Bollinger bands pierce (long)longResultados de Backtest @ BTCUSDT • 1 Hour
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 13.9 months de datos BTCUSDT • 1 Hour (Bitcoin vs Tether, Binance US), desde May 23, 2024 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 13.9 months de velas BTCUSDT • 1 Hour. Este backtest resultó en 187 posiciones, con una tasa de ganancia promedio de 38% y una relación riesgo-recompensa de 1.80. Si asumes que la relación riesgo-recompensa de 1.80 se mantiene, necesitas una tasa de ganancia mínima de 35.7 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 9.30% vs 71.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -17.20% vs -30.60% para el activo
- Exposición: Exposición: 29.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 38.0%, vs 35.7% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.80
Con esa exposición en mente, puedes ver que para 30% tiempo-en-mercado, obtienes 13.04% del potencial alcista del activo, y 56.21% del potencial bajista del activo.
Bollinger bands pierce (long): entrar en una posición cuando
All of the following: # Echo 60min Chart(close) (1 candles ago) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 60min Chart(close) > 60min Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): salir de una posición cuando
All of the following: # Oscar 60min Chart(close) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ BTCUSDT • 1 Hour (9.3%) explicado por Alex C, Sarah
Alex C
AutorThe strategy looks mathematically sound but not particularly impressive. The Win Rate of 38% combined with Risk/Reward of 1.8 gives positive expectancy, which is good. However, the net profit of 9.3% versus buy & hold of 71.3% shows this strategy significantly underperforms the market.
What concerns me most is the negative Sharpe and Sortino ratios. This indicates poor risk-adjusted returns - the strategy is taking on risk without adequate compensation. The max drawdown of 17.2% is also quite high relative to the total returns. The high number of trades (187 over 13.9 months) means transaction costs could significantly impact real performance.
One positive aspect is the Win Rate Leeway - being 37.64% above the minimal required win rate provides good mathematical buffer for strategy deterioration. But with market exposure of only 29.7%, you're missing most of the upside during bull trends. I would suggest optimizing the exit conditions to hold winners longer, since the average holding time of 14.9 candles seems too short for capturing larger moves.
Sarah
AutorMadre mía, this strategy is pure garbage! The buy & hold gives you 71.3% while this joke of a strategy barely makes 9.3%? Are you seriously considering throwing away 62% of your trades for this pathetic return?
Look at those risk metrics - negative Sharpe and Sortino ratios! This means you'd literally make more money putting your cash under your pillow. And that 17.2% drawdown? Dios mío, you could lose your shirt faster than at a strip club!
The only remotely decent thing here is the Risk/Reward ratio of 1.8, but it's completely neutralized by that embarassing 38% win rate. You're basically paying premium to lose money slower than if you were trading randomly! And let's not even talk about that market exposure of 29.7% - you're missing out on most of the good moves while catching all the bad ones like some kind of masochist!
If you're thinking about trading this strategy, I suggest you better go buy lottery tickets - at least those give you better odds than this desastre total!
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en BTCUSDT • 1 Hour
| Total de Operaciones | 187 | Beneficio Neto | 9.3% | Beneficio Compra y Mantén | 71.3% |
| Tasa de Ganancia | 38% | Ratio Riesgo/Recompensa | 1.80 | Máximo Drawdown | -17.2% |
| Máximo Drawdown del Activo | -30.6% | Exposición | 29.7% | Promedio de Velas en Posición | 14.9 |
| Ratio de Sharpe | -0.29 | Ratio de Sortino | -0.21 | Volatilidad Realizada | 26.49% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 27.0 | Promedio de Operaciones por Día | 0.9 |
| Desv. Est. del Retorno | 2.0 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 2.1 |
| 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 |