Bollinger bands pierce (long)longResultados de Backtest @ SPY • 1 Minute
Esta estrategia compra cuando el precio rompe hacia arriba desde la banda superior de las Bandas de Bollinger. Se cree que esto indica el comienzo de un gran movimiento alcista. Luego vende cuando el precio va por debajo de la línea media de las Bandas de Bollinger. ¡Ve si comprar el breakout de las Bandas de Bollinger es una buena idea! Lo hemos backtesteado.
Curva de Equidad
El backtest cubre 38 days de datos SPY • 1 Minute (SPDR S&P 500), desde June 3, 2025 hasta July 11, 2025.
La curva de equidad es el rendimiento de la estrategia a lo largo del tiempo. Debes compararla con el rendimiento de Compra y Mantén del activo. En general, quieres que el área azul esté bien por encima del área gris.
El drawdown es cuántas pérdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico más alto de equidad. Compara esto con el drawdown del activo para ver si tu estrategia hace un trabajo decente de aislarte de la volatilidad bajista. En general, el área roja debe estar bien dentro del área gris.
Entonces, hemos hecho backtest de Bollinger bands pierce (long) en 38 days de velas SPY • 1 Minute. Este backtest resultó en 178 posiciones, con una tasa de ganancia promedio de 34% y una relación riesgo-recompensa de 2.24. Si asumes que la relación riesgo-recompensa de 2.24 se mantiene, necesitas una tasa de ganancia mínima de 30.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.20% vs 4.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.90% vs -2.10% para el activo
- Exposición: Exposición: 30.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 34.0%, vs 30.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.24
Con esa exposición en mente, puedes ver que para 30% tiempo-en-mercado, obtienes 26.09% del potencial alcista del activo, y 90.48% del potencial bajista del activo.
Bollinger bands pierce (long): entrar en una posición cuando
All of the following: # Echo 1min Chart(close) (1 candles ago) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 1min Chart(close) > 1min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): salir de una posición cuando
All of the following: # Oscar 1min Chart(close) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ SPY • 1 Minute (1.2%) explicado por Mike, Sarah
Mike
AutorYo fam, these backtest results are looking pretty interesting! 🤔 The strategy is grinding out some modest gains with a 1.2% net profit, but what really catches my eye is that juicy 2.24 risk/reward ratio! 💪
Looking deeper, we're hitting the market with about 9 trades per day which is sweet for scalping. The win rate is only 34%, but check this out - we've got a 33.69% leeway above the minimal required win rate! That's actually fire because it means the strategy is mathematically solid even with the lower win rate. We're losing more often but making bigger gains when we win, classic asymmetric betting right there! 📈
One concern though - we're underperforming buy & hold (4.6%) by quite a bit, and that 10-trade losing streak could be rough on the mental game. But with only a -1.9% max drawdown, it's not too scary for the account balance. Might be worth throwing some lunch money at this and seeing how it runs! Just gotta make sure those commission fees don't eat up the gains since we're trading pretty frequently. WAGMI! 🚀
Sarah
AutorThis strategy is pure garbage, and whoever designed it should consider a career in flower arrangement instead of trading. Let me tell you why.
First, the strategy severely underperforms buy & hold (1.2% vs 4.6%). That's embarassing! You're basically losing money when accounting for inflation, and working hard to achieve that brillant failure. Is like trying to dig a hole with a spoon when you have a perfectly good shovel right next to you.
The win rate is atrocious - only 34%! You're losing 2 out of 3 trades! Yes, yes, I see the Risk/Reward ratio is 2.24, which technically makes it matematically viable with that win rate. But why would anyone want to be wrong most of the time? It's like choosing to fail your driving test 66% of the time just because you know eventually you'll pass. The psychological impact would kill most traders faster than you can say "margin call".
The only slightly positive thing I see is the win rate leeway, but that's like praising the comfortable seats in a car that doesn't start. The max losing streak of 10 trades is particularly concerning - imagin explaining to your spouse how you managed to lose 10 trades in a row following your "sistem".
My recomendation? Delete this strategy and start over. Or better yet, just buy and hold SPY like a normal person.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en SPY • 1 Minute
| Total de Operaciones | 178 | Beneficio Neto | 1.2% | Beneficio Compra y Mantén | 4.6% |
| Tasa de Ganancia | 34% | Ratio Riesgo/Recompensa | 2.24 | Máximo Drawdown | -1.9% |
| Máximo Drawdown del Activo | -2.1% | Exposición | 30.3% | Promedio de Velas en Posición | 16.1 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 3.1 | Promedio de Operaciones por Mes | 281.1 | Promedio de Operaciones por Día | 9.4 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.2 |
| Expectativa | 0.1 | Beta | 0.29 |
Todos los backtests para Bollinger bands pierce (long)
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 24% | (6.4%/8.9%) 0.72x | (-2.3%/-1.9%) 1.21x | 45 | 2.9 |
EURUSD • 1 Minute | 28% | (0.2%/-0.9%) -0.22x | (-0.6%/-1.2%) 0.50x | 34 | 2.1 |
GLD • 1 Minute | 30% | (2.6%/0.0%) Infinityx | (-1.9%/-5.5%) 0.35x | 40 | 2.1 |
NVDA • 1 Minute | 29% | (10.9%/16.7%) 0.65x | (-2.1%/-4.4%) 0.48x | 42 | 2.5 |
SPY • 1 Minute | 30% | (1.2%/4.6%) 0.26x | (-1.9%/-2.1%) 0.90x | 34 | 2.2 |
TSLA • 1 Minute | 31% | (-15.1%/-10.3%) 1.47x | (-16.7%/-21.4%) 0.78x | 31 | 1.5 |
WMT • 1 Minute | 26% | (-3.3%/-5.4%) 0.61x | (-4.0%/-6.4%) 0.63x | 32 | 1.6 |
BTCUSDT • 10 Minutes | 27% | (7.2%/26.3%) 0.27x | (-4.8%/-12.1%) 0.40x | 38 | 2.1 |
EURUSD • 10 Minutes | 32% | (2.3%/6.8%) 0.34x | (-2.7%/-4.3%) 0.63x | 36 | 2.1 |
GLD • 10 Minutes | 38% | (6.0%/43.7%) 0.14x | (-9.8%/-8.3%) 1.18x | 43 | 1.6 |
NVDA • 10 Minutes | 33% | (8.1%/32.9%) 0.25x | (-26.2%/-42.8%) 0.61x | 44 | 1.4 |
SPY • 10 Minutes | 33% | (3.6%/14.3%) 0.25x | (-7.7%/-20.7%) 0.37x | 42 | 1.6 |
TSLA • 10 Minutes | 31% | (4.5%/59.0%) 0.08x | (-37.6%/-55.3%) 0.68x | 39 | 1.7 |
WMT • 10 Minutes | 34% | (25.4%/40.1%) 0.63x | (-6.8%/-23.8%) 0.29x | 43 | 2.1 |
BTCUSDT • 1 Hour | 30% | (9.3%/71.3%) 0.13x | (-17.2%/-30.6%) 0.56x | 38 | 1.8 |
EURUSD • 1 Hour | 32% | (6.5%/8.4%) 0.77x | (-4.2%/-9.0%) 0.47x | 40 | 1.9 |
GLD • 1 Hour | 35% | (21.0%/117.6%) 0.18x | (-28.2%/-22.2%) 1.27x | 41 | 1.8 |
NVDA • 1 Hour | 36% | (521.6%/3126.3%) 0.17x | (-36.1%/-68.0%) 0.53x | 47 | 2.3 |
SPY • 1 Hour | 36% | (31.9%/106.7%) 0.30x | (-11.2%/-35.1%) 0.32x | 46 | 1.6 |
TSLA • 1 Hour | 34% | (2572.3%/1395.5%) 1.84x | (-29.3%/-75.1%) 0.39x | 46 | 3.1 |
WMT • 1 Hour | 34% | (62.8%/138.2%) 0.45x | (-14.6%/-26.9%) 0.54x | 43 | 2.1 |
BTCUSDT • Daily | 36% | (320.8%/1335.5%) 0.24x | (-61.6%/-76.6%) 0.80x | 40 | 3.2 |
EURUSD • Daily | 29% | (3.2%/10.8%) 0.30x | (-10.2%/-23.3%) 0.44x | 30 | 2.7 |
GLD • Daily | 33% | (106.4%/595.1%) 0.18x | (-23.8%/-45.3%) 0.53x | 45 | 2.1 |
NVDA • Daily | 39% | (9137.3%/373678.5%) 0.02x | (-67.9%/-90.0%) 0.75x | 50 | 2.5 |
SPY • Daily | 32% | (32.3%/1316.3%) 0.02x | (-33.3%/-56.7%) 0.59x | 42 | 1.7 |
TSLA • Daily | 35% | (8915.3%/24185.2%) 0.37x | (-40.7%/-75.0%) 0.54x | 45 | 5.0 |
WMT • Daily | 34% | (-20.9%/9978.0%) -0.00x | (-65.4%/-50.6%) 1.29x | 37 | 1.7 |