Bollinger bands pierce (long)longResultados de Backtest @ EURUSD • 10 Minutes
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 97 days de datos EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)), desde April 7, 2025 hasta July 13, 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 97 days de velas EURUSD • 10 Minutes. Este backtest resultó en 198 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 2.10. Si asumes que la relación riesgo-recompensa de 2.10 se mantiene, necesitas una tasa de ganancia mínima de 32.3 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 2.30% vs 6.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.70% vs -4.30% para el activo
- Exposición: Exposición: 32.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 32.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.10
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 33.82% del potencial alcista del activo, y 62.79% del potencial bajista del activo.
Bollinger bands pierce (long): entrar en una posición cuando
All of the following: # Echo 10min Chart(close) (1 candles ago) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 10min Chart(close) > 10min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): salir de una posición cuando
All of the following: # Oscar 10min Chart(close) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ EURUSD • 10 Minutes (2.3%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I have few concerns about its statistical robustness. Let me explain why.
The positive aspects first: The Risk/Reward ratio of 2.10 is quite good, and the win rate of 36% is actually above the minimal required win rate of 32.3% - this is mathematically viable. The strategy also shows reasonable market exposure of 32%, which means it's not constantly in the market making random trades. The volatility metrics and drawdown numbers are also not too concerning.
However, I see major red flags in the performance numbers. The strategy only achieved 2.3% net profit while the market itself did 6.8% - this is quite problematic. The average trade duration of 15 candles combined with 4.1 trades per day suggests there might be some overlap in positions, which could increase risk exposure beyond what the numbers show. Also the maximum losing streak of 8 trades is quite concerning when compared to maximum winning streak of only 4.
In summary, while the mathematical foundation appears sound, I would not trade this strategy without significant modifications. The underperformance versus buy-and-hold combined with high trading frequency makes me doubt its real-world viability. I would suggest optimizing the exit conditions to improve the average win size, which is currently too small relative to the trading costs one would face in live trading.
Mike
AutorYo fam, this Bollinger Bands strategy is giving me some mixed vibes, but there's definitely some potential here! 🚀
First off, that 2.1 reward-to-risk ratio is pretty sweet, and we're actually running above the minimum required win rate - that's a major green flag! 📈 The strategy is pumping out about 4 trades per day, which is perfect for someone like me working the Wendy's shift (gotta check those charts on my breaks lol). The max drawdown of -2.7% is super manageable too, way better than some of my previous YOLO plays 😅
But here's where it gets a bit sus - we're only catching 36% winners, and that Buy & Hold is actually outperforming us (6.8% vs our 2.3%). Plus, those losing streaks can go up to 8 trades in a row, which might shake out paper hands. But real talk, with those Sharpe and Sortino ratios looking decent, this could be a solid base for building something bigger! 💎🙌
Think I might paper trade this for a bit, maybe add some filters to bump up that win rate. Could be a nice side hustle while I stack those Wendy's paychecks! 🍔💰
Sarah
AutorThis strategy is a complete disaster, and whoever designed it should probably stick to their day job! Let me tell you why, amigo.
First of all, look at that pathetic 2.3% net profit over 97 days when the market itself made 6.8%. You're literally losing money compared to simply buying and holding! This is what we call in the business "being worse than doing nothing." And with a 36% win rate? Por favor, that's embarrassing! Even though mathematically it could work with the 2.10 risk/reward ratio, it's still terrible execution.
The market exposure is only 32%, which means you're sitting on your hands most of the time, missing out on 68% of potential opportunities. And when you do trade, you're averaging 15 candles per position - that's like watching paint dry in a 10-minute timeframe! Not to mention those losing streaks of up to 8 trades in a row - imagine explaining that to your account balance!
The only slightly positive thing I see is the decent Sortino ratio of 2.78, but honestly, that's like having a nice paintjob on a broken car. The strategy is fundamentally flawed and needs a complete overhaul. If this was my strategy, I would throw it in the basura where it belongs and start from scratch.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en EURUSD • 10 Minutes
| Total de Operaciones | 198 | Beneficio Neto | 2.3% | Beneficio Compra y Mantén | 6.8% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 2.10 | Máximo Drawdown | -2.7% |
| Máximo Drawdown del Activo | -4.3% | Exposición | 32.0% | Promedio de Velas en Posición | 15.0 |
| Ratio de Sharpe | 0.95 | Ratio de Sortino | 2.78 | Volatilidad Realizada | 3.82% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.8 | Promedio de Operaciones por Mes | 122.5 | Promedio de Operaciones por Día | 4.1 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | 0.1 | Beta | 0.32 |
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 |