Buy at opening candle range breakoutlongResultados de Backtest @ PLTR • 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 PLTR • 5 Minutes (Palantir Technologies Inc.), 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 PLTR • 5 Minutes. Este backtest resultó en 80 posiciones, con una tasa de ganancia promedio de 55% y una relación riesgo-recompensa de 1.07. Si asumes que la relación riesgo-recompensa de 1.07 se mantiene, necesitas una tasa de ganancia mínima de 48.3 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 80 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 18.30% vs 95.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -14.70% vs -46.60% para el activo
- Exposición: Exposición: 26.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 55.0%, vs 48.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.07
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes 19.14% del potencial alcista del activo, y 31.55% 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 @ PLTR • 5 Minutes (18.3%) explicado por Alex C
Alex C
AutorThe backtest shows some interessant metrics, but I'm not fully convinced about the strategy. Let me tell you why I think so.
The win rate of 55% combined with a risk/reward ratio of 1.07 is technically viable, since it's above the minimal sufficient win rate of 48.3%. However, the strategy significantly underperforms the buy & hold approach (18.3% vs 95.6%). This is a big red flag, especially considering we're talking about PLTR which is known for its volatility. The market exposure of 26% suggests the strategy misses lot of the upside moves.
What I find more concerning is the drawdown metrics. A -14.7% drawdown for a strategy that only makes 18.3% total return is not optimal - that's almost like losing all your gains in one bad period. The Sharpe ratio of 1.81 and Sortino of 2.65 are actually quite decent, but I suspect this comes from the low market exposure rather than good trade selection. The strategy produces about 1 trade per day which is reasonable for risk management, but maybe to conservative for such a volatile asset.
I would suggest to try optimizing the entry conditions to catch more of the upside moves. Maybe look at adjusting the opening range parameters or add additional confirmation signals. The mathematical framework is solid, but the implementation needs work to be competitive with simpler approaches.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en PLTR • 5 Minutes
| Total de Operaciones | 80 | Beneficio Neto | 18.3% | Beneficio Compra y Mantén | 95.6% |
| Tasa de Ganancia | 55% | Ratio Riesgo/Recompensa | 1.07 | Máximo Drawdown | -14.7% |
| Máximo Drawdown del Activo | -46.6% | Exposición | 26.0% | Promedio de Velas en Posición | 31.5 |
| Ratio de Sharpe | 1.81 | Ratio de Sortino | 2.65 | Volatilidad Realizada | 29.21% |
| Racha Máxima de Ganancia | 8 | Racha Promedio de Ganancia | 2.4 | Racha Máxima de Pérdida | 5 |
| Racha Promedio de Pérdida | 2.0 | Promedio de Operaciones por Mes | 25.9 | Promedio de Operaciones por Día | 0.9 |
| Desv. Est. del Retorno | 2.4 | Desv. Est. de la Pérdida | 1.0 | Desv. Est. de la Ganancia | 1.9 |
| Expectativa | 0.1 | Beta | 0.11 |
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 |