Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ TSLA • 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 TSLA • 30 Minutes (Tesla, 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 TSLA • 30 Minutes candles. This backtest resulted in 290 positions, with the average win rate of 20% and reward-risk ratio of 4.26. If you assume that 4.26 reward-to-risk ratio holds, you need a minimum win rate of 19.0 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: -6.40% vs 33.80% for the asset
- Max Drawdown: Max Drawdown: -43.80% vs -67.10% for the asset
- Exposure: Exposure: 36.50% time in the market
- Win Rate: Win Rate: 20.0%, vs 19.0% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 4.26
With that exposure in mind, you can tell that for 37% time-in-market, you get -18.93% of the asset upside potential, and 65.28% 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 @ TSLA • 30 Minutes (-6.4%) backtest results explained by Alex C
Alex C
AuthorThe strategy shows some concerning patterns that make it not reliable for real trading. The Win Rate of 20% is technically above the minimal required 19%, but this tiny margin doesn't provide enough safety considering market volatility and transaction costs.
The risk metrics are particularly troubling. A Max Drawdown of -43.8% is way too high for a strategy that only catches the market 36.5% of the time. The negative Sortino Ratio (-0.19) indicates poor risk-adjusted returns on the downside. With a Beta of 0.29 and Correlation of 0.61, the strategy isn't providing good diversification benefits either.
Most worrying is the inconsistency across time periods. While 2Y shows +14.2%, 6M shows -28.4%. This extreme variance suggests the strategy is not robust enough. The average losing streak of 5.3 trades with a maximum of 19 consecutive losses would be psychologically very difficult to trade through. Even though the Risk/Reward ratio looks good at 4.26, the real-world application would likely fail due to these drawdowns and streaks.
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on TSLA • 30 Minutes
| Total Trades | 290 | Net Profit | -6.4% | Buy & Hold Profit | 33.8% |
| Win Rate | 20% | Reward/Risk Ratio | 4.26 | Max Drawdown | -43.8% |
| Asset Max Drawdown | -67.1% | Exposure | 36.5% | Avg Candles in Position | 11.6 |
| Sharpe Ratio | 0.09 | Sortino Ratio | -0.19 | Realized Volatility | 34.76% |
| Max Winning Streak | 6 | Avg Winning Streak | 1.3 | Max Losing Streak | 19 |
| Avg Losing Streak | 5.3 | Avg Trades per Month | 15.5 | Avg Trades per Day | 0.5 |
| Return Std Dev | 3.8 | Loss Std Dev | 1.0 | Win Std Dev | 5.5 |
| Expectancy | 0.0 | Beta | 0.29 |
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 |