Buy at close/Sell at openlongResultados de Backtest @ GLD • 10 Minutes
Esta estrategia explota un mito bien conocido, que dice que si compras al cierre de la sesión del mercado de valores y luego simplemente vendes al día siguiente en la apertura, entonces te irá bien. Puedes ver por ti mismo que los resultados son... diversos, por decir lo menos. ¿Puede comprar al cierre y vender en la apertura hacerte ganar dinero? ¿Es sostenible? Compruébalo tú mismo, en los resultados del backtest a continuación. Recuerda que tal vez hay activos donde eso podría tener sentido. De todas formas, no pudimos cubrir todas las acciones y ETFs de EE.UU.
Curva de Equidad
El backtest cubre 12.6 months de datos GLD • 10 Minutes (SPDR Gold Trust), desde June 28, 2024 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 Buy at close/Sell at open en 12.6 months de velas GLD • 10 Minutes. Este backtest resultó en 255 posiciones, con una tasa de ganancia promedio de 50% y una relación riesgo-recompensa de 1.00. Si asumes que la relación riesgo-recompensa de 1.00 se mantiene, necesitas una tasa de ganancia mínima de 50.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -0.50% vs 43.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -6.50% vs -8.30% para el activo
- Exposición: Exposición: 5.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 50.0%, vs 50.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.00
Con esa exposición en mente, puedes ver que para 5% tiempo-en-mercado, obtienes -1.14% del potencial alcista del activo, y 78.31% del potencial bajista del activo.
Buy at close/Sell at open: entrar en una posición cuando
All of the following: # Yankee 10min Date&Time, Custom TZ (UTC+3), Time = 1550
Buy at close/Sell at open: salir de una posición cuando
All of the following: # Bravo 10min Date&Time, Custom TZ (UTC+3), Time = 930
Buy at close/Sell at open @ GLD • 10 Minutes (-0.5%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe strategy looks quite poor from mathematical perspective. While it produces decent amount of trades (255 over the period), the results are not encouraging at all.
Most concerning is that strategy delivers -0.5% net profit while buy&hold gives +43.7%. This means the strategy significantly underperforms the market. The win rate of 50% combined with risk/reward ratio of 1.0 mathematically guarantees losses over time when accounting for transaction costs. The negative Sharpe (-0.77) and Sortino (-0.89) ratios confirm the poor risk-adjusted returns.
What I find particularly problematic is the market exposure of only 5.1%. This means the strategy misses most of the market moves by design. With such limited exposure time, the strategy would need much higher win rate or risk/reward ratio to be viable. The mathematics simply don't work out here - you cannot expect to capture meaningful returns when you're in the market such small percentage of time while having balanced wins and losses.
Mike
AutorBruh, this strategy is straight-up not giving the vibes we want! 🙅♂️ Trading GLD overnight and it's giving us negative returns while the market is up 43%? That's like working extra shifts at Wendy's just to lose money!
The stats are kinda sus too - 50/50 win rate with equal wins and losses is basically like flipping a coin, fam. 🎲 And that market exposure of only 5.1% means we're barely in the game! The Sharpe and Sortino ratios being negative are major red flags too, meaning we're not even getting paid for the risk we're taking.
Look, I'm usually the first one to see the potential moonshot in everything, but this ain't it chief. 💯 The strategy might look simple and clean, but with those numbers, you'd literally be better off just buying and holding GLD. Sometimes the simplest plays are the best plays - no need to overcomplicate things when the market's giving you free tendies with buy & hold! 🚀
Sarah
AutorDios mío, this is absolutely terrible! What were you thinking with this ridiculous strategy?
The strategy is completely worthless - you're losing money (-0.5% net profit) while the market is having a fantastic run (+43.7% buy & hold). This is like watching someone drown in a swimming pool while wearing a life jacket! Your market exposure is pathetically low at 5.1% - you're basically sitting on the sidelines while GLD is making moves.
Look at those risk metrics - negative Sharpe and Sortino ratios! This means you're not even being compensated for the risk you're taking. The strategy is literally worse than throwing darts at a chart blindfolded. And that 50% win rate with 1:1 risk/reward? Madre de Dios, you're just flipping coins here!
The most painful part is seeing how the strategy consistently underperforms across all time periods. While GLD is showing strong CAGR numbers (39.9% for 1Y), your strategy is bleeding money like a wounded bull (-0.7% CAGR). This is not a trading strategy - this is financial self-harm!
My advice? Delete this strategy immediately and never speak of it again. Even buying lottery tickets would give you better odds than this disaster.
Métricas tabulares de Buy at close/Sell at open sometido a backtest en GLD • 10 Minutes
| Total de Operaciones | 255 | Beneficio Neto | -0.5% | Beneficio Compra y Mantén | 43.7% |
| Tasa de Ganancia | 50% | Ratio Riesgo/Recompensa | 1.00 | Máximo Drawdown | -6.5% |
| Máximo Drawdown del Activo | -8.3% | Exposición | 5.1% | Promedio de Velas en Posición | 1.0 |
| Ratio de Sharpe | -0.77 | Ratio de Sortino | -0.89 | Volatilidad Realizada | 4.91% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 40.5 | Promedio de Operaciones por Día | 1.3 |
| Desv. Est. del Retorno | 0.4 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | -0.0 | Beta | 0.12 |
Todos los backtests para Buy at close/Sell at open
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
GLD • 10 Minutes | 5% | (-0.5%/43.7%) -0.01x | (-6.5%/-8.3%) 0.78x | 50 | 1.0 |
NVDA • 10 Minutes | 5% | (4.8%/32.9%) 0.15x | (-20.9%/-42.8%) 0.49x | 50 | 1.1 |
SPY • 10 Minutes | 5% | (1.0%/14.3%) 0.07x | (-4.8%/-20.7%) 0.23x | 51 | 1.0 |
TSLA • 10 Minutes | 5% | (24.5%/59.0%) 0.42x | (-12.6%/-55.3%) 0.23x | 50 | 1.2 |
WMT • 10 Minutes | 5% | (17.8%/40.1%) 0.44x | (-3.8%/-23.8%) 0.16x | 52 | 1.3 |