Bollinger bands pierce (long)longResultados de Backtest @ GLD • 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 20.7 years de datos GLD • Daily (SPDR Gold Trust), desde November 18, 2004 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 20.7 years de velas GLD • Daily. Este backtest resultó en 95 posiciones, con una tasa de ganancia promedio de 45% y una relación riesgo-recompensa de 2.13. Si asumes que la relación riesgo-recompensa de 2.13 se mantiene, necesitas una tasa de ganancia mínima de 31.9 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 95 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 106.40% vs 595.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -23.80% vs -45.30% para el activo
- Exposición: Exposición: 33.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 45.0%, vs 31.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.13
Con esa exposición en mente, puedes ver que para 33% tiempo-en-mercado, obtienes 17.88% del potencial alcista del activo, y 52.54% 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) @ GLD • Daily (106.4%) explicado por Mike, Sarah
Mike
AutorYo fam, this Bollinger Bands strategy on GLD is giving me some mixed vibes 🤔 The win rate's sitting at 45% which ain't great, but check this out - when it wins, it wins BIG with a 2.13 risk/reward ratio! That's some serious juice 🔥
Looking at the numbers, we're getting decent gains over the long haul (106.4% total profit), but it's way behind the buy & hold return of 595.1%. That's kinda rough ngl. But here's the thing - we're only exposed to the market 33% of the time, so we're actually playing it pretty safe compared to YOLO-ing our whole account 💎🙌
The thing that's got me hyped is that fat 44.68% win rate leeway - means we've got tons of room for error and the strategy can still print tendies! The max drawdown of -23.8% is way better than the asset's -45.3%, so we're actually managing risk pretty well here fam 📈
My verdict? This ain't no moonshot strategy 🚀 but it's definitely not trash either. Could be solid for a part of your portfolio if you're cool with slower, steadier gains. Just don't expect this to be your ticket to a Lambo overnight! 💪 3/5 confidence rating for me dawg 🎯
Sarah
AutorMadre de dios, this strategy is absolute garbage! The buy & hold return is 595% while this pathetic attempt only managed 106%? That's embarassing! And you dare to show me these results?
The market exposure is only 33%, which means you're missing out on most of the action like a scared kitten. With 95 trades over 20 years, you're basically a sleeping beauty - less than 1 trade per month! And when you do trade, your win rate is below 50%. Que desastre!
The only semi-decent thing here is the Risk/Reward ratio of 2.13, but that's like having a Ferrari with no engine - looks good on paper but gets you nowhere. The negative Sharpe ratio is telling me this strategy is worse than putting your money under the mattress! And that 23.8% drawdown? Dios mio, that's enough to give anyone nightmares. Better to go to casino - at least they give you free drinks while taking your money!
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en GLD • Daily
| Total de Operaciones | 95 | Beneficio Neto | 106.4% | Beneficio Compra y Mantén | 595.1% |
| Tasa de Ganancia | 45% | Ratio Riesgo/Recompensa | 2.13 | Máximo Drawdown | -23.8% |
| Máximo Drawdown del Activo | -45.3% | Exposición | 33.0% | Promedio de Velas en Posición | 17.1 |
| Ratio de Sharpe | -0.11 | Ratio de Sortino | 0.22 | Volatilidad Realizada | 8.58% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 5 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 0.8 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 4.3 | Desv. Est. de la Pérdida | 1.3 | Desv. Est. de la Ganancia | 4.0 |
| Expectativa | 0.4 | Beta | 0.31 |
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 |