Buy at opening candle range breakoutlongResultados de Backtest @ WMT • 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 WMT • 30 Minutes (Walmart Inc.), 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 WMT • 30 Minutes. Este backtest resultó en 344 posiciones, con una tasa de ganancia promedio de 58% y una relación riesgo-recompensa de 1.05. Si asumes que la relación riesgo-recompensa de 1.05 se mantiene, necesitas una tasa de ganancia mínima de 48.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 32.00% vs 138.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -6.50% vs -23.80% para el activo
- Exposición: Exposición: 32.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 58.0%, vs 48.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.05
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 23.09% del potencial alcista del activo, y 27.31% 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 @ WMT • 30 Minutes (32.0%) explicado por Alex C
Alex C
AutorThe backtest shows some interesting metrics, but I am not fully convinced about the strategy's robustness. The win rate of 58% combined with a risk/reward ratio of 1.05 gives us positive expectancy, which is good. However, the net profit of 32% over 3.1 years significantly underperforms the buy & hold return of 138.6%.
What concerns me most is the market exposure of only 32.2%. This means the strategy sits in cash most of the time, which explains the underperformance. The relatively low Sharpe ratio of 1.21 also indicates the risk-adjusted returns are not exceptional. One positive aspect is the max drawdown of -6.5% compared to asset's -23.8%, so the strategy does provide some downside protection.
Looking at the performance periods, there is quite some inconsistency. While the 6-month to 2-year returns look decent, the recent 1-3 month performance has been negative. This could indicate the strategy is losing its edge. I would recommend doing more robustness tests with different parameter settings before risking real money. Perhaps consider optimizing the entry/exit rules to increase market exposure while maintaining the solid win rate.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en WMT • 30 Minutes
| Total de Operaciones | 344 | Beneficio Neto | 32.0% | Beneficio Compra y Mantén | 138.6% |
| Tasa de Ganancia | 58% | Ratio Riesgo/Recompensa | 1.05 | Máximo Drawdown | -6.5% |
| Máximo Drawdown del Activo | -23.8% | Exposición | 32.2% | Promedio de Velas en Posición | 8.4 |
| Ratio de Sharpe | 1.21 | Ratio de Sortino | 1.16 | Volatilidad Realizada | 6.30% |
| Racha Máxima de Ganancia | 11 | Racha Promedio de Ganancia | 2.7 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 18.4 | Promedio de Operaciones por Día | 0.6 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.5 |
| Expectativa | 0.2 | Beta | 0.12 |
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 |