Esta estrategia de breakout intradiario busca entrar una vez que el precio rompe por encima del mΓ‘ximo de la vela de apertura, en cualquier etapa del dΓa. Toma beneficios en el Rango de Apertura Alto + TamaΓ±o del Rango de Apertura, y tiene un stop loss en el Rango de Apertura Bajo. Nunca mantiene una posiciΓ³n durante la noche; siempre sale en la ΓΊltima vela del dΓa en caso de que no se cumplan otras condiciones de salida.
El backtest cubre 18.7 months de datos GLD β’ 15 Minutes (SPDR Gold Trust), desde January 17, 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 MantΓ©n del activo. En general, quieres que el Γ‘rea azul estΓ© bien por encima del Γ‘rea gris.
El drawdown es cuΓ‘ntas pΓ©rdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico mΓ‘s 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 Γ‘rea roja debe estar bien dentro del Γ‘rea gris.
Entonces, hemos hecho backtest de Buy at opening candle range breakout en 18.7 months de velas GLD β’ 15 Minutes.Β Este backtest resultΓ³ en 239 posiciones, con una tasa de ganancia promedio de 59% y una relaciΓ³n riesgo-recompensa de 0.79.Β Si asumes que la relaciΓ³n riesgo-recompensa de 0.79 se mantiene, necesitas una tasa de ganancia mΓnima de 55.9 para ser rentable. AsΓ que vas bien hasta ahora.Β Las mΓ©tricas clave son las siguientes:
Con esa exposiciΓ³n en mente, puedes ver que para 31% tiempo-en-mercado, obtienes 6.02% del potencial alcista del activo, y 53.01% del potencial bajista del activo.
All of the following: # Papa 15min Opening range JS, Entry Signal emerged
All of the following: # X-ray 15min Opening range JS, Exit Signal emerged
Yo fam, let me break down this backtest on GLD for you! π
Looking at these numbers, it's giving me mixed vibes tbh. The win rate is pretty solid at 59% with a decent safety margin above the minimum required - that's actually pretty sweet! And we're getting almost a trade per day, which means plenty of action to keep things interesting. The max drawdown is only -4.4% which is super manageable for our Wendy's paychecks πͺ
But here's where it gets a bit sus - the strategy only made 4% over 18.7 months while buy & hold did 66.4%! That's like ordering a Baconator and getting a plain bun π The Risk/Reward ratio being below 1 (0.79) means we're risking more than we're making on average trades, which isn't ideal for us degens who want those juicy gains.
I'd say this strategy might need some tweaking before going YOLO on it. Maybe look into adjusting the exit conditions to let winners run longer, or finding ways to cut losses quicker. The bones are there with that solid win rate, but we need more meat on them to make this worth our tendies! π Keep grinding on it fam! ππ
Madre de Dios, this strategy is absolute garbage! Let me tell you why, mi amigo, and please don't take offense - I'm doing you a favor here.
First of all, your net profit is pathetic 4% over 18.7 months while the market made 66.4%! You would have been better off sleeping through this period with a simple buy and hold approach. That's like bringing a knife to a gunfight, pero mucho peor! The market exposure of 30.7% shows you're missing most of the moves too.
Your risk metrics are embarassing - a Sharpe ratio of 0.12 and Sortino of 0.03 are basically telling us your strategy is barely better than throwing darts blindfolded. The win rate of 59% looks decent on paper, but with that terrible risk/reward ratio of 0.79, you're slowly bleeding money like a death by thousand cuts.
Listen, I don't mean to be cruel, but this strategy needs to be taken behind the shed and put out of its misery. The only positive thing I can say is that your win rate leeway is decent - but that's like complementing someone's shoelaces while their house is burning down. Back to the drawing board, amigo!
Total de Operaciones | 239 | Beneficio Neto | 4.0% | Beneficio Compra y MantΓ©n | 66.4% |
Tasa de Ganancia | 59% | Ratio Riesgo/Recompensa | 0.79 | MΓ‘ximo Drawdown | -4.4% |
MΓ‘ximo Drawdown del Activo | -8.3% | ExposiciΓ³n | 30.7% | Promedio de Velas en PosiciΓ³n | 11.8 |
Ratio de Sharpe | 0.12 | Ratio de Sortino | 0.03 | Volatilidad Realizada | 4.72% |
Racha MΓ‘xima de Ganancia | 12 | Racha Promedio de Ganancia | 2.6 | Racha MΓ‘xima de PΓ©rdida | 7 |
Racha Promedio de PΓ©rdida | 1.8 | Promedio de Operaciones por Mes | 25.5 | Promedio de Operaciones por DΓa | 0.9 |
Desv. Est. del Retorno | 0.4 | Desv. Est. de la PΓ©rdida | 0.3 | Desv. Est. de la Ganancia | 0.2 |
Expectativa | 0.1 | Beta | 0.09 |
common.strategy | exposiciΓ³n | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
---|---|---|---|---|---|
BTCUSDT β’ 10 Minutes | 15% | (1.0%/4.2%) 0.24x | (-4.6%/-11.1%) 0.41x | 56 | 0.9 |
EURUSD β’ 10 Minutes | 22% | (0.8%/2.1%) 0.38x | (-1.7%/-3.6%) 0.47x | 87 | 0.2 |
GLD β’ 10 Minutes | 24% | (0.8%/39.2%) 0.02x | (-2.6%/-8.3%) 0.31x | 60 | 0.7 |
NVDA β’ 10 Minutes | 32% | (25.9%/41.7%) 0.62x | (-15.6%/-42.8%) 0.36x | 54 | 1.1 |
PLTR β’ 10 Minutes | 33% | (38.1%/439.0%) 0.09x | (-25.4%/-46.5%) 0.55x | 58 | 1.0 |
SPY β’ 10 Minutes | 22% | (16.4%/12.3%) 1.33x | (-5.5%/-20.7%) 0.27x | 68 | 0.8 |
TSLA β’ 10 Minutes | 29% | (-7.9%/23.0%) -0.34x | (-34.7%/-55.3%) 0.63x | 60 | 0.7 |
WMT β’ 10 Minutes | 32% | (13.3%/40.0%) 0.33x | (-9.1%/-23.8%) 0.38x | 63 | 0.8 |
BTCUSDT β’ 15 Minutes | 20% | (2.3%/33.4%) 0.07x | (-7.2%/-12.0%) 0.60x | 52 | 1.1 |
EURUSD β’ 15 Minutes | 27% | (3.9%/8.2%) 0.48x | (-1.4%/-4.3%) 0.33x | 83 | 0.3 |
GLD β’ 15 Minutes | 31% | (4.0%/66.4%) 0.06x | (-4.4%/-8.3%) 0.53x | 59 | 0.8 |
NVDA β’ 15 Minutes | 34% | (69.7%/211.7%) 0.33x | (-10.1%/-42.8%) 0.24x | 57 | 1.2 |
PLTR β’ 15 Minutes | 33% | (124.3%/846.9%) 0.15x | (-14.3%/-46.5%) 0.31x | 56 | 1.4 |
SPY β’ 15 Minutes | 24% | (13.3%/31.8%) 0.42x | (-4.4%/-21.1%) 0.21x | 62 | 0.8 |
TSLA β’ 15 Minutes | 27% | (16.3%/41.6%) 0.39x | (-20.0%/-55.6%) 0.36x | 56 | 0.9 |
WMT β’ 15 Minutes | 33% | (27.2%/83.0%) 0.33x | (-4.9%/-23.8%) 0.21x | 64 | 0.9 |
BTCUSDT β’ 30 Minutes | 21% | (-3.7%/14.3%) -0.26x | (-20.8%/-31.2%) 0.67x | 57 | 0.7 |
EURUSD β’ 30 Minutes | 35% | (-1.1%/5.7%) -0.19x | (-5.2%/-7.4%) 0.70x | 75 | 0.3 |
GLD β’ 30 Minutes | 34% | (11.1%/87.3%) 0.13x | (-6.9%/-11.8%) 0.58x | 55 | 1.0 |
NVDA β’ 30 Minutes | 34% | (58.6%/1089.5%) 0.05x | (-29.2%/-42.9%) 0.68x | 54 | 1.1 |
PLTR β’ 30 Minutes | 30% | (19.4%/1516.1%) 0.01x | (-41.6%/-48.4%) 0.86x | 54 | 0.9 |
SPY β’ 30 Minutes | 35% | (18.1%/65.6%) 0.28x | (-6.8%/-20.2%) 0.34x | 63 | 0.7 |
TSLA β’ 30 Minutes | 29% | (62.0%/33.8%) 1.83x | (-20.9%/-67.1%) 0.31x | 56 | 1.0 |
WMT β’ 30 Minutes | 32% | (32.0%/138.6%) 0.23x | (-6.5%/-23.8%) 0.27x | 58 | 1.1 |
BTCUSDT β’ 5 Minutes | 18% | (2.2%/5.7%) 0.39x | (-2.1%/-8.9%) 0.24x | 64 | 1.0 |
EURUSD β’ 5 Minutes | 23% | (0.7%/0.8%) 0.87x | (-0.7%/-3.7%) 0.19x | 88 | 0.2 |
GLD β’ 5 Minutes | 23% | (-3.0%/21.5%) -0.14x | (-7.3%/-8.0%) 0.91x | 61 | 0.5 |
NVDA β’ 5 Minutes | 29% | (14.6%/42.5%) 0.34x | (-9.3%/-38.8%) 0.24x | 61 | 0.9 |
PLTR β’ 5 Minutes | 26% | (18.3%/95.6%) 0.19x | (-14.7%/-46.6%) 0.32x | 55 | 1.1 |
SPY β’ 5 Minutes | 14% | (5.4%/3.4%) 1.59x | (-4.0%/-21.1%) 0.19x | 61 | 0.9 |
TSLA β’ 5 Minutes | 21% | (47.4%/-22.2%) -2.14x | (-7.1%/-48.5%) 0.15x | 68 | 0.9 |
WMT β’ 5 Minutes | 27% | (12.5%/1.2%) 10.42x | (-4.8%/-23.8%) 0.20x | 63 | 0.9 |