Buy at opening candle range breakoutlongResultados de Backtest @ SPY • 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 SPY • 5 Minutes (SPDR S&P 500), 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 SPY • 5 Minutes. Este backtest resultó en 99 posiciones, con una tasa de ganancia promedio de 61% y una relación riesgo-recompensa de 0.95. Si asumes que la relación riesgo-recompensa de 0.95 se mantiene, necesitas una tasa de ganancia mínima de 51.3 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 99 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 5.40% vs 3.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -4.00% vs -21.10% para el activo
- Exposición: Exposición: 14.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 61.0%, vs 51.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 0.95
Con esa exposición en mente, puedes ver que para 14% tiempo-en-mercado, obtienes 158.82% del potencial alcista del activo, y 18.96% 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 @ SPY • 5 Minutes (5.4%) explicado por Alex C
Alex C
AutorThe backtest results show some interesting metrics, but I am not totally convinced. While the win rate of 61% looks decent, the risk/reward ratio of 0.95 is not optimal - we typically want to see this above 1.2 for reliable profitability.
The strategy shows low market exposure at 14.1% which is good for risk management, but the Sharpe ratio of 0.28 indicates poor risk-adjusted returns. The max drawdown of -4% is acceptable, but when combined with only 5.4% total profit over 6.2 months, the mathematical efficiency is questionable. The beta of 0.23 suggests low correlation to market movements, which could be positive for diversification purposes.
What concerns me most is the inconsistency across time periods - we see positive 6-month performance but negative 3-month returns. This volatility in results makes me skeptical about the strategy's statistical robustness. While the win rate leeway looks impressive, I would need to see more data points and longer testing period before considering this strategy mathematically valid. Perhaps some parameter optimization could improve the risk/reward characteristics.
Métricas tabulares de Buy at opening candle range breakout sometido a backtest en SPY • 5 Minutes
| Total de Operaciones | 99 | Beneficio Neto | 5.4% | Beneficio Compra y Mantén | 3.4% |
| Tasa de Ganancia | 61% | Ratio Riesgo/Recompensa | 0.95 | Máximo Drawdown | -4.0% |
| Máximo Drawdown del Activo | -21.1% | Exposición | 14.1% | Promedio de Velas en Posición | 13.3 |
| Ratio de Sharpe | 0.28 | Ratio de Sortino | 0.46 | Volatilidad Realizada | 6.48% |
| Racha Máxima de Ganancia | 9 | Racha Promedio de Ganancia | 2.4 | Racha Máxima de Pérdida | 3 |
| Racha Promedio de Pérdida | 1.5 | Promedio de Operaciones por Mes | 32.1 | Promedio de Operaciones por Día | 1.1 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.7 |
| Expectativa | 0.2 | Beta | 0.23 |
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 |