Range breakoutlongBacktest Results @ GLD • 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 20.7 years of GLD • Daily (SPDR Gold Trust) data, from November 18, 2004 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 20.7 years of GLD • Daily candles. This backtest resulted in 92 positions, with the average win rate of 48% and reward-risk ratio of 1.83. If you assume that 1.83 reward-to-risk ratio holds, you need a minimum win rate of 35.3 to be profitable. So you're looking good so far. However, 92 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: 83.30% vs 592.80% for the asset
- Max Drawdown: Max Drawdown: -21.70% vs -45.30% for the asset
- Exposure: Exposure: 31.60% time in the market
- Win Rate: Win Rate: 48.0%, vs 35.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.83
With that exposure in mind, you can tell that for 32% time-in-market, you get 14.05% of the asset upside potential, and 47.90% 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 @ GLD • Daily (83.3%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy shows some interesting characteristics, but I am not completely convinced about its robustness. The win rate of 48% combined with a good risk/reward ratio of 1.83 gives us positive expectancy of 0.4, which is mathematically viable. However, I see some red flags here.
The market exposure is only 31.6% but the strategy significantly underperforms buy & hold (83.3% vs 592.8%). This suggests the strategy might be missing major moves in the market. The trading frequency is also quite low with only 0.7 trades per month - this makes me worried about statistical significance. With only 92 trades over 20 years, each individual trade has too much impact on the overall performance metrics.
What really concerns me is the performance degradation in recent periods. Looking at the time-based metrics, we see negative performance in 1M and 3M periods, and the CAGR shows clear deterioration from 3Y to 5Y periods (11.9% down to 4.9%). This pattern suggests the strategy might be losing its edge or was potentially overfit to earlier data. The negative Sharpe ratio (-0.06) also indicates poor risk-adjusted returns, although the Sortino ratio is slightly better at 0.26.
Sarah
AuthorThis strategy is a complete disaster, and anyone who thinks otherwise needs their head examined! Let me tell you why, mi amigo.
First of all, the strategy's net profit of 83.3% over 20.7 years is pathetically low compared to the buy & hold return of 592.8%. You would have made 7 times more money by simply buying and holding! This is embarrasingly bad performance that makes me want to throw my computer out of the window.
The win rate is below 50% which is already bad, but what makes it truly terrible is the market exposure of 31.6%. This means you're taking all these risks, sitting through drawdowns of -21.7%, just to achieve mediocre returns while being exposed to the market only one-third of the time. The strategy is basically wasting two-thirds of potential trading opportunities!
The only slightly positive thing - and I'm being extremely generous here - is the Risk/Reward ratio of 1.83 and the healthy win rate leeway. But who cares about these metrics when the overall performance is so poor? It's like putting premium gas in a broken car!
Tabular metrics of Range breakout backtested on GLD • Daily
| Total Trades | 92 | Net Profit | 83.3% | Buy & Hold Profit | 592.8% |
| Win Rate | 48% | Reward/Risk Ratio | 1.83 | Max Drawdown | -21.7% |
| Asset Max Drawdown | -45.3% | Exposure | 31.6% | Avg Candles in Position | 16.8 |
| Sharpe Ratio | -0.06 | Sortino Ratio | 0.26 | Realized Volatility | 8.64% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.8 | Max Losing Streak | 6 |
| Avg Losing Streak | 1.8 | Avg Trades per Month | 0.7 | Avg Trades per Day | 0.0 |
| Return Std Dev | 4.1 | Loss Std Dev | 1.9 | Win Std Dev | 3.6 |
| Expectancy | 0.4 | Beta | 0.33 |
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 |