (30.7%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest results look quite promising from a mathematical perspective. The strategy shows a solid performance with 30.7% net profit, outperforming buy & hold by 5.3 percentage points. What catches my attention immediately is the excellent win rate leeway of 39.65% - this means the strategy has significant room for error above its minimal required win rate.
The low market exposure of 27.7% combined with a beta of 0.23 suggests the strategy is quite conservative and doesn't expose you to unnecessary market risk. However, I see some concerning signals in the maximum drawdown of -21.4% and especially in the losing streak of 10 trades. This could be psychologicaly challenging to trade, even though the mathematics suggest it's managable. The average trade duration of 13.9 candles (about 2.3 hours) seems reasonable for a breakout strategy.
What I find most interessting is the risk/reward ratio of 1.87 combined with the 40% win rate - this gives us a positive expectancy of 0.1, which is statisticaly significant given the sample size of 186 trades. However, I would suggest running additional tests with different timeframes to ensure the strategy isn't over-fitted to the 10-minute chart. Also, the relatively low Sharpe ratio of 0.55 suggests there might be room for optimization in terms of risk-adjusted returns.
Sarah
AuthorDios mío, let me tell you what's wrong with this mess of a strategy.
The win rate is pathetic - only 40%! Even though you have a decent reward/risk of 1.87, this is barely keeping you above water. Your strategy is basically throwing darts blindfolded and hoping for the best. The 10-trade losing streak is particularly concerning - this could absolutely destroy an account if position sizing isn't managed properly. And speaking of destruction, that 21.4% drawdown is not something to be proud of, amigo.
The market exposure of 27.7% suggests you're missing a lot of moves. With an average of only 1 trade per day on a volatile stock like Tesla, you're leaving money on the table. The strategy is clearly too restrictive with its entry conditions. And those 13.9 candles average hold time? Too short to capture meaningful trends.
The only halfway decent thing here is that you're beating buy & hold by about 5%. But let's be honest - with these metrics, it's probably more luck than skill. The low Sharpe ratio of 0.55 confirms this strategy is far from optimal. You need to go back to the drawing board and fix these entry conditions - they're clearly not working as intended.
Tabular metrics of Range breakout backtested on TSLA • 10 Minutes
| Total Trades | 186 | Net Profit | 30.7% | Buy & Hold Profit | 25.4% |
| Win Rate | 40% | Reward/Risk Ratio | 1.87 | Max Drawdown | -21.4% |
| Asset Max Drawdown | -55.3% | Exposure | 27.7% | Avg Candles in Position | 13.9 |
| Sharpe Ratio | 0.55 | Sortino Ratio | 0.91 | Realized Volatility | 32.86% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.8 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.7 | Avg Trades per Month | 29.8 | Avg Trades per Day | 1.0 |
| Return Std Dev | 2.4 | Loss Std Dev | 1.1 | Win Std Dev | 2.3 |
| Expectancy | 0.1 | Beta | 0.23 |
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 |