Bollinger bands pierce (long)longResultados de Backtest @ SPY • 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 SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 184 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 1.62. Si asumes que la relación riesgo-recompensa de 1.62 se mantiene, necesitas una tasa de ganancia mínima de 38.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 31.90% vs 106.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -11.20% vs -35.10% para el activo
- Exposición: Exposición: 35.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 38.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.62
Con esa exposición en mente, puedes ver que para 36% tiempo-en-mercado, obtienes 29.90% del potencial alcista del activo, y 31.91% 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) @ SPY • 1 Hour (31.9%) explicado por Mike
Mike
AutorYo fam, looking at these Bollinger Band results and I'm actually kinda vibing with it! 🚀 Not gonna lie, that 46% win rate with a 1.62 risk/reward ratio is pretty sweet - means we're letting winners run and cutting losses quick like a true degenerate (in a good way)!
The strategy is giving us some decent cushion with that 45% win rate leeway above the minimum needed, which means we're not walking on a tightrope here. Love to see that kind of safety net when I'm YOLOing my Wendy's checks 💎🙌. The max drawdown at -11.2% is way better than the market's -35.1%, so we're not getting absolutely rekt during the bad times.
Here's the thing though apes - while the 31.9% total gain is nice, buy & hold crushed us with 106.7%. But hear me out - we're only exposed to the market 35.9% of the time, meaning we can use that free capital for other plays! Plus those Sharpe/Sortino ratios aren't complete trash, showing we're getting decent returns for the risk we're taking. This isn't exactly a moonshot strategy 🌕, but it's solid enough that I wouldn't mind throwing some tendies at it as part of a larger portfolio. Just don't expect this to be your ticket to a Lambo! 🚗
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 184 | Beneficio Neto | 31.9% | Beneficio Compra y Mantén | 106.7% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 1.62 | Máximo Drawdown | -11.2% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 35.9% | Promedio de Velas en Posición | 18.5 |
| Ratio de Sharpe | 0.40 | Ratio de Sortino | 0.53 | Volatilidad Realizada | 7.32% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.0 | Promedio de Operaciones por Mes | 5.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 1.4 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 1.2 |
| Expectativa | 0.2 | 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 |