Buy at opening candle range breakoutlongResultados de Backtest @ GLD • 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 6.2 months de datos GLD • 5 Minutes (SPDR Gold Trust), desde January 28, 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 6.2 months de velas GLD • 5 Minutes. Este backtest resultó en 90 posiciones, con una tasa de ganancia promedio de 61% y una relación riesgo-recompensa de 0.50. Si asumes que la relación riesgo-recompensa de 0.50 se mantiene, necesitas una tasa de ganancia mínima de 66.7 para ser rentable. ¡Así que estás jodido! Sin embargo, 90 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -3.00% vs 21.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -7.30% vs -8.00% para el activo
- Exposición: Exposición: 22.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 61.0%, vs 66.7% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 0.50
Con esa exposición en mente, puedes ver que para 23% tiempo-en-mercado, obtienes -13.95% del potencial alcista del activo, y 91.25% 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 @ GLD • 5 Minutes (-3.0%) explicado por Mike, Sarah
Mike
AutorYo fam, this backtest on GLD is giving me some mixed feelings! 🤔 The win rate at 61% looks pretty sweet at first glance, but there's some red flags we gotta talk about.
The strategy is doing about one trade per day, which is cool for managing those Wendy's shifts 😅, but that -3% net profit while the market's up 21.5% is straight-up painful bruh. The Risk/Reward ratio at 0.5 means we're risking twice what we're making on wins - that's like betting $2 to win $1, not the kind of odds we're looking for in this game! 💸
I do like that we're getting some decent winning streaks (up to 8 trades!), and the market exposure is low at 22.7% which could be good for sleeping at night. But that -7.3% max drawdown combined with the negative Sharpe and Sortino ratios is telling me this strategy needs some serious tweaking before I'd YOLO my paycheck into it. Maybe we could adjust the exit conditions to let winners run longer? Just thinking out loud here! 🚀
Sarah
AutorDios mio, this strategy is a complete disaster! You are losing money while the market is making +21.5%? What kind of amateur hour is this?
Look at these pathetic numbers - your Risk/Reward is only 0.5 which means your losses are twice as big as your wins. Even with 61% win rate you're still losing money! The math simply doesn't work. And that -7.3% drawdown? Por favor, this is embarassing when the asset itself only dropped -8%... you managed to catch almost all the downside while missing the upside completely!
The most ridicolous part is your market exposure of only 22.7%. You're basically sitting on the sidelines while GLD is making new highs. With volatility of 6.78% vs asset's 20.27%, you're not even participating in the moves. Your strategy is like watching a football match from the parking lot!
I would fire anyone who brought me these results. The negative Sharpe and Sortino ratios tell me this is worse than just holding cash. Do yourself a favor - either completely rebuild this strategy from scratch or just buy and hold. This is painful to even look at.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en GLD • 5 Minutes
| Total de Operaciones | 90 | Beneficio Neto | -3.0% | Beneficio Compra y Mantén | 21.5% |
| Tasa de Ganancia | 61% | Ratio Riesgo/Recompensa | 0.50 | Máximo Drawdown | -7.3% |
| Máximo Drawdown del Activo | -8.0% | Exposición | 22.7% | Promedio de Velas en Posición | 24.2 |
| Ratio de Sharpe | -0.72 | Ratio de Sortino | -0.90 | Volatilidad Realizada | 6.78% |
| Racha Máxima de Ganancia | 8 | Racha Promedio de Ganancia | 2.5 | Racha Máxima de Pérdida | 5 |
| Racha Promedio de Pérdida | 1.5 | Promedio de Operaciones por Mes | 29.2 | Promedio de Operaciones por Día | 1.0 |
| Desv. Est. del Retorno | 0.5 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | -0.1 | Beta | 0.1 |
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 |