Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ META • 10 Minutes
This intraday reversal strategy seeks to enter once price breaks down the Bollinger Bands low, while RSI signaling oversold and while trading volume is above the average. It also never enters on the last candle of a day. It exits once RSI signals oversold, while also having a take profit and a stop loss.
Equity Curve
Backtest covers 12.5 months of META • 10 Minutes (Meta Platforms, Inc.) data, from July 23, 2024 to August 1, 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 Reversal strategy: BB Low Breakdown on elevated volume on 12.5 months of META • 10 Minutes candles. This backtest resulted in 135 positions, with the average win rate of 32% and reward-risk ratio of 3.33. If you assume that 3.33 reward-to-risk ratio holds, you need a minimum win rate of 23.1 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 64.30% vs 53.30% for the asset
- Max Drawdown: Max Drawdown: -22.50% vs -35.10% for the asset
- Exposure: Exposure: 54.60% time in the market
- Win Rate: Win Rate: 32.0%, vs 23.1% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.33
With that exposure in mind, you can tell that for 55% time-in-market, you get 120.64% of the asset upside potential, and 64.10% of the asset downside potential.
Reversal strategy: BB Low Breakdown on elevated volume: enter a position when
All of the following: # "Romeo"
10min Chart(low) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Low
10min Relative Strength Index (14, 70, 30, close) < 35
10min Volume (20, SMA), Vol. > 10min Volume (20, SMA), MA
None of the following:
10min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: exit a position when
Any of the following: 10min Relative Strength Index (14, 70, 30, close) > 80
Exit if lost more than 1% (after candle closes).
Exit if gained more than 10% (after candle closes).
Exit after 100 candles, for any PnL.
Reversal strategy: BB Low Breakdown on elevated volume @ META • 10 Minutes (64.3%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe numbers look interessant, but I see some concerning patterns that need careful consideration. The strategy shows good overall profitability with 64.3% net profit, beating buy & hold by 11%. However, the win rate of 32% is quite low, even though it's compensated by a strong risk/reward ratio of 3.33.
What concerns me most is the maximum drawdown of 22.5% and the long losing streak of 15 trades. This could be psychologically challenging to trade, even though mathematically it works. The average of 0.7 trades per day seems reasonable - not too frequent to generate excessive fees, but enough to get statistical significance with 135 total trades. The market exposure of 54.6% suggests good selectivity in choosing entry points.
I would suggest to maybe adjust the stop loss from 1% to maybe 0.8% to reduce the impact of losing streaks. The strategy seems to have solid mathematical foundation with good Sharpe (1.49) and Sortino (1.92) ratios, but the high drawdown makes it more suitable for traders who can handle significant temporary losses. As we say in Germany - "Vertrauen ist gut, Kontrolle ist besser" (trust is good, control is better), so I would recommend paper trading this first before risking real capital.
Mike
AuthorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break down why I'm hyped about this META strategy.
First off, that 64.3% net profit is beating buy & hold by a decent margin, and we're only in the market about half the time - that's efficiency right there! The risk/reward ratio of 3.33 is what really gets me excited - we're losing small but winning big when we hit. Yeah, the 32% win rate might look scary to some paper hands, but peep that win rate leeway of 31.77 - we only need 23.1% to stay profitable, so we're crushing it! 💎🙌
The drawdown of -22.5% is better than META's raw drawdown of -35.1%, and those Sharpe/Sortino ratios are solid. What I really dig is the consistency across different time periods - we're not just getting lucky on one good run. About 21 trades per month means we're not overtrading either, giving each setup room to breathe. Only thing that might need some work is that 15-trade losing streak - gotta stay mentally strong through those rough patches! 🧠💪
Not financial advice, but this looks like it could be a certified banger if traded with proper risk management. Might have to test this at work between flipping burgers! 🍔📈
Sarah
AuthorMadre mia, what a mess of a strategy! The win rate of 32% is pathetically low - it's like throwing darts blindfolded and hoping to hit something!
The only reason this strategy doesn't completely suck is because your winners are 3.5 times bigger than your losers. But let's be real - having 15 losses in a row? That's going to destroy most trader's accounts and their mental health! The drawdown of -22.5% is absolutely horrific. No professional would touch this with a 10-foot pole.
Look, I know you're probably excited about that 64.3% total return, but wake up! You're basically gambling here. The strategy is barely beating buy & hold (53.3%), and you're taking on massive psychological risk with those long losing streaks. And don't even get me started on that market exposure - you're only in the market 54.6% of the time but taking all these risks?
Si quieres mi honest opinion - this is the kind of strategy that works until it doesn't, and then it breaks catastrophically. The high Sharpe and Sortino ratios are misleading because they don't properly account for the psychological torture of sitting through 15 consecutive losses. Either fix the win rate or throw this strategy in la basura where it belongs.
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on META • 10 Minutes
| Total Trades | 135 | Net Profit | 64.3% | Buy & Hold Profit | 53.3% |
| Win Rate | 32% | Reward/Risk Ratio | 3.33 | Max Drawdown | -22.5% |
| Asset Max Drawdown | -35.1% | Exposure | 54.6% | Avg Candles in Position | 39.5 |
| Sharpe Ratio | 1.49 | Sortino Ratio | 1.92 | Realized Volatility | 25.98% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.7 | Max Losing Streak | 15 |
| Avg Losing Streak | 3.4 | Avg Trades per Month | 21.7 | Avg Trades per Day | 0.7 |
| Return Std Dev | 2.7 | Loss Std Dev | 0.5 | Win Std Dev | 2.8 |
| Expectancy | 0.4 | Beta | 0.52 |
All backtests for Reversal strategy: BB Low Breakdown on elevated volume
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
META • 10 Minutes | 55% | (64.3%/53.3%) 1.21x | (-22.5%/-35.1%) 0.64x | 32 | 3.3 |
MSFT • 10 Minutes | 58% | (46.3%/18.1%) 2.56x | (-21.4%/-23.9%) 0.90x | 45 | 1.9 |
NVDA • 10 Minutes | 55% | (7.9%/41.7%) 0.19x | (-40.0%/-42.8%) 0.93x | 26 | 3.1 |
PLTR • 10 Minutes | 50% | (142.4%/439.0%) 0.32x | (-25.7%/-46.5%) 0.55x | 26 | 4.3 |
SPY • 10 Minutes | 64% | (13.5%/12.3%) 1.10x | (-12.7%/-20.7%) 0.61x | 47 | 1.4 |
TSLA • 10 Minutes | 55% | (-2.1%/23.0%) -0.09x | (-42.1%/-55.3%) 0.76x | 20 | 4.2 |
META • 30 Minutes | 46% | (291.9%/356.0%) 0.82x | (-23.6%/-51.8%) 0.46x | 25 | 6.0 |
MSFT • 30 Minutes | 46% | (75.9%/103.5%) 0.73x | (-19.8%/-26.6%) 0.74x | 27 | 4.2 |
NVDA • 30 Minutes | 43% | (925.3%/1089.5%) 0.85x | (-34.1%/-42.9%) 0.79x | 28 | 5.7 |
PLTR • 30 Minutes | 32% | (101.6%/1516.1%) 0.07x | (-28.8%/-48.4%) 0.60x | 23 | 4.5 |
SPY • 30 Minutes | 52% | (60.8%/65.6%) 0.93x | (-12.9%/-20.2%) 0.64x | 35 | 3.0 |
TSLA • 30 Minutes | 37% | (-6.4%/33.8%) -0.19x | (-43.8%/-67.1%) 0.65x | 20 | 4.3 |
META • 1 Hour | 36% | (181.7%/283.5%) 0.64x | (-27.4%/-76.8%) 0.36x | 23 | 5.4 |
MSFT • 1 Hour | 43% | (122.1%/250.0%) 0.49x | (-16.9%/-38.2%) 0.44x | 23 | 5.2 |
NVDA • 1 Hour | 25% | (106.1%/3270.7%) 0.03x | (-44.6%/-68.0%) 0.66x | 23 | 4.3 |
PLTR • 1 Hour | 25% | (163.7%/1420.6%) 0.12x | (-33.3%/-86.6%) 0.38x | 29 | 3.4 |
SPY • 1 Hour | 56% | (89.3%/99.7%) 0.90x | (-27.1%/-35.1%) 0.77x | 28 | 3.8 |
TSLA • 1 Hour | 26% | (-39.1%/1194.5%) -0.03x | (-64.5%/-75.1%) 0.86x | 22 | 3.4 |