Bollinger bands pierce (long)longResultados de Backtest @ BTCUSDT • Daily
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 5.8 years de datos BTCUSDT • Daily (Bitcoin vs Tether, Binance US), desde October 8, 2019 hasta July 12, 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 5.8 years de velas BTCUSDT • Daily. Este backtest resultó en 48 posiciones, con una tasa de ganancia promedio de 40% y una relación riesgo-recompensa de 3.21. Si asumes que la relación riesgo-recompensa de 3.21 se mantiene, necesitas una tasa de ganancia mínima de 23.8 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 48 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 320.80% vs 1335.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -61.60% vs -76.60% para el activo
- Exposición: Exposición: 36.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 40.0%, vs 23.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.21
Con esa exposición en mente, puedes ver que para 36% tiempo-en-mercado, obtienes 24.02% del potencial alcista del activo, y 80.42% del potencial bajista del activo.
Bollinger bands pierce (long): entrar en una posición cuando
All of the following: # Echo D Chart(close) (1 candles ago) < D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) D Chart(close) > D Bollinger Bands ® (20, 2, 2, 0, close), Up
Bollinger bands pierce (long): salir de una posición cuando
All of the following: # Oscar D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger bands pierce (long) @ BTCUSDT • Daily (320.8%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some interessting patterns, but I have concerns about the stability of this strategy.
The strategy shows a decent R/R ratio of 3.21 and the win rate of 40% is well above the minimal required 23.8% - this gives good mathematical room for error. However, the maximum drawdown of 61.6% is extremely high and would be psychologically very difficult to trade through. The long losing streak of 9 trades in a row is also problematic and could blow up risk management if position sizing isn't carefully controlled.
What worries me most is that this strategy significantly underperforms buy & hold (320.8% vs 1335.5%) while still having high drawdowns. The low Sharpe ratio of 0.26 confirms the poor risk-adjusted returns. With only 1.4 trades per month on average, the sample size of 48 trades over 5.8 years is also quite small to make reliable statistical conclusions. I would want to see at least 100+ trades before having more confidence in these metrics staying stable.
Sarah
AutorHoly mother of losses, this is one of the most mediocre strategies I've seen lately! Let me tell you why this is basically throwing money out of the window.
First off, you're getting absolutely destroyed by buy & hold - 320% vs 1335%? That's pathetic! You're making just a quarter of what you'd make by simply buying and forgetting about it. And with a 60% loss rate? Dios mío, you're basically paying to lose money here! The 9-trade losing streak is like watching a train wreck in slow motion.
The only slightly redeeming quality is your risk/reward ratio of 3.21, but even that's not enough to save this disaster. Your market exposure is only 36.4% - means you're missing out on most of the good moves while probably catching many of the bad ones. With a -61.6% max drawdown, 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 strategy is about as useful as a chocolate teapot. The fact that you're only doing 1.4 trades per month means you're not even giving yourself enough opportunities to recover from those nasty losing streaks. Either completely rebuild this strategy or save yourself the trouble and just buy & hold.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en BTCUSDT • Daily
| Total de Operaciones | 48 | Beneficio Neto | 320.8% | Beneficio Compra y Mantén | 1335.5% |
| Tasa de Ganancia | 40% | Ratio Riesgo/Recompensa | 3.21 | Máximo Drawdown | -61.6% |
| Máximo Drawdown del Activo | -76.6% | Exposición | 36.4% | Promedio de Velas en Posición | 14.9 |
| Ratio de Sharpe | 0.26 | Ratio de Sortino | 0.86 | Volatilidad Realizada | 32.39% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.9 | Promedio de Operaciones por Mes | 1.4 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 18.5 | Desv. Est. de la Pérdida | 3.2 | Desv. Est. de la Ganancia | 19.7 |
| Expectativa | 0.7 | Beta | 0.3 |
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 |