Range breakoutlongResultados de Backtest @ WMT • 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 WMT • 1 Minute (Walmart 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 WMT • 1 Minute. Este backtest resultó en 200 posiciones, con una tasa de ganancia promedio de 32% y una relación riesgo-recompensa de 2.04. Si asumes que la relación riesgo-recompensa de 2.04 se mantiene, necesitas una tasa de ganancia mínima de 32.9 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -0.50% vs 3.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -3.20% vs -5.10% para el activo
- Exposición: Exposición: 30.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 32.0%, vs 32.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.04
Con esa exposición en mente, puedes ver que para 31% tiempo-en-mercado, obtienes -15.15% del potencial alcista del activo, y 62.75% 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 @ WMT • 1 Minute (-0.5%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some concerning patterns. While the Win Rate Leeway looks good at first glance, the overall strategy performance is quite problematic. A negative net profit of -0.5% against a buy & hold profit of 3.3% shows that this strategy is underperforming the market significantly.
The win rate of 32% is very low, even though the Risk/Reward ratio of 2.04 mathematically balances it. What worries me most is the high frequency of trades - 10.5 trades per day is excessive and will result in high transaction costs which are not even factored in these results yet. The maximum losing streak of 13 trades in combination with the high trade frequency could lead to substantial drawdowns in real trading conditions.
From pure mathematical perspective, the strategy shows some potential due to the positive Win Rate Leeway, but the market exposure of only 30.9% suggests it might be missing important moves. The average holding time of 14.4 candles appears too short for capturing meaningful price movements. I would suggest optimizing the entry conditions to reduce false signals and maybe increasing the holding period to capture more of the trend movement.
Sarah
AutorMadre mia, this strategy is a complete disaster! Your win rate is pathetically low at 32% - you might as well be throwing darts blindfolded! And somehow you managed to lose money (-0.5%) while the market was actually up 3.3%. Impressive how bad that is!
The only somewhat decent thing here is the Risk/Reward ratio of 2.04, but what good is that when you're losing more than 2/3 of your trades? And those losing streaks... 13 losses in a row? That's enough to make anyone's account bleed to death! The drawdown of -3.2% might not look terrible, but with such poor performance it's just the tip of the iceberg.
Look, I've seen bad strategies before, but this one is especialmente terrible. You're doing way too many trades (10.5 per day) with horrible accuracy. The market exposure of 30.9% suggests you're getting in and out like a drunk monkey. And that -10.7% CAGR compared to the asset's +2.5%? Magnifico... magnificamente terrible!
My suggestion? Throw this strategy in la basura where it belongs and start over. And next time, try to actually make money instead of donating it to the market.
Métricas tabulares de Range breakout sometido a backtest en WMT • 1 Minute
| Total de Operaciones | 200 | Beneficio Neto | -0.5% | Beneficio Compra y Mantén | 3.3% |
| Tasa de Ganancia | 32% | Ratio Riesgo/Recompensa | 2.04 | Máximo Drawdown | -3.2% |
| Máximo Drawdown del Activo | -5.1% | Exposición | 30.9% | Promedio de Velas en Posición | 14.4 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 13 |
| Racha Promedio de Pérdida | 3.1 | Promedio de Operaciones por Mes | 315.8 | Promedio de Operaciones por Día | 10.5 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.2 |
| Expectativa | -0.0 | Beta | 0.34 |
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 |