Bollinger bands pierce (long)longResultados de Backtest @ WMT • 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 WMT • 10 Minutes (Walmart Inc.), 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 WMT • 10 Minutes. Este backtest resultó en 195 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.08. Si asumes que la relación riesgo-recompensa de 2.08 se mantiene, necesitas una tasa de ganancia mínima de 32.5 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 25.40% vs 40.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -6.80% vs -23.80% para el activo
- Exposición: Exposición: 33.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 32.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.08
Con esa exposición en mente, puedes ver que para 34% tiempo-en-mercado, obtienes 63.34% del potencial alcista del activo, y 28.57% 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) @ WMT • 10 Minutes (25.4%) explicado por Mike
Mike
AutorYo fam, this Bollinger Bands strategy on WMT is looking pretty juicy! 🚀 The numbers are giving me some serious potential vibes, even though it's not beating buy & hold (which is up 40% - WMT been pumping fr fr).
What's got me hyped is that Risk/Reward ratio of 2.08 and the solid win rate leeway - we're crushing the minimal required win rate by over 4000%! That's like finding extra fries at the bottom of your Wendy's bag! 🍟 The max drawdown is only -6.8% which is way better than WMT's raw -23.8% drawdown. Plus that Sharpe ratio of 2.04 is telling me this strategy isn't just YOLO'ing blindly.
Only thing that's making me a bit sus is the 57% loss rate, but since the average wins (0.80%) are bigger than the average losses (-0.39%), we're still coming out ahead. Getting about 1 trade per day means we're not overtrading and those commission fees won't eat us alive. This could be a solid strategy to throw some tendies at, especially if you're patient enough to handle those losing streaks! 💎🙌
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en WMT • 10 Minutes
| Total de Operaciones | 195 | Beneficio Neto | 25.4% | Beneficio Compra y Mantén | 40.1% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.08 | Máximo Drawdown | -6.8% |
| Máximo Drawdown del Activo | -23.8% | Exposición | 33.5% | Promedio de Velas en Posición | 16.2 |
| Ratio de Sharpe | 2.04 | Ratio de Sortino | 1.40 | Volatilidad Realizada | 10.38% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 31.0 | Promedio de Operaciones por Día | 1.0 |
| Desv. Est. del Retorno | 0.8 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.9 |
| Expectativa | 0.3 | Beta | 0.23 |
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 |