Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ SPY • 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 SPY • 30 Minutes (SPDR S&P 500) 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 SPY • 30 Minutes candles. This backtest resulted in 113 positions, with the average win rate of 35% and reward-risk ratio of 3.02. If you assume that 3.02 reward-to-risk ratio holds, you need a minimum win rate of 24.9 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 60.80% vs 65.60% for the asset
- Max Drawdown: Max Drawdown: -12.90% vs -20.20% for the asset
- Exposure: Exposure: 51.90% time in the market
- Win Rate: Win Rate: 35.0%, vs 24.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.02
With that exposure in mind, you can tell that for 52% time-in-market, you get 92.68% of the asset upside potential, and 63.86% 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 @ SPY • 30 Minutes (60.8%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results show some interesting characteristics that deserve attention. From a mathematical perspective, the strategy demonstrates statistical robustness despite the low win rate of 35%.
The most compelling aspect is the risk/reward ratio of 3.02 combined with positive expectancy of 0.4. This creates a mathematical edge where the strategy only needs 24.9% win rate to be profitable - the current 35% win rate gives a healthy safety margin of 34.75%. This is not trivial and suggests the strategy captures a genuine market inefficiency. The risk metrics are also solid - Sharpe ratio of 1.25 and Beta of 0.56 indicate good risk-adjusted returns with moderate market correlation.
However, I have concerns about the drawdown characteristics. The -12.9% maximum drawdown is significant for a strategy trading the SPY, especially given the relatively low trading frequency of 0.2 trades per day. The long losing streaks (up to 7 trades) combined with 65% loss rate could make this psychologically difficult to trade, even though the mathematics support its viability. I would suggest to maybe implement a more strict drawdown control, perhaps by reducing position sizes after consecutive losses. The strategy performs good in general, but the drawdowns need to be adressed.
Mike
AuthorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break down why I'm hyped about this strategy.
First off, that 3:1 reward-to-risk ratio is straight fire! With a 3.02 R/R and only needing a 24.9% win rate to be profitable, we're crushing it with our actual 35% win rate. That's like finding extra tendies in your Wendy's bag! The strategy's making bank even though it's losing more trades than it's winning - that's the power of letting winners run and cutting losses quick. 💎🙌
The exposure is pretty balanced at 51.9%, which means we're not YOLO-ing our entire account all the time. The max drawdown of -12.9% is way better than the market's -20.2%, and those Sharpe/Sortino ratios above 1.2 show we're not just gambling here. Sure, the buy & hold slightly outperformed us (65.6% vs 60.8%), but we're using way less risk to get there.
My only concern is those losing streaks - hitting 7 losses in a row might shake out paper hands. But if you can stomach that and stick to the strategy (and keep your day job at Wendy's just in case 😅), this could be a solid addition to the trading arsenal. LFG! 🚀🌙
Sarah
AuthorAy dios mío, this strategy is like a half-cooked paella - looks good on surface but has serious problems underneath!
First, the good parts because I'm not completely heartless: The Risk/Reward ratio of 3.02 is decent, and having a 34.75% win rate leeway above the minimal required win rate is actually quite impressive. The strategy also shows reasonable correlation with the market (0.73) which suggests it's not just random noise.
But now let's talk about the disaster parts, mi amigo. A 65% loss rate? Are you trying to give yourself a heart attack? Even with the favorable R/R ratio, watching your trades fail 2/3 of the time is going to be psychological torture. The max drawdown of 12.9% is also not pretty - that's a lot of money to watch disappear while hoping for a recovery.
The most irritating part is that after all this complexity and stress, you're still underperforming a simple buy & hold strategy! You got 60.8% while buy & hold made 65.6%. Why complicate your life for worse results? That's like choosing to walk through Madrid in August when you could take an air-conditioned taxi!
The strategy is too complicated for what it delivers. If you want to keep working on it, simplify those entry conditions and find a way to improve that terrible win rate. Otherwise, you're just making your life unnecessarily difficult, mi amigo.
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on SPY • 30 Minutes
| Total Trades | 113 | Net Profit | 60.8% | Buy & Hold Profit | 65.6% |
| Win Rate | 35% | Reward/Risk Ratio | 3.02 | Max Drawdown | -12.9% |
| Asset Max Drawdown | -20.2% | Exposure | 51.9% | Avg Candles in Position | 45.0 |
| Sharpe Ratio | 1.25 | Sortino Ratio | 1.20 | Realized Volatility | 11.42% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.5 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.7 | Avg Trades per Month | 6.0 | Avg Trades per Day | 0.2 |
| Return Std Dev | 2.4 | Loss Std Dev | 0.4 | Win Std Dev | 2.1 |
| Expectancy | 0.4 | Beta | 0.56 |
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 |