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Range breakoutlong
Backtest Results @ SPY • 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 32.5 years of SPY • Daily (SPDR S&P 500) data, from January 29, 1993 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.

Strategy

Asset

Strategy Drawdown

Asset Drawdown

So, we have backtested Range breakout on 32.5 years of SPY • Daily candles. This backtest resulted in 86 positions, with the average win rate of 49% and reward-risk ratio of 2.25. If you assume that 2.25 reward-to-risk ratio holds, you need a minimum win rate of 30.8 to be profitable. So you're looking good so far. However, 86 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: 90.10% vs 1344.40% for the asset
Max Drawdown: Max Drawdown: -15.90% vs -56.70% for the asset
Exposure: Exposure: 22.30% time in the market
Win Rate: Win Rate: 49.0%, vs 30.8% minimum
Reward/Risk Ratio: Reward/Risk Ratio: 2.25

With that exposure in mind, you can tell that for 22% time-in-market, you get 6.70% of the asset upside potential, and 28.04% 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) > 1.5

Range breakout: exit a position when

All of the following: # Delta
  D Chart(close) < D Range (20, 0), Middle

Range breakout @ SPY • Daily (90.1%) backtest results explained by Alex C

Alex C

Author

The strategy looks quite underwhelming when compared to buy and hold. With only 90.1% profit over 32.5 years versus 1344.4% for buy and hold, I would not consider this strategy viable in its current form.

However, there are some interessting aspects in the metrics. The risk/reward ratio of 2.25 is actually quite good, and the win rate of 49% is sufficient given this ratio - as evidenced by the healthy win rate leeway of 48.69%. The low market exposure of 22.3% could be seen as positive from risk management perspective, but it also explains the significant underperformance versus buy and hold. What worries me most is the very low trading frequency - only 0.4 trades per month is statisticly not significant enough over such long timeframe.

I would suggest to optimize the entry conditions to generate more trading signals while maintaining the good risk/reward characteristics. Maybe reducing the relative volume threshold from 1.5 could help. Also the negative Sharpe and Sortino ratios are concerning and should be addressed. The strategy seems to have a solid foundation with its breakout logic, but needs refinement to be viable.

Tabular metrics of Range breakout backtested on SPY • Daily

Total Trades	86	Net Profit	90.1%	Buy & Hold Profit	1344.4%
Win Rate	49%	Reward/Risk Ratio	2.25	Max Drawdown	-15.9%
Asset Max Drawdown	-56.7%	Exposure	22.3%	Avg Candles in Position	20.2
Sharpe Ratio	-0.37	Sortino Ratio	-0.19	Realized Volatility	4.15%
Max Winning Streak	11	Avg Winning Streak	2.5	Max Losing Streak	9
Avg Losing Streak	2.6	Avg Trades per Month	0.4	Avg Trades per Day	0.0
Return Std Dev	3.0	Loss Std Dev	1.0	Win Std Dev	2.7
Expectancy	0.6	Beta	0.09

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

Range breakoutlongBacktest Results @ SPY • Daily