Range breakoutlongResultados de Backtest @ PLTR • 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 PLTR • 1 Minute (Palantir Technologies Inc.), 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 PLTR • 1 Minute. Este backtest resultó en 181 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 1.85. Si asumes que la relación riesgo-recompensa de 1.85 se mantiene, necesitas una tasa de ganancia mínima de 35.1 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.30% vs 15.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -5.40% vs -12.90% para el activo
- Exposición: Exposición: 27.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 35.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.85
Con esa exposición en mente, puedes ver que para 28% tiempo-en-mercado, obtienes 8.67% del potencial alcista del activo, y 41.86% 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 @ PLTR • 1 Minute (1.3%) explicado por Alex C
Alex C
AutorThe backtest results show some interesting patterns, but I am not completely convinced about this strategy. Even though the Win Rate Leeway looks good at first glance, there are some critical issues I see here.
First thing that catches my attention is the big gap between strategy profit (1.3%) and buy & hold (15%). This is not good at all, especially considering the relatively high market exposure of 27.7%. Also the win rate of 36% is quite problematic, even though it is above the minimal sufficient rate. What worries me most is the combination of high trade frequency (9.5 trades per day) and the long losing streaks of up to 9 trades. This could be very challenging psychologically, even if you trade with perfect discipline.
The risk metrics are showing some NaN values which makes proper risk assessment difficult - this is a red flag for me as a quantitative analyst. The max drawdown of -5.4% is actually not too bad compared to the asset drawdown of -12.9%, but with such low overall returns, the risk-adjusted performance is questionable. I would suggest to either modify the entry conditions to be more selective, or maybe try this on a different timeframe where the signal-to-noise ratio could be better.
Métricas tabulares de Range breakout sometido a backtest en PLTR • 1 Minute
| Total de Operaciones | 181 | Beneficio Neto | 1.3% | Beneficio Compra y Mantén | 15.0% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 1.85 | Máximo Drawdown | -5.4% |
| Máximo Drawdown del Activo | -12.9% | Exposición | 27.7% | Promedio de Velas en Posición | 14.3 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 285.8 | Promedio de Operaciones por Día | 9.5 |
| Desv. Est. del Retorno | 0.4 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.4 |
| Expectativa | 0.0 | Beta | 0.23 |
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 |