Buy at opening candle range breakoutlongResultados de Backtest @ PLTR • 10 Minutes
Esta estrategia de breakout intradiario busca entrar una vez que el precio rompe por encima del máximo de la vela de apertura, en cualquier etapa del día. Toma beneficios en el Rango de Apertura Alto + Tamaño del Rango de Apertura, y tiene un stop loss en el Rango de Apertura Bajo. Nunca mantiene una posición durante la noche; siempre sale en la última vela del día en caso de que no se cumplan otras condiciones de salida.
Curva de Equidad
El backtest cubre 12.5 months de datos PLTR • 10 Minutes (Palantir Technologies Inc.), desde July 23, 2024 hasta August 1, 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 opening candle range breakout en 12.5 months de velas PLTR • 10 Minutes. Este backtest resultó en 141 posiciones, con una tasa de ganancia promedio de 58% y una relación riesgo-recompensa de 0.98. Si asumes que la relación riesgo-recompensa de 0.98 se mantiene, necesitas una tasa de ganancia mínima de 50.5 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 38.10% vs 439.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -25.40% vs -46.50% para el activo
- Exposición: Exposición: 33.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 58.0%, vs 50.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 0.98
Con esa exposición en mente, puedes ver que para 33% tiempo-en-mercado, obtienes 8.68% del potencial alcista del activo, y 54.62% del potencial bajista del activo.
Buy at opening candle range breakout: entrar en una posición cuando
All of the following: # Papa 10min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: salir de una posición cuando
All of the following: # X-ray 10min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ PLTR • 10 Minutes (38.1%) explicado por Alex C
Alex C
AutorThe backtest results show some interesting patterns, but I am not completely convinced about its robustness. Let me explain why.
The strategy shows decent win rate of 58% with almost equal average win and loss sizes (1.65% vs -1.68%). This creates nearly neutral risk/reward ratio of 0.98, which is not optimal - we typically want to see R/R above 1.5 for more safety margin. The good thing is win rate leeway of 57.49%, meaning strategy has good buffer above break-even point. However, the total return of 38.1% significantly underperforms buy & hold return of 439% - this is concerning since we want our active strategy to beat passive holding.
Looking at risk metrics, Sharpe ratio of 1.66 and Sortino of 2.14 are acceptable but not outstanding. The max drawdown of 25.4% is quite high for such moderate returns. The trading frequency of 0.8 trades per day seems reasonable - not too frequent to generate excessive fees but enough trades (141 total) to have statistical significance. What worries me most is the low market exposure of just 33.4% - this suggests strategy misses lot of upside moves while still taking on significant drawdown risk. I would recommend optimizing entry/exit rules to increase time in market while maintaining win rate.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en PLTR • 10 Minutes
| Total de Operaciones | 141 | Beneficio Neto | 38.1% | Beneficio Compra y Mantén | 439.0% |
| Tasa de Ganancia | 58% | Ratio Riesgo/Recompensa | 0.98 | Máximo Drawdown | -25.4% |
| Máximo Drawdown del Activo | -46.5% | Exposición | 33.4% | Promedio de Velas en Posición | 22.7 |
| Ratio de Sharpe | 1.66 | Ratio de Sortino | 2.14 | Volatilidad Realizada | 25.41% |
| Racha Máxima de Ganancia | 8 | Racha Promedio de Ganancia | 2.4 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 1.7 | Promedio de Operaciones por Mes | 22.6 | Promedio de Operaciones por Día | 0.8 |
| Desv. Est. del Retorno | 2.3 | Desv. Est. de la Pérdida | 2.0 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | 0.2 | Beta | 0.15 |
Todos los backtests para Buy at opening candle range breakout
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
BTCUSDT • 10 Minutes | 15% | (1.0%/4.2%) 0.24x | (-4.6%/-11.1%) 0.41x | 56 | 0.9 |
EURUSD • 10 Minutes | 22% | (0.8%/2.1%) 0.38x | (-1.7%/-3.6%) 0.47x | 87 | 0.2 |
GLD • 10 Minutes | 24% | (0.8%/39.2%) 0.02x | (-2.6%/-8.3%) 0.31x | 60 | 0.7 |
NVDA • 10 Minutes | 32% | (25.9%/41.7%) 0.62x | (-15.6%/-42.8%) 0.36x | 54 | 1.1 |
PLTR • 10 Minutes | 33% | (38.1%/439.0%) 0.09x | (-25.4%/-46.5%) 0.55x | 58 | 1.0 |
SPY • 10 Minutes | 22% | (16.4%/12.3%) 1.33x | (-5.5%/-20.7%) 0.27x | 68 | 0.8 |
TSLA • 10 Minutes | 29% | (-7.9%/23.0%) -0.34x | (-34.7%/-55.3%) 0.63x | 60 | 0.7 |
WMT • 10 Minutes | 32% | (13.3%/40.0%) 0.33x | (-9.1%/-23.8%) 0.38x | 63 | 0.8 |
BTCUSDT • 15 Minutes | 20% | (2.3%/33.4%) 0.07x | (-7.2%/-12.0%) 0.60x | 52 | 1.1 |
EURUSD • 15 Minutes | 27% | (3.9%/8.2%) 0.48x | (-1.4%/-4.3%) 0.33x | 83 | 0.3 |
GLD • 15 Minutes | 31% | (4.0%/66.4%) 0.06x | (-4.4%/-8.3%) 0.53x | 59 | 0.8 |
NVDA • 15 Minutes | 34% | (69.7%/211.7%) 0.33x | (-10.1%/-42.8%) 0.24x | 57 | 1.2 |
PLTR • 15 Minutes | 33% | (124.3%/846.9%) 0.15x | (-14.3%/-46.5%) 0.31x | 56 | 1.4 |
SPY • 15 Minutes | 24% | (13.3%/31.8%) 0.42x | (-4.4%/-21.1%) 0.21x | 62 | 0.8 |
TSLA • 15 Minutes | 27% | (16.3%/41.6%) 0.39x | (-20.0%/-55.6%) 0.36x | 56 | 0.9 |
WMT • 15 Minutes | 33% | (27.2%/83.0%) 0.33x | (-4.9%/-23.8%) 0.21x | 64 | 0.9 |
BTCUSDT • 30 Minutes | 21% | (-3.7%/14.3%) -0.26x | (-20.8%/-31.2%) 0.67x | 57 | 0.7 |
EURUSD • 30 Minutes | 35% | (-1.1%/5.7%) -0.19x | (-5.2%/-7.4%) 0.70x | 75 | 0.3 |
GLD • 30 Minutes | 34% | (11.1%/87.3%) 0.13x | (-6.9%/-11.8%) 0.58x | 55 | 1.0 |
NVDA • 30 Minutes | 34% | (58.6%/1089.5%) 0.05x | (-29.2%/-42.9%) 0.68x | 54 | 1.1 |
PLTR • 30 Minutes | 30% | (19.4%/1516.1%) 0.01x | (-41.6%/-48.4%) 0.86x | 54 | 0.9 |
SPY • 30 Minutes | 35% | (18.1%/65.6%) 0.28x | (-6.8%/-20.2%) 0.34x | 63 | 0.7 |
TSLA • 30 Minutes | 29% | (62.0%/33.8%) 1.83x | (-20.9%/-67.1%) 0.31x | 56 | 1.0 |
WMT • 30 Minutes | 32% | (32.0%/138.6%) 0.23x | (-6.5%/-23.8%) 0.27x | 58 | 1.1 |
BTCUSDT • 5 Minutes | 18% | (2.2%/5.7%) 0.39x | (-2.1%/-8.9%) 0.24x | 64 | 1.0 |
EURUSD • 5 Minutes | 23% | (0.7%/0.8%) 0.87x | (-0.7%/-3.7%) 0.19x | 88 | 0.2 |
GLD • 5 Minutes | 23% | (-3.0%/21.5%) -0.14x | (-7.3%/-8.0%) 0.91x | 61 | 0.5 |
NVDA • 5 Minutes | 29% | (14.6%/42.5%) 0.34x | (-9.3%/-38.8%) 0.24x | 61 | 0.9 |
PLTR • 5 Minutes | 26% | (18.3%/95.6%) 0.19x | (-14.7%/-46.6%) 0.32x | 55 | 1.1 |
SPY • 5 Minutes | 14% | (5.4%/3.4%) 1.59x | (-4.0%/-21.1%) 0.19x | 61 | 0.9 |
TSLA • 5 Minutes | 21% | (47.4%/-22.2%) -2.14x | (-7.1%/-48.5%) 0.15x | 68 | 0.9 |
WMT • 5 Minutes | 27% | (12.5%/1.2%) 10.42x | (-4.8%/-23.8%) 0.20x | 63 | 0.9 |