Bollinger bands pierce (long)longResultados de Backtest @ GLD • 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 12.6 months de datos GLD • 10 Minutes (SPDR Gold Trust), desde June 28, 2024 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 12.6 months de velas GLD • 10 Minutes. Este backtest resultó en 199 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 1.58. Si asumes que la relación riesgo-recompensa de 1.58 se mantiene, necesitas una tasa de ganancia mínima de 38.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 6.00% vs 43.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -9.80% vs -8.30% para el activo
- Exposición: Exposición: 37.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 38.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.58
Con esa exposición en mente, puedes ver que para 38% tiempo-en-mercado, obtienes 13.73% del potencial alcista del activo, y 118.07% 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) @ GLD • 10 Minutes (6.0%) explicado por Mike, Sarah
Mike
AutorYo fam, let me break down this Bollinger Bands strategy on GLD! 🚀
Looking at these numbers, we've got some interesting stuff going on here. The win rate is sitting at 43% with a solid 1.58 risk/reward ratio - that's actually pretty sweet because we only need a 38.8% win rate to break even! We're running with a good safety margin here, which is totally my jam. Plus, averaging about 1 trade per day means we're not getting killed on commissions. 💪
The downside is we're only catching 6% gains while GLD itself went up 43.7% - kinda feels like leaving tendies on the table, ngl. But hey, we're only exposed to the market 37.5% of the time, so we're taking way less risk than buy-and-hold gang. That -9.8% max drawdown isn't too scary either - I've seen way worse working the Wendy's late shift! 🍔
I'd probably give this strategy a shot with a small position size to start. The numbers aren't screaming "YOLO your life savings" but they're solid enough to work with. Just gotta stay disciplined and maybe look for ways to ride those winners a bit longer. Diamond hands when it's working, paper hands when it's not! 💎🙌
Sarah
AutorMadre de Dios, this strategy is complete garbage! Let me tell you why this is a disaster waiting to happen.
First of all, you're severely underperforming the market - 6% net profit versus 43.7% buy & hold? That's embarassing! You would have made 7 times more money by simply buying and holding like a lazy person. Even my grandmother could do better than this by randomly throwing darts at trading decisions.
The win rate is pathetic - 43% wins with a 1.58 risk/reward? Si, matematically it can work because of the minimal sufficient win rate being 38.8%, but why would anyone want to lose money more than half the time? This is like playing russian roulette with 3 bullets in the chamber!
The risk metrics are absolutely terrible. Negative Sharpe ratio (-0.07) and catastrophic Sortino ratio (-0.89) tells me this strategy is not just bad, it's consistently bad! And that 9.8% drawdown is like a punch in the face considering the tiny returns you're getting.
Mi consejo? Throw this strategy in the basura where it belongs. You're basically paying the market to torture you slowly. If you want to lose money this badly, at least do it faster and save yourself some time!
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en GLD • 10 Minutes
| Total de Operaciones | 199 | Beneficio Neto | 6.0% | Beneficio Compra y Mantén | 43.7% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 1.58 | Máximo Drawdown | -9.8% |
| Máximo Drawdown del Activo | -8.3% | Exposición | 37.5% | Promedio de Velas en Posición | 17.8 |
| Ratio de Sharpe | -0.07 | Ratio de Sortino | -0.89 | Volatilidad Realizada | 7.92% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 31.6 | Promedio de Operaciones por Día | 1.1 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.1 | Beta | 0.26 |
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 |