Reversal strategy: BB Low Breakdown on elevated volumelongBacktest Results @ SPY • 1 Hour
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 5.7 years of SPY • 1 Hour (SPDR S&P 500) data, from November 15, 2019 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 5.7 years of SPY • 1 Hour candles. This backtest resulted in 166 positions, with the average win rate of 28% and reward-risk ratio of 3.81. If you assume that 3.81 reward-to-risk ratio holds, you need a minimum win rate of 20.8 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 89.30% vs 99.70% for the asset
- Max Drawdown: Max Drawdown: -27.10% vs -35.10% for the asset
- Exposure: Exposure: 56.30% time in the market
- Win Rate: Win Rate: 28.0%, vs 20.8% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 3.81
With that exposure in mind, you can tell that for 56% time-in-market, you get 89.57% of the asset upside potential, and 77.21% of the asset downside potential.
Reversal strategy: BB Low Breakdown on elevated volume: enter a position when
All of the following: # "Romeo"
60min Chart(low) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Low
60min Relative Strength Index (14, 70, 30, close) < 35
60min Volume (20, SMA), Vol. > 60min Volume (20, SMA), MA
None of the following:
60min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: exit a position when
Any of the following: 60min 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 • 1 Hour (89.3%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe strategy shows some interesting characteristics, but I'm having concerns about its reliability. The win rate of 28% is quite low, even though it's compensated by a good risk/reward ratio of 3.81. This means when we win, we win big - but we loose much more often then we win.
The maximum drawdown of 27.1% is concerning, especially for a strategy that only captures 56.3% of market exposure. With 166 trades over 5.7 years, we see about 4.8 trades per month - this is not much trading activity, which makes the statistics less reliable. The long losing streaks (up to 13 trades in row) could be psychologically challenging for many traders, even though mathematically the strategy shows positive expectancy.
From pure mathematical perspective, the strategy is viable since actual win rate (28%) is significantly above minimal required win rate (20.8%). However, I would recommend to look into ways to improve entry conditions to reduce false signals. The elevated volume requirement is good, but maybe adding momentum indicators could help filter out some losing trades. Also the high maximum drawdown suggests that position sizing and risk management need careful consideration.
Sarah
AuthorMadre mía, this strategy is like watching a drunk person trying to dance salsa - occasionally impressive but mostly painful to watch!
The 28% win rate with a 72% loss rate makes me want to throw my keyboard across the room. Yes, yes, I see the Risk/Reward ratio is 3.81 and technically the strategy is profitable, but holy mother of drawdowns - 27.1%? That's not a strategy, that's a rollercoaster of pure anxiety!
Look at those losing streaks - 13 losses in a row! Dios mío, even the most patient trader would probably jump out of the window before seeing the end of such a streak. The market exposure of 56.3% suggests you're spending half the time biting your nails waiting for something to happen, only to lose money 72% of the time when it does!
I must admit, the one thing that doesn't make me completely lose my faith in humanity is the Win Rate Leeway being well above the minimal required win rate. But honestly, this is like saying "congratulations, your horrible strategy isn't completely mathematically impossible!" The fact that it underperforms buy & hold (89.3% vs 99.7%) just adds insult to injury.
Tabular metrics of Reversal strategy: BB Low Breakdown on elevated volume backtested on SPY • 1 Hour
| Total Trades | 166 | Net Profit | 89.3% | Buy & Hold Profit | 99.7% |
| Win Rate | 28% | Reward/Risk Ratio | 3.81 | Max Drawdown | -27.1% |
| Asset Max Drawdown | -35.1% | Exposure | 56.3% | Avg Candles in Position | 32.9 |
| Sharpe Ratio | 1.15 | Sortino Ratio | 0.84 | Realized Volatility | 12.52% |
| Max Winning Streak | 4 | Avg Winning Streak | 1.5 | Max Losing Streak | 13 |
| Avg Losing Streak | 3.7 | Avg Trades per Month | 4.8 | Avg Trades per Day | 0.2 |
| Return Std Dev | 3.0 | Loss Std Dev | 0.6 | Win Std Dev | 2.7 |
| Expectancy | 0.4 | Beta | 0.46 |
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 |