Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ MSFT • 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 MSFT • 10 Minutes (Microsoft Corporation) 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 MSFT • 10 Minutes candles. This backtest resulted in 109 positions, with the average win rate of 45% and reward-risk ratio of 1.92. If you assume that 1.92 reward-to-risk ratio holds, you need a minimum win rate of 34.3 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 46.30% vs 18.10% for the asset
- Max Drawdown: Max Drawdown: -21.40% vs -23.90% for the asset
- Exposure: Exposure: 57.70% time in the market
- Win Rate: Win Rate: 45.0%, vs 34.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.92
With that exposure in mind, you can tell that for 58% time-in-market, you get 255.80% of the asset upside potential, and 89.54% 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 @ MSFT • 10 Minutes (46.3%) backtest results explained by Sarah
Sarah
AuthorMira, this strategy looks decent on paper, but let's not kid ourselves - there are some serious red flags here that make me want to throw up.
First, that 21.4% drawdown is absolutely horrible for a strategy that only makes 0.6 trades per day. This means you're bleeding money badly when things go wrong. And with a market exposure of 57.7%, you're sitting there like an idiot taking these hits way too often. The Sortino ratio of 0.34 is pathetic - it shows you're not managing your downside risk well at all.
The win rate is mediocre at 45%, even though you have generous take profit at 10% versus just 1% stop loss. Sure, the math works because of the 1.92 risk/reward ratio, but come on - in real trading conditions with slippage and fees, this will perform much worse. You're basically hoping for home runs while striking out more than half the time.
The only thing that doesn't make me completely sick is the decent win rate leeway of 44.66% above the minimal required win rate. But honestly, with that massive drawdown and poor Sortino ratio, I wouldn't touch this strategy with a 10-foot pole. Go back to the drawing board and fix your risk management before you blow up your account.
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on MSFT • 10 Minutes
| Total Trades | 109 | Net Profit | 46.3% | Buy & Hold Profit | 18.1% |
| Win Rate | 45% | Reward/Risk Ratio | 1.92 | Max Drawdown | -21.4% |
| Asset Max Drawdown | -23.9% | Exposure | 57.7% | Avg Candles in Position | 52.0 |
| Sharpe Ratio | 1.83 | Sortino Ratio | 0.34 | Realized Volatility | 19.17% |
| Max Winning Streak | 10 | Avg Winning Streak | 2.1 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 17.5 | Avg Trades per Day | 0.6 |
| Return Std Dev | 2.4 | Loss Std Dev | 0.9 | Win Std Dev | 2.1 |
| Expectancy | 0.3 | Beta | 0.73 |
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 |