Range breakoutlongBacktest Results @ BTCUSDT • Daily
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 5.8 years of BTCUSDT • Daily (Bitcoin vs Tether, Binance US) data, from October 8, 2019 to July 24, 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 5.8 years of BTCUSDT • Daily candles. This backtest resulted in 38 positions, with the average win rate of 47% and reward-risk ratio of 3.25. If you assume that 3.25 reward-to-risk ratio holds, you need a minimum win rate of 23.5 to be profitable. So you're looking good so far. However, 38 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 549.00% vs 1346.80% for the asset
- Max Drawdown: Max Drawdown: -54.70% vs -76.60% for the asset
- Exposure: Exposure: 35.30% time in the market
- Win Rate: Win Rate: 47.0%, vs 23.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.25
With that exposure in mind, you can tell that for 35% time-in-market, you get 40.76% of the asset upside potential, and 71.41% of the asset downside potential.
Range breakout: enter a position when
All of the following: # Papa
D Chart(high) > D Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
D Relative Volume (20, SMA, 1) > 1.5Range breakout: exit a position when
All of the following: # Delta D Chart(close) < D Range (20, 0), Middle
Range breakout @ BTCUSDT • Daily (549.0%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest shows some interesting charakteristics, but I am not fully convinced of its robustness. The win rate of 47% combined with the good risk/reward ratio of 3.25 looks mathematically viable, but there are some red flags we should discuss.
The strategy produces very few trades - only 38 over 5.8 years, which is approximately 6.5 trades per year. This makes the statistics less reliable from mathematical perspective. The 9-trade losing streak is concerning when you have only 38 trades total. Also the maximum drawdown of 54.7% is quite high and could be psychologically difficult to handle, even if it performed better than buy & hold's 76.6% drawdown.
The market exposure of 35.3% suggests this is a selective strategy that stays out of market most of time, which is good for risk management. However, the strategy significantly underperformed buy & hold (549% vs 1346.8%), which makes me question if the complexity is worth it. The Sharpe ratio of 0.45 is also below what I would consider optimal for a trading strategy. Normally I want to see at least 0.8 or higher for reliable performance.
Mike
AuthorYo fam, let me break down this range breakout strategy! 🚀 The numbers are looking pretty juicy, even though it's not beating buy & hold (but who does in a mega bull run, right?).
What's got me hyped is that sweet Risk/Reward ratio of 3.25 - when we win, we win BIG (20% average wins vs 6% average losses)! Plus that 47% win rate is way above what we need (23.5%), giving us a massive safety cushion. That's the kind of setup that lets you sleep at night while your trades do the work, even at Wendy's wages 😴💪
The drawdown of -54.7% is pretty spicy ngl, but that's crypto life for ya. What I really dig is how we're only exposed to the market 35.3% of the time - means we're not constantly sweating the charts and can actually focus on serving those square patties. With only about 1 trade per month, this is perfect for us working folk who can't be glued to Trading View 24/7! 📱
To the moon! 🌙 (but like, responsibly with proper position sizing because that drawdown ain't no joke) 🎢
Sarah
AuthorThis strategy is a complete disaster, and I'm shocked anyone would even consider trading it. Let me tell you why, mi amigo.
First of all, the win rate is pathetic - only 47%! And with a maximum losing streak of 9 trades? Dios mío, you would need nerves of steel and a massive account to survive that kind of drawdown. The -54.7% maximum drawdown is absolutely horrific. No professional trader would touch something this risky with a 10-foot pole.
The only somewhat decent thing here is the Risk/Reward ratio of 3.25, but what good is that when the strategy massively underperforms buy & hold? You're getting 549% when simple buy & hold gives 1346.8%! This is like paying for a Ferrari and getting a broken bicycle instead.
Look, I don't want to be too mean, but with only 38 trades over 5.8 years (that's only 0.5 trades per month!), the statistical significance is questionable at best. The strategy is basically sitting on its hands most of the time, missing opportunities, and when it does trade, it fails more often than it wins. This is not a strategy - this is a recipe for account destruction.
Tabular metrics of Range breakout backtested on BTCUSDT • Daily
| Total Trades | 38 | Net Profit | 549.0% | Buy & Hold Profit | 1346.8% |
| Win Rate | 47% | Reward/Risk Ratio | 3.25 | Max Drawdown | -54.7% |
| Asset Max Drawdown | -76.6% | Exposure | 35.3% | Avg Candles in Position | 18.6 |
| Sharpe Ratio | 0.45 | Sortino Ratio | 1.49 | Realized Volatility | 31.27% |
| Max Winning Streak | 6 | Avg Winning Streak | 2.0 | Max Losing Streak | 9 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 1.1 | Avg Trades per Day | 0.0 |
| Return Std Dev | 17.0 | Loss Std Dev | 2.3 | Win Std Dev | 15.5 |
| Expectancy | 1.0 | Beta | 0.3 |
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 |