Range breakoutlongResultados de Backtest @ SPY • 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 SPY • 1 Minute (SPDR S&P 500), 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 SPY • 1 Minute. Este backtest resultó en 197 posiciones, con una tasa de ganancia promedio de 35% y una relación riesgo-recompensa de 2.42. Si asumes que la relación riesgo-recompensa de 2.42 se mantiene, necesitas una tasa de ganancia mínima de 29.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.60% vs 6.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.10% vs -1.50% para el activo
- Exposición: Exposición: 32.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 35.0%, vs 29.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.42
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 24.24% del potencial alcista del activo, y 73.33% 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 @ SPY • 1 Minute (1.6%) explicado por Mike
Mike
AutorYo fam, this Range Breakout strategy is looking pretty interesting! 🚀 The numbers are giving me some mixed vibes, but there's definitely potential here.
First off, that 35% win rate might look scary, but check this out - we're actually crushing it with a 2.42 risk/reward ratio! That's what I call making our winners count 💪. We're sitting pretty with a 34.7% cushion above the minimum win rate we need, which is absolutely bonkers good. Plus, that max drawdown of only -1.1% is like, super chill for a day trading strategy.
The one thing that's got me a bit worried is that we're underperforming buy & hold (1.6% vs 6.6%). But hey, we're only exposed to the market 32% of the time, so we're actually being pretty efficient with our capital. That means we could potentially leverage this bad boy or trade multiple setups! And averaging 10 trades per day? That's perfect for us Wendy's warriors trying to stack those tendies between shifts! 🍗
Keep in mind though, this is just paper trading results from the future (2025 lol), so we gotta stay grounded. But man, with these kind of numbers, I might have to skip the next PS5 drop and put that money into trading instead! 🎮➡️📈
Métricas tabulares de Range breakout sometido a backtest en SPY • 1 Minute
| Total de Operaciones | 197 | Beneficio Neto | 1.6% | Beneficio Compra y Mantén | 6.6% |
| Tasa de Ganancia | 35% | Ratio Riesgo/Recompensa | 2.42 | Máximo Drawdown | -1.1% |
| Máximo Drawdown del Activo | -1.5% | Exposición | 32.2% | Promedio de Velas en Posición | 15.3 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 311.1 | Promedio de Operaciones por Día | 10.4 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.0 | Desv. Est. de la Ganancia | 0.2 |
| Expectativa | 0.2 | Beta | 0.33 |
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 |