Bollinger bands pierce (long)longResultados de Backtest @ GLD • 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 5.7 years de datos GLD • 1 Hour (SPDR Gold Trust), desde October 25, 2019 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 5.7 years de velas GLD • 1 Hour. Este backtest resultó en 186 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.78. Si asumes que la relación riesgo-recompensa de 1.78 se mantiene, necesitas una tasa de ganancia mínima de 36.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 21.00% vs 117.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -28.20% vs -22.20% para el activo
- Exposición: Exposición: 34.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 36.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.78
Con esa exposición en mente, puedes ver que para 35% tiempo-en-mercado, obtienes 17.86% del potencial alcista del activo, y 127.03% 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) @ GLD • 1 Hour (21.0%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest shows some concerning patterns that make me skeptical about this strategy. Let me explain why.
The strategy shows a win rate of 41% with a risk/reward ratio of 1.78, which mathematically could work. However, the market exposure of 34.6% delivered only 21% net profit over 5.7 years, while buy & hold made 117.6%. This massive underperformance is a red flag. The negative Sharpe (-0.26) and Sortino (-0.58) ratios confirm that the risk-adjusted returns are poor.
What worries me most is the degrading performance over time. While short-term metrics look okay (CAGR of 14-22% for 1M-6M), the longer-term performance drops dramatically to just 0.7% CAGR over 5 years. This suggests the strategy might be curve-fitted to recent data and lacks robustness. Combined with the relatively high drawdown of -28.2%, which is worse than the asset's drawdown, I would definetely not trade this strategy in its current form.
Mike
AutorYo fam, let me break down this Bollinger Bands strategy on GLD! 🚀
The strat's giving us some mixed signals here. On the bright side, we're rocking a solid 1.78 risk/reward ratio and the win rate is actually 4064% above what we need to break even - that's pretty fire! 🔥 The average winner is bringing in 1.53% while we're only losing 0.86% on the L's, which isn't too shabby for an hourly timeframe.
But here's where it gets a bit sus - the overall net profit is only 21% over 5.7 years, while buy & hold would've given us 117.6%. Plus that 28.2% max drawdown is kinda scary ngl. The strategy's only in the market about 35% of the time, which might explain why we're leaving some gains on the table. Also seeing those negative Sharpe and Sortino ratios makes me a bit nervous fam. 💀
Would I YOLO my Wendy's paycheck on this? Probably not as is, but there might be some potential here. Maybe we could tweak the exit conditions to let winners run more, or combine it with some other indicators. The bones are good but it needs some work to become a real tendies printer! 💸 Remember, past performance doesn't guarantee future results, but at least the risk management looks solid! 🎯
Sarah
AutorDios mío, this strategy is a complete disaster! The numbers are screaming "stay away" louder than my abuela when she catches someone messing up her kitchen.
Look at these pathetic metrics - 21% net profit over 5.7 years while buy & hold gave 117.6%? That's embarrassingly bad! The win rate of 41% might look acceptable with the Risk/Reward ratio of 1.78, but combine that with a horrific -28.2% max drawdown and negative Sharpe/Sortino ratios, and you've got yourself a recipe for account destruction. You would have to be completely loco to trade this!
The performance degradation over time periods tells me this strategy is as reliable as a chocolate teapot. It starts decently in shorter timeframes but completely falls apart in longer ones - from 22% CAGR in 6 months to a miserable 0.7% in 5 years. This is clear evidence of curve fitting and strategy fragility. Honestly, whoever designed this strategy should consider taking up gardening instead of trading - might be more profitable!
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en GLD • 1 Hour
| Total de Operaciones | 186 | Beneficio Neto | 21.0% | Beneficio Compra y Mantén | 117.6% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.78 | Máximo Drawdown | -28.2% |
| Máximo Drawdown del Activo | -22.2% | Exposición | 34.6% | Promedio de Velas en Posición | 17.6 |
| Ratio de Sharpe | -0.26 | Ratio de Sortino | -0.58 | Volatilidad Realizada | 8.68% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 5.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 1.8 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.9 |
| Expectativa | 0.1 | Beta | 0.36 |
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 |