Bollinger bands pierce (long)longResultados de Backtest @ WMT • 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 WMT • 1 Hour (Walmart Inc.), 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 WMT • 1 Hour. Este backtest resultó en 187 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.07. Si asumes que la relación riesgo-recompensa de 2.07 se mantiene, necesitas una tasa de ganancia mínima de 32.6 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 62.80% vs 138.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -14.60% vs -26.90% para el activo
- Exposición: Exposición: 34.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 32.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.07
Con esa exposición en mente, puedes ver que para 34% tiempo-en-mercado, obtienes 45.44% del potencial alcista del activo, y 54.28% 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) @ WMT • 1 Hour (62.8%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interesting statistical properties, but I am not fully convinced about its robustness. The risk/reward ratio of 2.07 combined with the 43% win rate gives us a mathematical edge, which is good. The win rate leeway of 42.67% above the minimal required win rate is quite healthy - this tells us the strategy has room for deterioration before becoming unprofitable.
However, I see some red flags here. The strategy significantly underperforms buy & hold (62.8% vs 138.2%), which is not optimal for a strategy that requires active management. The Sharpe ratio of 0.35 is quite low, suggesting poor risk-adjusted returns. Also concerning is the market exposure of only 34.2% - this means we're missing out on a lot of potential moves, which explains the underperformance versus buy & hold.
Looking at the performance by time periods, there is quite some inconsistency in the numbers. While the 6-month CAGR looks impressive at 39.6%, the longer-term CAGRs are much lower, dropping to 8.6% over 5 years. This suggests the strategy might not be as reliable over longer timeframes as one would hope. I would want to see more consistency in the periodic returns before deploying real capital with this approach.
Sarah
AutorDios mío, this strategy is a complete disaster! Let me tell you why you should probably throw this in the garbage.
First of all, the strategy severely underperforms buy & hold (62.8% vs 138.2%). This is embarassing! You're doing twice worse than someone who just bought and forgot about it. Why even bother trading if you can't beat a simple buy & hold? The market exposure of 34.2% shows you're missing most of the upside moves.
The win rate is absolutely terrible - only 43%! Even though your Risk/Reward ratio looks decent at 2.07, you're losing money more than half the time. Yes, you have some safety margin above the minimal win rate, but who wants to lose constantly? The psychological impact would kill most traders.
Looking at the performance periods - it's completely inconsistent! One month you're down 22.8%, then suddenly up 39.6% in 6 months. This kind of volatility makes no sense for serious trading. The Sharpe ratio of 0.35 is embarrasingly low - anything below 1.0 is considered poor risk-adjusted returns.
If you want my honest opinion - and you know I always give it - this strategy needs major work or should be abandoned. It's not worth the time and effort when it can't even beat a simple buy & hold approach. Back to the drawing board!
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en WMT • 1 Hour
| Total de Operaciones | 187 | Beneficio Neto | 62.8% | Beneficio Compra y Mantén | 138.2% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.07 | Máximo Drawdown | -14.6% |
| Máximo Drawdown del Activo | -26.9% | Exposición | 34.2% | Promedio de Velas en Posición | 17.3 |
| Ratio de Sharpe | 0.35 | Ratio de Sortino | 0.84 | Volatilidad Realizada | 9.88% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 5.4 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 1.7 | Desv. Est. de la Pérdida | 0.8 | Desv. Est. de la Ganancia | 1.5 |
| Expectativa | 0.3 | Beta | 0.33 |
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 |