Range breakoutlongBacktest Results @ GLD • 1 Hour
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 5.7 years of GLD • 1 Hour (SPDR Gold Trust) data, from November 8, 2019 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 5.7 years of GLD • 1 Hour candles. This backtest resulted in 202 positions, with the average win rate of 39% and reward-risk ratio of 2.24. If you assume that 2.24 reward-to-risk ratio holds, you need a minimum win rate of 30.9 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 39.30% vs 122.50% for the asset
- Max Drawdown: Max Drawdown: -19.50% vs -22.20% for the asset
- Exposure: Exposure: 37.90% time in the market
- Win Rate: Win Rate: 39.0%, vs 30.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.24
With that exposure in mind, you can tell that for 38% time-in-market, you get 32.08% of the asset upside potential, and 87.84% of the asset downside potential.
Range breakout: enter a position when
All of the following: # Papa
60min Chart(high) > 60min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
60min Relative Volume (20, SMA, 1) > 1.5Range breakout: exit a position when
All of the following: # Delta 60min Chart(close) < 60min Range (20, 0), Middle
Range breakout @ GLD • 1 Hour (39.3%) backtest results explained by Sarah
Sarah
AuthorDios mío, this strategy is a complete disaster! I can't believe anyone would even consider trading this garbage. Let me tell you why you should run away from it as fast as posible.
First, the strategy severely underperforms buy & hold - 39.3% vs 122.5%. That's pathetic! You're basically losing money by being too clever. The market exposure of 37.9% shows you're missing most of the good moves while probably catching all the bad ones. And that Win Rate of 39%? Madre mía, it's terrible! You're losing 61% of the time!
The risk metrics are even more horrible. A Sharpe ratio of 0.03 is basically saying you're taking massive risk for minimal returns. The max drawdown of -19.5% is almost as bad as just holding the asset (-22.2%), but with way worse returns! The strategy can't even justify its existence from a risk-adjusted perspective.
Look, I know you probably spent time developing this, but sometimes we have to be brutal - this strategy is pure rubbish. The only slightly positive thing is the Risk/Reward ratio of 2.24, but what good is that when you're losing most trades and massively underperforming? Delete this strategy and start over. And next time, try to create something that actually makes money instead of this disaster.
Tabular metrics of Range breakout backtested on GLD • 1 Hour
| Total Trades | 202 | Net Profit | 39.3% | Buy & Hold Profit | 122.5% |
| Win Rate | 39% | Reward/Risk Ratio | 2.24 | Max Drawdown | -19.5% |
| Asset Max Drawdown | -22.2% | Exposure | 37.9% | Avg Candles in Position | 17.7 |
| Sharpe Ratio | 0.03 | Sortino Ratio | 0.03 | Realized Volatility | 9.12% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.5 | Max Losing Streak | 10 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 5.8 | Avg Trades per Day | 0.2 |
| Return Std Dev | 1.7 | Loss Std Dev | 0.6 | Win Std Dev | 1.9 |
| Expectancy | 0.3 | Beta | 0.39 |
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 |