Range breakoutlongBacktest Results @ WMT • 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 38.7 years of WMT • Daily (Walmart Inc.) data, from November 21, 1986 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 38.7 years of WMT • Daily candles. This backtest resulted in 165 positions, with the average win rate of 39% and reward-risk ratio of 1.80. If you assume that 1.80 reward-to-risk ratio holds, you need a minimum win rate of 35.7 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 30.40% vs 10116.30% for the asset
- Max Drawdown: Max Drawdown: -67.60% vs -50.60% for the asset
- Exposure: Exposure: 29.50% time in the market
- Win Rate: Win Rate: 39.0%, vs 35.7% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.80
With that exposure in mind, you can tell that for 30% time-in-market, you get 0.30% of the asset upside potential, and 133.60% 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 @ WMT • Daily (30.4%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, this WMT range breakout strategy is giving me mixed vibes! 🤔 The 39% win rate might look sketch at first, but peep that sweet 1.8 risk/reward ratio - we're actually crushing the minimal required win rate by a fat margin! That's some serious alpha potential right there. 🚀
The strategy's been keeping it real with decent profits over different timeframes, especially that 26% gain in the last year! 💪 Though that -67.6% max drawdown is kinda scary ngl, but hey, no pain no gain right? What's getting me hyped is how we're only in the market 29.5% of the time - means we're not just YOLOing our Wendy's checks on every little move.
One thing that's got me thinking though - we're only averaging like 0.7 trades per month. That's pretty low key for us degens who love some action, but maybe that's why it's working? Quality over quantity and all that stuff. Overall, I'm vibing with this setup - it's not perfect but it's got potential to print some serious tendies if managed right! 🎯 Just gotta stay diamond hands through those drawdowns. 💎🙌
Sarah
AuthorMadre mia, this strategy is like a broken watch - it might be right twice a day, but overall it's a disaster!
The win rate of 39% with a 1.8 risk/reward ratio might look acceptable on paper, but let's be real here - you're exposing yourself to a massive 67.6% drawdown for a measly 30.4% net profit over 38 years? That's pathetic! The buy & hold strategy gave more than 10,000% return in the same period - you would have been better off sleeping through these 38 years than actively trading this nonsence!
The strategy makes less than 1 trade per month - are you planning to retire in the next century? And with a -0.48 Sharpe ratio, you're not just underperforming, you're actively destroying value. The volatility metrics show you're taking on significant risk for minimal reward - it's like playing Russian roulette with 5 bullets instead of 1.
If you're serious about trading, throw this strategy in the basura where it belongs and start over. The only positive thing I can say is that at least you tested it before losing real money on this rubbish. ¡Dios mío!
Tabular metrics of Range breakout backtested on WMT • Daily
| Total Trades | 165 | Net Profit | 30.4% | Buy & Hold Profit | 10116.3% |
| Win Rate | 39% | Reward/Risk Ratio | 1.80 | Max Drawdown | -67.6% |
| Asset Max Drawdown | -50.6% | Exposure | 29.5% | Avg Candles in Position | 16.4 |
| Sharpe Ratio | -0.48 | Sortino Ratio | -0.22 | Realized Volatility | 10.55% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.8 | Max Losing Streak | 6 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 0.7 | Avg Trades per Day | 0.0 |
| Return Std Dev | 6.0 | Loss Std Dev | 2.2 | Win Std Dev | 5.9 |
| Expectancy | 0.1 | Beta | 0.21 |
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 |