Range breakoutlongResultados de Backtest @ EURUSD • 10 Minutes
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 95 days de datos EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)), desde April 21, 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 95 days de velas EURUSD • 10 Minutes. Este backtest resultó en 188 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.83. Si asumes que la relación riesgo-recompensa de 1.83 se mantiene, necesitas una tasa de ganancia mínima de 35.3 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.10% vs 1.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.20% vs -4.30% para el activo
- Exposición: Exposición: 23.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 35.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.83
Con esa exposición en mente, puedes ver que para 23% tiempo-en-mercado, obtienes 61.11% del potencial alcista del activo, y 27.91% del potencial bajista del activo.
Range breakout: entrar en una posición cuando
All of the following: # Papa
10min Chart(high) > 10min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
10min Relative Volume (20, SMA, 1) > 1.5Range breakout: salir de una posición cuando
All of the following: # Delta 10min Chart(close) < 10min Range (20, 0), Middle
Range breakout @ EURUSD • 10 Minutes (1.1%) explicado por Alex C, Sarah
Alex C
AutorThe backtest results show some interesting characteristics, but I have concerns about the strategy's stability. The win rate of 39% with a risk/reward ratio of 1.83 is mathematically viable - this explains the positive expectancy of 0.1. However, I'm not convinced about the strategy's edge.
What worries me most is the relation between net profit and market exposure. With 23.3% market exposure, we achieve only 1.1% profit while buy & hold delivers 1.8%. This suggests the strategy might be picking up random noise rather than actual market inefficiencies. The high amount of trades (188 in 95 days) makes me suspect there is some overtrading happening here. The long losing streak of 12 trades is also concerning from risk management perspective.
On the positive side, the Sharpe ratio of 1.65 and especially Sortino ratio of 4.28 suggest good risk-adjusted returns. The relatively low correlation of 0.47 to the underlying asset could make this useful in a portfolio context. But I would want to see results from different market regimes before considering this strategy viable. The current backtest period is too short to make reliable conclusions about the strategy's robustness.
Sarah
AutorAy dios mío, this strategy is like a teenager trying to drive Formula 1 - technically moving but definitely not winning any races!
The win rate of 39% is pathetically low, even though technically it's above the minimal required 35.3%. Yes, you have a positive expectancy of 0.1 and your Risk/Reward looks acceptable at 1.83, but let's be real here - you're barely making any money! A measly 1.1% net profit over 95 days? Mi abuela could do better keeping her money under her mattress!
The most concerning part is that you're underperforming the buy & hold strategy (1.8%) while exposing yourself to unnecessary trading risks. Those losing streaks of up to 12 trades in a row? ¡Qué horror! That's enough to make most traders lose their minds and their accounts.
The only somewhat decent things here are your risk metrics - the Sharpe and Sortino ratios aren't terrible, and the max drawdown is contained at -1.2%. But honestly, with such mediocre returns, who cares? You're basically running a complicated machine to generate peanuts. Either fix this strategy or throw it in la basura where it belongs!
Métricas tabulares de Range breakout sometido a backtest en EURUSD • 10 Minutes
| Total de Operaciones | 188 | Beneficio Neto | 1.1% | Beneficio Compra y Mantén | 1.8% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.83 | Máximo Drawdown | -1.2% |
| Máximo Drawdown del Activo | -4.3% | Exposición | 23.3% | Promedio de Velas en Posición | 8.5 |
| Ratio de Sharpe | 1.65 | Ratio de Sortino | 4.28 | Volatilidad Realizada | 3.75% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 12 |
| Racha Promedio de Pérdida | 2.7 | Promedio de Operaciones por Mes | 118.7 | Promedio de Operaciones por Día | 4.0 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.0 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | 0.1 | Beta | 0.15 |
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 |