Bollinger bands pierce (long)longResultados de Backtest @ SPY • 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 32.5 years de datos SPY • Daily (SPDR S&P 500), desde January 29, 1993 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 32.5 years de velas SPY • Daily. Este backtest resultó en 146 posiciones, con una tasa de ganancia promedio de 42% y una relación riesgo-recompensa de 1.72. Si asumes que la relación riesgo-recompensa de 1.72 se mantiene, necesitas una tasa de ganancia mínima de 36.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 32.30% vs 1316.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -33.30% vs -56.70% para el activo
- Exposición: Exposición: 32.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 36.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.72
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 2.45% del potencial alcista del activo, y 58.73% 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) @ SPY • Daily (32.3%) explicado por Alex C, Sarah
Alex C
AutorThe results are not looking very impressive from mathematical perspective. While the strategy shows some positive metrics like good Risk/Reward ratio of 1.72 and healthy win rate leeway, there are several red flags that make me concerned.
First problem I see is the very low trade frequency - only 146 trades over 32.5 years means aproximately 0.7 trades per month. This is extremely low and makes the statistical significance questionable. The strategy also significantly underperforms buy & hold with only 32.3% net profit compared to 1316.3% for buy & hold. The negative Sharpe ratio of -0.41 and Sortino ratio of -0.32 indicate poor risk-adjusted returns.
What concerns me most is the inconsistency in performance across different time periods. While short-term CAGR looks good (31.3% for 1M), it deteriorates significantly over longer periods (down to 2.6% for 5Y). This suggests the strategy may not be robust enough for real trading conditions. The max drawdown of 33.3% is also quite high relative to the overall returns. I would need to see more trades and better risk-adjusted metrics before considering this strategy viable.
Sarah
AutorMadre mía, this strategy is absolute garbage! The numbers are screaming "stay away" louder than my abuela when she catches someone messing up her paella.
Look at that pathetic 32.3% net profit over 32.5 years when buy & hold gave 1316.3%! You would have done better putting your money under your mattress, por dios! The Win Rate of 42% might look acceptable with that Risk/Reward ratio, but with only 0.7 trades per month? That's menos que nada - you're basically paying your broker to waste your time.
The negative Sharpe and Sortino ratios are like a big red flag waving in your face. And that -33.3% drawdown? Terrible! The strategy is clearly struggling to deliver any consistent results - just look at how the performance deteriorates from 1M to 5Y periods. It's like watching a bull slowly dying in the arena, but less entertaining.
Métricas tabulares de Bollinger bands pierce (long) sometido a backtest en SPY • Daily
| Total de Operaciones | 146 | Beneficio Neto | 32.3% | Beneficio Compra y Mantén | 1316.3% |
| Tasa de Ganancia | 42% | Ratio Riesgo/Recompensa | 1.72 | Máximo Drawdown | -33.3% |
| Máximo Drawdown del Activo | -56.7% | Exposición | 32.4% | Promedio de Velas en Posición | 17.1 |
| Ratio de Sharpe | -0.41 | Ratio de Sortino | -0.32 | Volatilidad Realizada | 5.89% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 0.7 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 2.8 | Desv. Est. de la Pérdida | 1.0 | Desv. Est. de la Ganancia | 2.7 |
| Expectativa | 0.2 | Beta | 0.13 |
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 |