Buy at opening candle range breakoutlongResultados de Backtest @ BTCUSDT • 15 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 105 days de datos BTCUSDT • 15 Minutes (Bitcoin vs Tether, Binance US), desde April 19, 2025 hasta August 2, 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 105 days de velas BTCUSDT • 15 Minutes. Este backtest resultó en 81 posiciones, con una tasa de ganancia promedio de 52% y una relación riesgo-recompensa de 1.06. Si asumes que la relación riesgo-recompensa de 1.06 se mantiene, necesitas una tasa de ganancia mínima de 48.5 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 81 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 2.30% vs 33.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -7.20% vs -12.00% para el activo
- Exposición: Exposición: 19.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 52.0%, vs 48.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.06
Con esa exposición en mente, puedes ver que para 20% tiempo-en-mercado, obtienes 6.89% del potencial alcista del activo, y 60.00% del potencial bajista del activo.
Buy at opening candle range breakout: entrar en una posición cuando
All of the following: # Papa 15min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: salir de una posición cuando
All of the following: # X-ray 15min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ BTCUSDT • 15 Minutes (2.3%) explicado por Sarah
Sarah
AutorMadre de Dios, this strategy is absolute garbage! Let me tell you why, and please don't get offended because I'm trying to save you from losing your dinero.
First of all, 2.3% net profit over 105 days while the market went up 33.4%? That's embarrasingly bad! You would have made mucho más money by simply buying and holding. The strategy is essentially fighting against a bullish trend and losing badly. And with a market exposure of only 19.9%, you're missing most of the good moves!
The win rate of 52% with a risk/reward ratio of 1.06 is mediocre at best. Yes, you have some "leeway" above minimal win rate, but who cares when your average wins are tiny 0.49% while your losses are -0.46%? You're basically playing to break even! And that negative Sharpe ratio of -0.36 tells me this strategy is producing worse risk-adjusted returns than holding cash.
Look, I've seen many bad strategies in my career, but this one is especialmente terrible because it manages to lose money in a strong uptrend. The -7.2% drawdown is the cherry on top of this disaster cake. Do yourself a favor - either completely redesign this strategy or throw it in la basura where it belongs.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en BTCUSDT • 15 Minutes
| Total de Operaciones | 81 | Beneficio Neto | 2.3% | Beneficio Compra y Mantén | 33.4% |
| Tasa de Ganancia | 52% | Ratio Riesgo/Recompensa | 1.06 | Máximo Drawdown | -7.2% |
| Máximo Drawdown del Activo | -12.0% | Exposición | 19.9% | Promedio de Velas en Posición | 23.6 |
| Ratio de Sharpe | -0.36 | Ratio de Sortino | 0.68 | Volatilidad Realizada | 13.13% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 2.1 | Racha Máxima de Pérdida | 5 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 46.3 | Promedio de Operaciones por Día | 1.5 |
| Desv. Est. del Retorno | 0.8 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.8 |
| Expectativa | 0.1 | Beta | 0.19 |
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 |