Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ META • 30 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 3.1 years of META • 30 Minutes (Meta Platforms, Inc.) data, from July 5, 2022 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 3.1 years of META • 30 Minutes candles. This backtest resulted in 183 positions, with the average win rate of 25% and reward-risk ratio of 6.03. If you assume that 6.03 reward-to-risk ratio holds, you need a minimum win rate of 14.2 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 291.90% vs 356.00% for the asset
- Max Drawdown: Max Drawdown: -23.60% vs -51.80% for the asset
- Exposure: Exposure: 46.30% time in the market
- Win Rate: Win Rate: 25.0%, vs 14.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 6.03
With that exposure in mind, you can tell that for 46% time-in-market, you get 81.99% of the asset upside potential, and 45.56% of the asset downside potential.
Reversal strategy: BB Low Breakdown on elevated volume: enter a position when
All of the following: # "Romeo"
30min Chart(low) < 30min Bollinger Bands ® (20, 2, 2, 0, close), Low
30min Relative Strength Index (14, 70, 30, close) < 35
30min Volume (20, SMA), Vol. > 30min Volume (20, SMA), MA
None of the following:
30min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: exit a position when
Any of the following: 30min 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 • 30 Minutes (291.9%) backtest results explained by Alex C, Mike
Alex C
AuthorThe strategy shows some interesting mathematical characteristics, but I am not completely convinced. Let me explain why.
The positive aspects are quite clear: The Risk/Reward ratio of 6.03 is excellent, and the strategy manages to achieve a decent Sharpe ratio of 1.38. The win rate leeway of 24.86% above the minimal required win rate is mathematically significant. This means the strategy has room for deterioration without becoming unprofitable, which is good. Also interesting is that the strategy achieves this with only 46.3% market exposure, which reduces overall risk.
However, there are some concerning points that cannot be ignored from mathematical perspective. The win rate of only 25% is quite low, even if it is above the minimal required rate. This makes the strategy psychologically difficult to trade, as you must accept losing 3 out of 4 trades. The maximum drawdown of 23.6% is also quite high relative to the stop loss of 1%, suggesting that losses can cluster together. The longest losing streak of 9 trades confirms this clustering effect.
I would suggest to either modify the entry conditions to improve win rate, or reduce position size to better handle the drawdowns. From pure mathematical viewpoint, the strategy is viable but requires strict risk management and psychological discipline to execute properly. The numbers tell us it can work, but the human factor could easily destroy its edge.
Mike
AuthorYo fam, this META strategy is looking pretty juicy! 🚀 The numbers are giving me some serious YOLO vibes, but let's break it down like we're counting tendies at the end of a Wendy's shift.
That 25% win rate might look sus at first, but check out that monster 6.81% average win vs just -1.13% average loss! We're talking about a strategy that's basically playing small losses for huge gains - kinda like buying those crazy OTM options but way more controlled. The 291.9% total gain over 3 years is straight fire 🔥, even though it's slightly under buy & hold (but with way less exposure to the market, which is actually pretty smart).
The risk metrics are what really get me hyped though. That 23.6% max drawdown is way better than META's own 51.8% drawdown - meaning we could've slept way better during those rough patches. Plus that juicy 24.86 win rate leeway means this strategy has some serious padding - you could mess up a bit and still come out winning. Low-key genius moves right here! 💎🙌 Just gotta have the stomach for those 9-trade losing streaks, but that's what diamond hands are for, right?
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on META • 30 Minutes
| Total Trades | 183 | Net Profit | 291.9% | Buy & Hold Profit | 356.0% |
| Win Rate | 25% | Reward/Risk Ratio | 6.03 | Max Drawdown | -23.6% |
| Asset Max Drawdown | -51.8% | Exposure | 46.3% | Avg Candles in Position | 24.3 |
| Sharpe Ratio | 1.38 | Sortino Ratio | 1.53 | Realized Volatility | 23.87% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.2 | Max Losing Streak | 9 |
| Avg Losing Streak | 3.7 | Avg Trades per Month | 9.8 | Avg Trades per Day | 0.3 |
| Return Std Dev | 4.0 | Loss Std Dev | 0.6 | Win Std Dev | 3.9 |
| Expectancy | 0.7 | Beta | 0.36 |
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 |