Range breakoutlongResultados de Backtest @ GLD • 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 38 days de datos GLD • 1 Minute (SPDR Gold Trust), desde June 17, 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 38 days de velas GLD • 1 Minute. Este backtest resultó en 191 posiciones, con una tasa de ganancia promedio de 38% y una relación riesgo-recompensa de 1.80. Si asumes que la relación riesgo-recompensa de 1.80 se mantiene, necesitas una tasa de ganancia mínima de 35.7 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.60% vs -1.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.90% vs -4.10% para el activo
- Exposición: Exposición: 31.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 38.0%, vs 35.7% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.80
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes -42.86% del potencial alcista del activo, y 46.34% 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 @ GLD • 1 Minute (0.6%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest shows some interesting properties, but I am not fully convinced. While the strategy shows a positive net profit of 0.6% against a negative buy & hold of -1.4%, there are some concerns I have from mathematical perspective.
The high frequency of trades (10.1 per day) combined with the relatively low win rate of 38% would normally be problematic. However, the risk/reward ratio of 1.8 compensates for this, resulting in a positive expectancy of 0.1. This matches with the win rate leeway being healthy at 37.64% above minimal required - this is actually quite good from statistical viewpoint.
What worries me though is the market exposure of 31.8% and the average holding time of 15.6 candles. For a 1-minute chart strategy, this seems too long. Also the max drawdown of -1.9% is significant given the small overall profit. I would want to see more data beyond 38 days to validate if these metrics are stable. The missing volatility and correlation metrics (showing as NaN) make it harder to properly evaluate the risk characteristics. Before real trading, I would suggest to optimize the exit conditions to reduce average holding time and collect more backtest data.
Mike
AutorYo fam, this Range Breakout strategy on GLD is looking pretty juicy! 🚀 The numbers are giving me some serious hopium vibes, especially that sweet 1.8 Risk/Reward ratio!
The strategy is doing about 10 trades a day, which is perfect for someone like me working the Wendy's shift - I can actually keep up with that! Love how it beat the market too, giving us 0.6% while buy & hold was down -1.4%. That's some alpha right there! 💪 The max drawdown is only -1.9%, which means I won't have to explain to my manager why I'm crying in the break room.
The win rate at 38% might look low to some paper hands, but check this out - we only needed 35.7% to break even! That's a solid safety margin right there. Plus, with those juicy winners being almost twice the size of the losers, we're building that account steadily. Might not be a lambo tomorrow, but it's honest work! 🔥 Just gotta stay diamond hands through those 9-trade losing streaks when they come! NFA but I'm pretty hyped about these results!
Sarah
AutorThese numbers are not completely terrible, but they show serious weaknesses that make me question if you really know what you're doing. Let me point out the obvios problems here.
First, your win rate is pathetically low at 38%. Even though you have a decent R/R ratio of 1.8, trading with such a low win rate is going to be psychologically challenging. Most traders would lose their mind seeing 6 out of 10 trades going against them.
The max losing streak of 9 trades is another red flag. Have you considered how much capital you need to survive such drawdowns? And let's not even talk about the average losing streak of 2.5 trades - that's going to be mentally exhausting.
The only thing saving this strategy from being complete garbage is the positive expectancy of 0.1 and the fact that you're beating buy & hold by 2%. But honestly, with 191 trades in just 38 days, the transaction costs would probably eat most of your profits in real trading.
I must say though, the market exposure of 31.8% is actually decent - at least you're not constantly exposed to market risks like most amateur strategies. But overall, this needs serious work before it's worth real money.
Métricas tabulares de Range breakout sometido a backtest en GLD • 1 Minute
| Total de Operaciones | 191 | Beneficio Neto | 0.6% | Beneficio Compra y Mantén | -1.4% |
| Tasa de Ganancia | 38% | Ratio Riesgo/Recompensa | 1.80 | Máximo Drawdown | -1.9% |
| Máximo Drawdown del Activo | -4.1% | Exposición | 31.8% | Promedio de Velas en Posición | 15.6 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 301.6 | Promedio de Operaciones por Día | 10.1 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.2 |
| Expectativa | 0.1 | Beta | 0.26 |
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 |