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Reversal strategy: BB Low Breakdown on elevated volumelong
Backtest Results @ SPY • 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 SPY • 10 Minutes (SPDR S&P 500) 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.

Strategy

Asset

Strategy Drawdown

Asset Drawdown

So, we have backtested Reversal strategy: BB Low Breakdown on elevated volume on 12.5 months of SPY • 10 Minutes candles. This backtest resulted in 93 positions, with the average win rate of 47% and reward-risk ratio of 1.41. If you assume that 1.41 reward-to-risk ratio holds, you need a minimum win rate of 41.5 to be profitable. So you're looking good so far. However, 93 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: 13.50% vs 12.30% for the asset
Max Drawdown: Max Drawdown: -12.70% vs -20.70% for the asset
Exposure: Exposure: 64.00% time in the market
Win Rate: Win Rate: 47.0%, vs 41.5% minimum
Reward/Risk Ratio: Reward/Risk Ratio: 1.41

With that exposure in mind, you can tell that for 64% time-in-market, you get 109.76% of the asset upside potential, and 61.35% 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 = 1530

Reversal 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 @ SPY • 10 Minutes (13.5%) backtest results explained by Alex C

Alex C

Author

The backtest results show some promise, but I have few concerns that need addressing.

The most positive aspect is the Risk/Reward ratio of 1.41 combined with the actual win rate being 4.5% above the minimal required win rate. This gives the strategy some mathematical edge. Also good to see is the lower drawdown compared to buy&hold (-12.7% vs -20.7%) and the reduced volatility profile (13.49% vs 17.69%). The correlation of 0.82 shows it's not just mimicking the underlying, which is what we want to see.

However, I am concerned about few things: The win rate of 47% is bit low for my taste, especially for a mean-reversion strategy. Also the average time in trade (67.8 candles) seems too long - for a reversal strategy we would typically want faster resolutions. The monthly trade frequency of 14.9 trades gives us enough statistical significance, but the performance metrics show quite some variance between different timeframes. The 3-month CAGR of 49.1% vs yearly CAGR of 14.5% indicates potential instability in the strategy's behavior.

I would suggest optimizing the exit conditions to reduce time in market and potentially adding more entry filters to improve the win rate. The strategy shows promise but needs refinement before real money deployment.

Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on SPY • 10 Minutes

Total Trades	93	Net Profit	13.5%	Buy & Hold Profit	12.3%
Win Rate	47%	Reward/Risk Ratio	1.41	Max Drawdown	-12.7%
Asset Max Drawdown	-20.7%	Exposure	64.0%	Avg Candles in Position	67.8
Sharpe Ratio	1.17	Sortino Ratio	1.39	Realized Volatility	13.49%
Max Winning Streak	7	Avg Winning Streak	2.1	Max Losing Streak	6
Avg Losing Streak	2.2	Avg Trades per Month	14.9	Avg Trades per Day	0.5
Return Std Dev	1.7	Loss Std Dev	0.8	Win Std Dev	1.4
Expectancy	0.1	Beta	0.72

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

Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ SPY • 10 Minutes