Range breakoutlongBacktest Results @ WMT • 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 WMT • 1 Hour (Walmart Inc.) 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 WMT • 1 Hour candles. This backtest resulted in 190 positions, with the average win rate of 39% and reward-risk ratio of 2.41. If you assume that 2.41 reward-to-risk ratio holds, you need a minimum win rate of 29.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 60.90% vs 145.20% for the asset
- Max Drawdown: Max Drawdown: -15.70% vs -26.90% for the asset
- Exposure: Exposure: 33.40% time in the market
- Win Rate: Win Rate: 39.0%, vs 29.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.41
With that exposure in mind, you can tell that for 33% time-in-market, you get 41.94% of the asset upside potential, and 58.36% 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 @ WMT • 1 Hour (60.9%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy shows some interesting charakteristics, but I am not fully convinced. The win rate of 39% is acceptable since we have a good risk/reward ratio of 2.41, making the strategy mathematically viable. However, the net profit of 60.9% over 5.7 years is significantly below the buy & hold return of 145.2%, which is concerning.
The market exposure of 33.4% suggests this is a relatively conservative strategy, which explains the lower volatility (9.85% vs asset's 20.10%). The max drawdown of -15.7% is quite decent compared to the asset's -26.9%. But the Sharpe ratio of 0.18 is quite poor - I would expect at least 0.5 for a strategy worth implementing. The average of 5.5 trades per month gives us enough statistical significance with 190 total trades, so these metrics should be fairly reliable.
From my mathematical perspective, while the strategy shows some promise with its risk management (good risk/reward, controlled drawdown), the poor risk-adjusted returns (low Sharpe) and significant underperformance versus buy & hold make it hard to justify implementing as is. I would suggest optimizing the entry conditions to improve the win rate while maintaining the good risk/reward ratio. Perhaps adjusting the volume threshold from 1.5 to something more selective could help.
Sarah
AuthorMadre mía, this strategy is like a sick dog that needs to be put down! Let me tell you why.
First, the strategy significantly underperforms buy & hold (60.9% vs 145.2%). That's pathetic! You're basically losing money by being too clever, when you could have just bought and forget about it. And with a market exposure of just 33.4%, you're not even taking full advantage of the market movements.
The win rate is absolutely terrible - 39%! Even though your Risk/Reward ratio looks decent at 2.41, you're still getting beaten up constantly. Yes, you're technically above your minimal sufficient win rate, but why would you want to trade something that loses 61% of the time? That's masochistic!
The risk metrics are embarrasing - a Sharpe ratio of 0.18 is laughably bad. The strategy's volatility is lower than the asset's, but that's only because you're sitting out of the market most of the time like a scared cat. And that 15.7% drawdown? For such low market exposure, that's actually quite terrible.
Look, if you want to waste your time with mediocre results, be my guest. But this strategy needs either a complete overhaul or should be thrown in the garbage where it belongs. And I'm being kind here!
Tabular metrics of Range breakout backtested on WMT • 1 Hour
| Total Trades | 190 | Net Profit | 60.9% | Buy & Hold Profit | 145.2% |
| Win Rate | 39% | Reward/Risk Ratio | 2.41 | Max Drawdown | -15.7% |
| Asset Max Drawdown | -26.9% | Exposure | 33.4% | Avg Candles in Position | 16.6 |
| Sharpe Ratio | 0.18 | Sortino Ratio | 0.70 | Realized Volatility | 9.85% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.6 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 5.5 | Avg Trades per Day | 0.2 |
| Return Std Dev | 1.8 | Loss Std Dev | 0.7 | Win Std Dev | 1.9 |
| Expectancy | 0.3 | 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 |