Range breakoutlongResultados de Backtest @ TSLA • 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 TSLA • 1 Minute (Tesla, 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 TSLA • 1 Minute. Este backtest resultó en 155 posiciones, con una tasa de ganancia promedio de 35% y una relación riesgo-recompensa de 1.91. Si asumes que la relación riesgo-recompensa de 1.91 se mantiene, necesitas una tasa de ganancia mínima de 34.4 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.70% vs -0.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -12.80% vs -19.20% para el activo
- Exposición: Exposición: 25.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 35.0%, vs 34.4% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.91
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes -350.00% del potencial alcista del activo, y 66.67% 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 @ TSLA • 1 Minute (0.7%) explicado por Alex C
Alex C
AutorThe backtest shows some interesting characteristics, but I am not fully convinced about the strategy robustness. Let me explain why.
The positive aspects are the good Risk/Reward ratio of 1.91 and that the strategy outperforms buy & hold slightly. Also the win rate of 35% is above the minimal required win rate, which is mathematically good. But the maximal drawdown of -12.8% is quite high for such a short timeframe, and with 8.2 trades per day the strategy seems bit overactive, which could lead to high transaction costs in real trading.
The most concerning part is the -7.1% performance in last month with -59.3% CAGR. This indicates the strategy might be curve fitted to earlier data periods and fails to perform in more recent market conditions. I would recommend to test with different lookback periods and maybe reduce trade frequency to improve quality of signals. Also the strategy seems to work better in ranging markets than trending ones, so you should consider adding trend filters.
Métricas tabulares de Range breakout sometido a backtest en TSLA • 1 Minute
| Total de Operaciones | 155 | Beneficio Neto | 0.7% | Beneficio Compra y Mantén | -0.2% |
| Tasa de Ganancia | 35% | Ratio Riesgo/Recompensa | 1.91 | Máximo Drawdown | -12.8% |
| Máximo Drawdown del Activo | -19.2% | Exposición | 25.6% | Promedio de Velas en Posición | 15.5 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.8 | Promedio de Operaciones por Mes | 244.7 | Promedio de Operaciones por Día | 8.2 |
| Desv. Est. del Retorno | 1.0 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | 0.0 | Beta | 0.28 |
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 |