Range breakoutlongResultados de Backtest @ BTCUSDT • 1 Minute
Esta estrategia entra una vez que la acción del precio rompe el rango de las últimas 20 velas, acompañada de un volumen de negociación elevado. Sale una vez que el precio cierra por debajo de una SMA(20). La idea es seguir las tendencias, aprovechando el impulso confirmado por el volumen.
Curva de Equidad
El backtest cubre 7 days de datos BTCUSDT • 1 Minute (Bitcoin vs Tether, Binance US), desde July 19, 2025 hasta July 25, 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 Range breakout en 7 days de velas BTCUSDT • 1 Minute. Este backtest resultó en 114 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 1.27. Si asumes que la relación riesgo-recompensa de 1.27 se mantiene, necesitas una tasa de ganancia mínima de 44.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.40% vs -0.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.30% vs -4.50% para el activo
- Exposición: Exposición: 25.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 44.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.27
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes -80.00% del potencial alcista del activo, y 51.11% del potencial bajista del activo.
Range breakout: entrar en una posición cuando
All of the following: # Papa
1min Chart(high) > 1min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
1min Relative Volume (20, SMA, 1) > 1.5Range breakout: salir de una posición cuando
All of the following: # Delta 1min Chart(close) < 1min Range (20, 0), Middle
Range breakout @ BTCUSDT • 1 Minute (0.4%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results look quite interessant from mathematical perspective. The strategy shows some promising characteristics, but also has some concerns I must point out.
First the positives: The strategy achieves a 0.4% net profit against a -0.5% buy & hold, which means it outperforms the market in this timeframe. The risk/reward ratio of 1.27 is acceptable, and most importantly, the win rate of 46% is comfortably above the minimal sufficient win rate of 44.1%. This gives us a good win rate leeway of about 4.5%, which provides some statistical buffer.
However, I have concerns about the high frequency of trades - 38 trades per day is very much and makes the strategy susceptible to death by thousand cuts through fees, which I dont see accounted for in these metrics. Also, the max drawdown of -2.3% relative to only 0.4% net profit is not optimal from risk management perspective. The short average hold time of 11.7 candles combined with such high trade frequency suggests the strategy might be overreacting to noise rather than catching real movements.
I would suggest to try increase the volume threshold from 1.5 to maybe 2.0 or 2.5 to reduce false signals, and maybe add some additional filters to reduce the number of trades while maintaining the positive expectancy. But the basic idea looks not completely terrible.
Mike
AutorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break it down for my fellow degens.
First off, we're beating the market here - strategy's up 0.4% while buy & hold is down 0.5%. That's already a W! The strategy's making moves with 114 trades in just a week, which is pretty active. I'm loving that 1.27 risk/reward ratio and the fact we're running with a 46% win rate when we only need 44.1% to break even. That's some sweet margin of safety right there! 💪
The drawdown is looking controlled at -2.3% (way better than the market's -4.5%), and we're only exposed to the market about 26% of the time. That means we're not bagholding through the rough patches. The average trade duration is just 11.7 minutes - perfect for scalping those quick gains! The losing streaks aren't too scary either, maxing out at 7 while winners can string together 6 in a row.
This could be a solid strategy for us Wendy's warriors to stack some tendies! Just gotta keep those position sizes reasonable and maybe even consider scaling in during those winning streaks. Not financial advice though - I'm just a dude behind the fry station dreaming big! 🍗📈
Sarah
AutorMadre mía, this backtest shows some serious problems! The strategy is like throwing spaghetti at the wall hoping something sticks.
38 trades per day? Are you trying to make your broker rich with fees? This hyperactive trading style is typically a recipe for disaster, especially in crypto where spreads and fees can eat you alive. The 0.4% net profit is pathetic considering the risk you're taking - you might as well put your money under your pillow!
The win rate is barely above the minimal sufficient rate - just 1.9% difference. That's walking on very thin ice, mi amigo! One small change in market conditions and your strategy goes *poof*. And that 25.9% market exposure? It's like you're scared of the market! Either commit properly or go home.
The most alarming thing is those streaks - 7 consecutive losses? Dios mío! With such tight margins, this could absolutely destroy your account if you're not careful with position sizing. And don't even get me started on those NaN values in your risk metrics - it's like driving blindfolded!
Look, if you want to throw away money, there are faster ways to do it. This strategy needs serious work before it's even remotely considerable for real trading.
Métricas tabulares de Range breakout sometido a backtest en BTCUSDT • 1 Minute
| Total de Operaciones | 114 | Beneficio Neto | 0.4% | Beneficio Compra y Mantén | -0.5% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 1.27 | Máximo Drawdown | -2.3% |
| Máximo Drawdown del Activo | -4.5% | Exposición | 25.9% | Promedio de Velas en Posición | 11.7 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.0 | Promedio de Operaciones por Mes | 1140.0 | Promedio de Operaciones por Día | 38.0 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | 0.0 | Beta | 0.21 |
Todos los backtests para Range breakout
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
BTCUSDT • 1 Minute | 26% | (0.4%/-0.5%) -0.80x | (-2.3%/-4.5%) 0.51x | 46 | 1.3 |
EURUSD • 1 Minute | 22% | (-0.5%/0.9%) -0.56x | (-0.6%/-0.7%) 0.86x | 22 | 2.8 |
GLD • 1 Minute | 32% | (0.6%/-1.4%) -0.43x | (-1.9%/-4.1%) 0.46x | 38 | 1.8 |
NVDA • 1 Minute | 25% | (7.8%/20.4%) 0.38x | (-3.7%/-5.3%) 0.70x | 34 | 3.0 |
PLTR • 1 Minute | 28% | (1.3%/15.0%) 0.09x | (-5.4%/-12.9%) 0.42x | 36 | 1.9 |
SPY • 1 Minute | 32% | (1.6%/6.6%) 0.24x | (-1.1%/-1.5%) 0.73x | 35 | 2.4 |
TSLA • 1 Minute | 26% | (0.7%/-0.2%) -3.50x | (-12.8%/-19.2%) 0.67x | 35 | 1.9 |
WMT • 1 Minute | 31% | (-0.5%/3.3%) -0.15x | (-3.2%/-5.1%) 0.63x | 32 | 2.0 |
BTCUSDT • 10 Minutes | 33% | (10.5%/14.3%) 0.73x | (-4.9%/-12.1%) 0.40x | 36 | 2.4 |
EURUSD • 10 Minutes | 23% | (1.1%/1.8%) 0.61x | (-1.2%/-4.3%) 0.28x | 39 | 1.8 |
GLD • 10 Minutes | 38% | (9.4%/35.8%) 0.26x | (-5.4%/-8.3%) 0.65x | 37 | 2.2 |
NVDA • 10 Minutes | 30% | (19.8%/37.4%) 0.53x | (-28.5%/-42.8%) 0.67x | 46 | 1.4 |
PLTR • 10 Minutes | 31% | (43.5%/467.7%) 0.09x | (-32.3%/-46.5%) 0.69x | 40 | 1.9 |
SPY • 10 Minutes | 33% | (5.1%/13.1%) 0.39x | (-9.7%/-20.7%) 0.47x | 39 | 1.8 |
TSLA • 10 Minutes | 28% | (30.7%/25.4%) 1.21x | (-21.4%/-55.3%) 0.39x | 40 | 1.9 |
WMT • 10 Minutes | 32% | (23.2%/39.5%) 0.59x | (-5.3%/-23.8%) 0.22x | 41 | 2.1 |
BTCUSDT • 1 Hour | 34% | (0.5%/70.3%) 0.01x | (-18.7%/-30.6%) 0.61x | 34 | 2.0 |
EURUSD • 1 Hour | 30% | (1.6%/7.1%) 0.23x | (-6.8%/-9.0%) 0.76x | 34 | 2.1 |
GLD • 1 Hour | 38% | (39.3%/122.5%) 0.32x | (-19.5%/-22.2%) 0.88x | 39 | 2.2 |
NVDA • 1 Hour | 44% | (555.6%/3243.4%) 0.17x | (-52.5%/-68.0%) 0.77x | 46 | 2.1 |
PLTR • 1 Hour | 38% | (449.7%/1466.7%) 0.31x | (-56.3%/-86.6%) 0.65x | 43 | 2.4 |
SPY • 1 Hour | 36% | (28.0%/107.0%) 0.26x | (-17.4%/-35.1%) 0.50x | 40 | 2.0 |
TSLA • 1 Hour | 39% | (1353.0%/1305.7%) 1.04x | (-40.8%/-75.1%) 0.54x | 39 | 3.1 |
WMT • 1 Hour | 33% | (60.9%/145.2%) 0.42x | (-15.7%/-26.9%) 0.58x | 39 | 2.4 |
BTCUSDT • Daily | 35% | (549.0%/1346.8%) 0.41x | (-54.7%/-76.6%) 0.71x | 47 | 3.3 |
GLD • Daily | 32% | (83.3%/592.8%) 0.14x | (-21.7%/-45.3%) 0.48x | 48 | 1.8 |
NVDA • Daily | 32% | (6469.1%/396269.9%) 0.02x | (-55.8%/-90.0%) 0.62x | 50 | 2.7 |
SPY • Daily | 22% | (90.1%/1344.4%) 0.07x | (-15.9%/-56.7%) 0.28x | 49 | 2.3 |
TSLA • Daily | 30% | (2791.1%/24273.6%) 0.11x | (-42.7%/-75.0%) 0.57x | 42 | 4.8 |
WMT • Daily | 30% | (30.4%/10116.3%) 0.00x | (-67.6%/-50.6%) 1.34x | 39 | 1.8 |