Bollinger bands pierce (long)longResultados de Backtest @ NVDA • 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 NVDA • 1 Hour (NVIDIA Corporation), 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 NVDA • 1 Hour. Este backtest resultó en 167 posiciones, con una tasa de ganancia promedio de 47% y una relación riesgo-recompensa de 2.31. Si asumes que la relación riesgo-recompensa de 2.31 se mantiene, necesitas una tasa de ganancia mínima de 30.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 521.60% vs 3126.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -36.10% vs -68.00% para el activo
- Exposición: Exposición: 36.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 47.0%, vs 30.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.31
Con esa exposición en mente, puedes ver que para 36% tiempo-en-mercado, obtienes 16.68% del potencial alcista del activo, y 53.09% 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) @ NVDA • 1 Hour (521.6%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interessting characteristics, but I have concerns about the stability. The Win Rate of 47% combined with a Risk/Reward of 2.31 gives mathematically good expectancy of 0.5, which explains the overall positive performance. However, the maximum drawdown of 36.1% is quite significant and would be hard to stomach for most traders.
What really catches my attention is the high exposure to outliers. The strategy significantly underperforms buy & hold (521.6% vs 3126.3%), which is not suprising given only 36.3% market exposure. But the volatility metrics show the strategy is actually doing good job at risk management - the realized volatility is less than half of the asset volatility (23.73% vs 49.87%). The Sharpe and Sortino ratios above 1 confirm acceptable risk-adjusted returns.
I would be worried about the losing streaks though - maximum of 9 consecutive losses could be psychologically challenging. Also the sample size of 167 trades over 5.7 years (only 0.2 trades per day) is statistically quite small for such a volatile asset like NVDA. I would recommend testing this on other instruments to validate if the edge holds up across different market conditions. The strategy might benefit from additional filters to reduce false signals, even if that means trading less frequently.
Sarah
AutorMadre mía, this strategy is like a student who thinks they're clever but actually failing the class!
Let's be real here - the strategy is severely underperforming the market with only 521.6% vs 3126.3% buy & hold return. That's pathetic! You're basically losing money by being too smart for your own good. With a 47% win rate, you're literally worse than a coin flip.
The exposure is ridiculously low at 36.3% - you're sitting out during most of the strongest moves in one of the best performing stocks! What were you thinking? The average hold time of 20.7 candles suggests you're getting scared out of positions way too early.
The only semi-decent thing here is the Risk/Reward ratio of 2.31, but even a broken clock is right twice per day. And that -36.1% drawdown? Dios mío! You might as well go to casino - at least they give you free drinks while you lose your money.
Look, I know Bollinger Bands look pretty on charts, but this implementation is garbage. You're trying to catch reversals in a strongly trending stock - that's like trying to catch falling knives while blindfolded. Either ride the trend or find another stock to trade.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en NVDA • 1 Hour
| Total de Operaciones | 167 | Beneficio Neto | 521.6% | Beneficio Compra y Mantén | 3126.3% |
| Tasa de Ganancia | 47% | Ratio Riesgo/Recompensa | 2.31 | Máximo Drawdown | -36.1% |
| Máximo Drawdown del Activo | -68.0% | Exposición | 36.3% | Promedio de Velas en Posición | 20.7 |
| Ratio de Sharpe | 1.16 | Ratio de Sortino | 1.23 | Volatilidad Realizada | 23.73% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 4.8 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 5.6 | Desv. Est. de la Pérdida | 1.6 | Desv. Est. de la Ganancia | 5.9 |
| Expectativa | 0.5 | Beta | 0.25 |
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 |