Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ MSFT • 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 MSFT • 30 Minutes (Microsoft Corporation) 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 MSFT • 30 Minutes candles. This backtest resulted in 135 positions, with the average win rate of 27% and reward-risk ratio of 4.16. If you assume that 4.16 reward-to-risk ratio holds, you need a minimum win rate of 19.4 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 75.90% vs 103.50% for the asset
- Max Drawdown: Max Drawdown: -19.80% vs -26.60% for the asset
- Exposure: Exposure: 45.90% time in the market
- Win Rate: Win Rate: 27.0%, vs 19.4% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 4.16
With that exposure in mind, you can tell that for 46% time-in-market, you get 73.33% of the asset upside potential, and 74.44% 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 @ MSFT • 30 Minutes (75.9%) backtest results explained by Alex C, Mike
Alex C
AuthorThe strategy shows some interesting characteristics, but I have concerns about its reliability. The risk/reward ratio of 4.16 is quite gut, but the low win rate of 27% makes me sceptical about psychological aspects of trading this strategy in real conditions. Even though the win rate leeway is positiv, having 13 losses in a row could be devastating for most traders mindset.
The exposure of 45.9% is quite reasonable, and the average holding time of 33 candles suggests this is truly a swing trading approach. What catches my attention is that the strategy underperforms buy & hold (75.9% vs 103.5%), which is not optimal when trading a strong uptrending stock like Microsoft. The Sharpe ratio of 0.93 is below what I would normally want to see - I typically look for values above 1.2 for strategies I implement.
I would suggest to work on improving the entry conditions to get a better win rate, maybe by adding some momentum indicators or testing different RSI settings. The current drawdown of -19.8% is too high for my taste, especially given the underperformance versus buy & hold. While the strategy shows some promise with its favorable risk/reward ratio, I would not trade it in its current form without significant optimizations.
Mike
AuthorYo fam, this MSFT strategy is looking pretty juicy! 🚀 The risk/reward setup is actually fire - we're talking 4.16 R/R ratio which means when we hit, we hit BIG (4.63% average wins vs -1.11% losses).
The win rate might look kinda sus at 27%, but check this out - we only need 19.4% to break even! That's like having a 26.8% cushion above what we need, which is straight-up amazing. Plus, that 75.9% total profit over 3 years ain't too shabby, even though it's trailing behind buy & hold (but hey, we're only exposed to the market 45.9% of the time, so we're chillin' during crashes).
The only thing that makes me a bit nervous is that 13-trade losing streak potential - that could be rough on the mental game fr fr. But with proper position sizing and knowing that our winners are gonna be 4x bigger than our losses, I think this could be a solid strategy to YOLO some Wendy's paychecks into. 💎🙌 Just gotta stay diamond-handed through those rough patches! NFA tho, just my two tendies worth. 🍗
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on MSFT • 30 Minutes
| Total Trades | 135 | Net Profit | 75.9% | Buy & Hold Profit | 103.5% |
| Win Rate | 27% | Reward/Risk Ratio | 4.16 | Max Drawdown | -19.8% |
| Asset Max Drawdown | -26.6% | Exposure | 45.9% | Avg Candles in Position | 33.0 |
| Sharpe Ratio | 0.93 | Sortino Ratio | 0.56 | Realized Volatility | 16.04% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.5 | Max Losing Streak | 13 |
| Avg Losing Streak | 4.1 | Avg Trades per Month | 7.2 | Avg Trades per Day | 0.2 |
| Return Std Dev | 3.0 | Loss Std Dev | 0.5 | Win Std Dev | 2.7 |
| Expectancy | 0.4 | Beta | 0.44 |
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 |