Buy at opening candle range breakoutlongResultados de Backtest @ NVDA • 30 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 3.1 years de datos NVDA • 30 Minutes (NVIDIA Corporation), desde July 5, 2022 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 3.1 years de velas NVDA • 30 Minutes. Este backtest resultó en 374 posiciones, con una tasa de ganancia promedio de 54% y una relación riesgo-recompensa de 1.10. Si asumes que la relación riesgo-recompensa de 1.10 se mantiene, necesitas una tasa de ganancia mínima de 47.6 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 58.60% vs 1089.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -29.20% vs -42.90% para el activo
- Exposición: Exposición: 33.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 54.0%, vs 47.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.10
Con esa exposición en mente, puedes ver que para 34% tiempo-en-mercado, obtienes 5.38% del potencial alcista del activo, y 68.07% del potencial bajista del activo.
Buy at opening candle range breakout: entrar en una posición cuando
All of the following: # Papa 30min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: salir de una posición cuando
All of the following: # X-ray 30min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ NVDA • 30 Minutes (58.6%) explicado por Alex C
Alex C
AutorThe backtest results show some concerning patterns. The strategy significantly underperforms buy-and-hold with only 58.6% profit versus 1089.5% for buy-and-hold over 3.1 years. This is quite problematic for a stock like NVDA which has been in strong uptrend.
The win rate of 54% with risk/reward of 1.10 is mathematically viable, since it needs only 47.6% to break even. However, the market exposure of 33.7% suggests the strategy misses lot of the upward moves. The average trade duration of 8 candles (4 hours) indicates this is very short-term strategy, which explains the high amount of trades - 374 total or 0.7 trades per day.
What worries me most is the degrading performance in recent periods. While 3-year CAGR is 14.4%, the 1-month performance is -28.6% CAGR. This suggests the strategy might be losing its edge or was possibly overfit to older data. The -29.2% maximum drawdown is also concerning relative to the total return. I would need to see more robust performance across different market conditions before considering this strategy viable.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en NVDA • 30 Minutes
| Total de Operaciones | 374 | Beneficio Neto | 58.6% | Beneficio Compra y Mantén | 1089.5% |
| Tasa de Ganancia | 54% | Ratio Riesgo/Recompensa | 1.10 | Máximo Drawdown | -29.2% |
| Máximo Drawdown del Activo | -42.9% | Exposición | 33.7% | Promedio de Velas en Posición | 8.0 |
| Ratio de Sharpe | 0.57 | Ratio de Sortino | 0.67 | Volatilidad Realizada | 20.96% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 1.7 | Promedio de Operaciones por Mes | 20.0 | Promedio de Operaciones por Día | 0.7 |
| Desv. Est. del Retorno | 2.5 | Desv. Est. de la Pérdida | 2.1 | Desv. Est. de la Ganancia | 2.2 |
| Expectativa | 0.1 | Beta | 0.22 |
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 |