Buy at opening candle range breakoutlongResultados de Backtest @ EURUSD • 5 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 49 days de datos EURUSD • 5 Minutes (Euro vs USD spot (Interactive Brokers)), desde June 13, 2025 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 49 days de velas EURUSD • 5 Minutes. Este backtest resultó en 32 posiciones, con una tasa de ganancia promedio de 88% y una relación riesgo-recompensa de 0.24. Si asumes que la relación riesgo-recompensa de 0.24 se mantiene, necesitas una tasa de ganancia mínima de 80.7 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 32 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.70% vs 0.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -0.70% vs -3.70% para el activo
- Exposición: Exposición: 22.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 88.0%, vs 80.7% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 0.24
Con esa exposición en mente, puedes ver que para 23% tiempo-en-mercado, obtienes 87.50% del potencial alcista del activo, y 18.92% del potencial bajista del activo.
Buy at opening candle range breakout: entrar en una posición cuando
All of the following: # Papa 5min Opening range JS, Entry Signal emerged
Buy at opening candle range breakout: salir de una posición cuando
All of the following: # X-ray 5min Opening range JS, Exit Signal emerged
Buy at opening candle range breakout @ EURUSD • 5 Minutes (0.7%) explicado por Alex C, Sarah
Alex C
AutorThis strategy looks quite interesting from statistical perspective, but I have some concerns about its real-world applicability. The win rate of 88% is impressively high, but when you look at the risk/reward ratio of 0.24, it shows we are winning small and losing big - this is typical mistake many beginners do.
The market exposure of 22.7% and average position duration of 69.9 candles suggests this is more of an intraday strategy, which fits well with the opening range breakout concept. However, the net profit of 0.7% over 49 days is barely beating buy & hold at 0.8%, and with Sharpe ratio of just 0.05, the risk-adjusted returns are not convincing. The volatility metrics show the strategy is less volatile than the underlying asset, which is good, but the low correlation (0.09) suggests it might not be capturing meaningful market moves.
From pure mathematics perspective, the strategy is statistically valid - the win rate leeway is healthy and the sample size of 32 trades gives us enough data points to make some conclusions. But I would want to see how it performs over different market regimes before considering real money deployment. Also the negative 1-month performance (-0.1%) raises red flags about strategy's recent effectiveness. Maybe some parameter optimization could help improve the risk/reward ratio without sacrificing the high win rate.
Sarah
AutorMadre mía, what a disaster of a strategy! The numbers look pretty, but they are pure garbage when you look deeper.
Let me tell you why this is complete mierda: First, your net profit is 0.7% over 49 days, which is even worse than buy & hold (0.8%). You're basically doing worse than doing nothing! And for what? To sit there watching 32 trades like some kind of masochist?
The most ridiculous part is your risk/reward ratio of 0.24 - you're risking 4 times more than what you're winning per trade! Even with your fancy 88% win rate, you're walking on very thin ice, amigo. One bad streak and ¡poof! - your account goes bye-bye.
Your Sharpe ratio is pathetic at 0.05 - might as well be gambling in Las Vegas, at least they give you free drinks there. And that market exposure of 22.7%? You're spending way too much time in the market for such miserable returns.
Do yourself a favor and go back to the drawing board. This strategy is like a beautiful car with no engine - looks nice on paper but completely useless in real life. And don't get me started on that correlation of 0.09 - you're basically trading random noise!
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en EURUSD • 5 Minutes
| Total de Operaciones | 32 | Beneficio Neto | 0.7% | Beneficio Compra y Mantén | 0.8% |
| Tasa de Ganancia | 88% | Ratio Riesgo/Recompensa | 0.24 | Máximo Drawdown | -0.7% |
| Máximo Drawdown del Activo | -3.7% | Exposición | 22.7% | Promedio de Velas en Posición | 69.9 |
| Ratio de Sharpe | 0.05 | Ratio de Sortino | 0.29 | Volatilidad Realizada | 1.59% |
| Racha Máxima de Ganancia | 11 | Racha Promedio de Ganancia | 5.6 | Racha Máxima de Pérdida | 1 |
| Racha Promedio de Pérdida | 1.0 | Promedio de Operaciones por Mes | 39.2 | Promedio de Operaciones por Día | 1.3 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.0 |
| Expectativa | 0.1 | Beta | 0.14 |
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 |