Bollinger bands pierce (long)longResultados de Backtest @ SPY • 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 SPY • 10 Minutes (SPDR S&P 500), 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 SPY • 10 Minutes. Este backtest resultó en 175 posiciones, con una tasa de ganancia promedio de 42% y una relación riesgo-recompensa de 1.56. Si asumes que la relación riesgo-recompensa de 1.56 se mantiene, necesitas una tasa de ganancia mínima de 39.1 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 3.60% vs 14.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -7.70% vs -20.70% para el activo
- Exposición: Exposición: 32.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 39.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.56
Con esa exposición en mente, puedes ver que para 33% tiempo-en-mercado, obtienes 25.17% del potencial alcista del activo, y 37.20% 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) @ SPY • 10 Minutes (3.6%) explicado por Mike, Sarah
Mike
AutorYo fam, let me break down this Bollinger Bands strategy for you! 🚀
This strategy is giving some interesting vibes - it's not crushing the market (3.6% vs 14.3% buy & hold), but there's some juicy potential here. The win rate might look a bit low at 42%, but check this out: our winners are hitting 0.51% while losers are only -0.33%. That's a solid 1.56 risk/reward ratio! Plus, we've got this crazy good win rate leeway of 41.61%, which means we're way above what we need to be profitable. 💪
What really catches my eye is the trading frequency - about 1 trade per day. That's perfect for us Wendy's warriors who can't watch charts 24/7! The max drawdown of -7.7% is pretty chill compared to the market's -20.7%, so we're not taking too much heat. The market exposure is only 32.9%, which means we're not constantly risking our tendies. 🍗
I'd say this could be a decent base strategy to build on, especially for someone looking for consistent small wins rather than YOLO plays. Maybe add some more confirmation signals or optimize the exit strategy to bump up that win rate a bit. Not financial advice, but I might throw some of my next paycheck at testing this bad boy! 🎯
Sarah
AutorMadre de Dios, this strategy is a complete disaster! Let me tell you why you should throw this garbage straight to papelera.
First of all, you're losing money compared to simple buy & hold - 3.6% vs 14.3%? That's patético! You're basically paying commission to lose money slower than you could make it by doing nothing. And with a terrible 42% win rate? Por favor, you might as well flip a coin, at least you wouldn't waste time staring at charts.
The risk metrics are even more horrible - negative Sharpe ratio means you're taking stupid risks for negative returns. A 7.7% drawdown for such mediocre returns? That's like jumping off a cliff to pick up a penny! And your market exposure is only 32.9% - you're missing most of the actual market moves while catching these pathetic signals.
Look, I know Bollinger Bands look pretty on charts, but this implementation is pure basura. The only slightly positive thing is your Risk/Reward ratio of 1.56, but what good is that when you're losing on most trades? You're basically paying for the privilege of being wrong 58% of the time.
Either completely redesign this strategy or save yourself the trouble and invest in index funds. This is not trading, this is slowly bleeding money with extra steps.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en SPY • 10 Minutes
| Total de Operaciones | 175 | Beneficio Neto | 3.6% | Beneficio Compra y Mantén | 14.3% |
| Tasa de Ganancia | 42% | Ratio Riesgo/Recompensa | 1.56 | Máximo Drawdown | -7.7% |
| Máximo Drawdown del Activo | -20.7% | Exposición | 32.9% | Promedio de Velas en Posición | 17.8 |
| Ratio de Sharpe | -0.16 | Ratio de Sortino | 0.30 | Volatilidad Realizada | 8.14% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 27.8 | Promedio de Operaciones por Día | 0.9 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.5 |
| Expectativa | 0.1 | Beta | 0.18 |
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 |