Bollinger bands pierce (long)longResultados de Backtest @ NVDA • 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 26.5 years de datos NVDA • Daily (NVIDIA Corporation), desde January 22, 1999 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 26.5 years de velas NVDA • Daily. Este backtest resultó en 133 posiciones, con una tasa de ganancia promedio de 50% y una relación riesgo-recompensa de 2.45. Si asumes que la relación riesgo-recompensa de 2.45 se mantiene, necesitas una tasa de ganancia mínima de 29.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 9137.30% vs 373678.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -67.90% vs -90.00% para el activo
- Exposición: Exposición: 39.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 50.0%, vs 29.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.45
Con esa exposición en mente, puedes ver que para 39% tiempo-en-mercado, obtienes 2.45% del potencial alcista del activo, y 75.44% 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) @ NVDA • Daily (9137.3%) explicado por Alex C
Alex C
AutorThe results look quite interesting, but I see some major red flags here. First thing that catches my attention is that this strategy heavily underperforms buy & hold - 9137% vs 373678% over 26.5 years. That's a significant difference which makes me question the strategy's effectiveness.
The win rate of 50% combined with a risk/reward ratio of 2.45 looks actually quite decent on paper. This gives us positive expectancy of 0.7, which is not bad at all. However, the max drawdown of 67.9% is extremely concerning - this would be very difficult to handle psychologically and could wipe out accounts using too much leverage. The relatively low market exposure of 39.1% suggests this is quite a selective strategy, which I typically like, but in this case it seems to be missing out on major moves.
I am especially skeptical about the recent performance metrics - those astronomical CAGR numbers in the shorter timeframes are mathematically impossible and suggest there might be issues with the backtest implementation. Also, having only 0.8 trades per month on average means the sample size of 133 trades over 26.5 years is quite small for making statistically significant conclusions. I would need to see more trades to have higher confidence in these metrics.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en NVDA • Daily
| Total de Operaciones | 133 | Beneficio Neto | 9137.3% | Beneficio Compra y Mantén | 373678.5% |
| Tasa de Ganancia | 50% | Ratio Riesgo/Recompensa | 2.45 | Máximo Drawdown | -67.9% |
| Máximo Drawdown del Activo | -90.0% | Exposición | 39.1% | Promedio de Velas en Posición | 18.6 |
| Ratio de Sharpe | 0.32 | Ratio de Sortino | 0.94 | Volatilidad Realizada | 29.66% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 0.8 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 16.5 | Desv. Est. de la Pérdida | 4.7 | Desv. Est. de la Ganancia | 17.2 |
| Expectativa | 0.7 | 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 |