Range breakoutlongResultados de Backtest @ GLD • 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 12.5 months de datos GLD • 10 Minutes (SPDR Gold Trust), desde July 16, 2024 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 12.5 months de velas GLD • 10 Minutes. Este backtest resultó en 202 posiciones, con una tasa de ganancia promedio de 37% y una relación riesgo-recompensa de 2.18. Si asumes que la relación riesgo-recompensa de 2.18 se mantiene, necesitas una tasa de ganancia mínima de 31.4 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 9.40% vs 35.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -5.40% vs -8.30% para el activo
- Exposición: Exposición: 38.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 37.0%, vs 31.4% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.18
Con esa exposición en mente, puedes ver que para 38% tiempo-en-mercado, obtienes 26.26% del potencial alcista del activo, y 65.06% 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 @ GLD • 10 Minutes (9.4%) explicado por Alex C
Alex C
AutorZe strategy shows some interesting characteristics, but I am not fully convinced. Let me explain why.
Ze positive aspects are ze good risk management metrics - a healthy Risk/Reward ratio of 2.18 and relatively low drawdown of 5.4% compared to asset's 8.3%. Ze win rate leeway is also quite good, giving us 5.6% buffer above ze minimal required win rate. Ze volatility exposure looks also quite controlled with beta of 0.25.
However, I have serious concerns about ze overall effectiveness. Ze total return of 9.4% significantly underperforms ze buy & hold return of 35.8%. Zis is problematic because we want our active strategy to beat passive investing, otherwise why bother? Ze win rate of 37% seems quite low, even though mathematically it works because of ze good R/R ratio. Also ze maximum losing streak of 8 trades could be psychologically challenging for most traders to handle in real conditions.
Ze strategy seems to be mathematically viable but not optimal. I would suggest optimizing ze entry conditions to improve ze win rate while maintaining ze good risk metrics. Perhaps adjusting ze volume threshold or adding momentum filters could help. But as it stands now, I cannot recommend trading zis strategy live.
Métricas tabulares de Range breakout sometido a backtest en GLD • 10 Minutes
| Total de Operaciones | 202 | Beneficio Neto | 9.4% | Beneficio Compra y Mantén | 35.8% |
| Tasa de Ganancia | 37% | Ratio Riesgo/Recompensa | 2.18 | Máximo Drawdown | -5.4% |
| Máximo Drawdown del Activo | -8.3% | Exposición | 38.2% | Promedio de Velas en Posición | 17.9 |
| Ratio de Sharpe | 0.44 | Ratio de Sortino | 0.96 | Volatilidad Realizada | 8.60% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.7 | Promedio de Operaciones por Mes | 32.4 | Promedio de Operaciones por Día | 1.1 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | 0.2 | Beta | 0.25 |
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 |