Range breakoutlongResultados de Backtest @ NVDA • 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 NVDA • 10 Minutes (NVIDIA Corporation), 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 NVDA • 10 Minutes. Este backtest resultó en 189 posiciones, con una tasa de ganancia promedio de 46% y una relación riesgo-recompensa de 1.44. Si asumes que la relación riesgo-recompensa de 1.44 se mantiene, necesitas una tasa de ganancia mínima de 41.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 19.80% vs 37.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -28.50% vs -42.80% para el activo
- Exposición: Exposición: 30.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 41.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.44
Con esa exposición en mente, puedes ver que para 30% tiempo-en-mercado, obtienes 52.94% del potencial alcista del activo, y 66.59% 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 @ NVDA • 10 Minutes (19.8%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting metrics, but I am not fully convinced about the strategy's robustness. Let me explain why.
The strategy shows decent risk metrics with a Sharpe of 1.07 and relatively low correlation to the underlying (0.42), which suggests some alpha generation potential. However, the 46% win rate combined with the -28.5% maximum drawdown is concerning. Even though the Risk/Reward ratio of 1.44 mathematically compensates for the low win rate, such deep drawdowns could be problematic for risk management in real trading situations.
What I find particularly worrying is the performance consistency across different timeframes. While the 3-month performance looks good with 32.3% CAGR, we see a significant -30.4% CAGR in the 6-month period. This high variance in returns suggests the strategy might be overfitted to certain market conditions. Also, with only 189 trades over 12.5 months (approximately 1 trade per day), the sample size is a bit too small to make really strong statistical conclusions about the strategy's edge.
Mike
AutorYo fam, this NVDA range breakout strategy is looking pretty interesting! 🚀 Let me break it down for a fellow trader who's grinding at Wendy's like me.
The strategy's showing some decent potential with that 19.8% profit, though it's not beating buy & hold (37.4%). But here's what's got me hyped - the risk metrics are actually pretty solid! That 1.44 risk/reward ratio is sweet, and we're running with a 46% win rate which is actually 4.5% above what we need to be profitable. That's some good cushion right there! 💪
The thing that's making me a bit nervous is that -28.5% max drawdown though... that's like two whole Wendy's paychecks gone! 😅 But check this out - the strategy only keeps us in the market about 30% of the time, which means we're not constantly exposed to crashes. Plus, we're getting about one trade per day, which is perfect for managing this while flipping burgers. The 15-candle average hold time means we're not getting stuck in positions forever.
I'd definitely consider giving this a shot with a small account, maybe start with like $500-1000. The numbers aren't insane gainz, but they're realistic and the math checks out. Just gotta make sure you can handle those drawdowns emotionally, ya feel me? 🎯 Not financial advice tho, just what I'd do with my Wendy's money! 🍔
Sarah
AutorMadre mía, this strategy is like a broken watch - occasionally right but mostly disappointing. Let me tell you why this is not looking good.
First off, you're significantly underperforming the buy & hold by almost 50% (19.8% vs 37.4%). That's embarassing! You're basically making things worse by trading instead of just holding. And with that pathetic 46% win rate, you're losing more often than winning - not exactly something to brag about in your trading journal, ¿verdad?
The drawdown of -28.5% is absolutely terrible for a strategy that's only in the market 30% of the time. I mean, what's the point of being selective with entries if you're still going to lose this much? And that Sortino ratio of 0.76 is telling me this strategy is taking on more downside risk than it should.
The only slightly positive thing I can see is the Risk/Reward ratio of 1.44, but honestly, that's like putting lipstick on a cerdo. The strategy is producing about 1 trade per day which is reasonable, but what's the point when most of these trades are losers? Look at that 6-month performance of -16.4% - absolutely desastroso!
Métricas tabulares de Range breakout sometido a backtest en NVDA • 10 Minutes
| Total de Operaciones | 189 | Beneficio Neto | 19.8% | Beneficio Compra y Mantén | 37.4% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 1.44 | Máximo Drawdown | -28.5% |
| Máximo Drawdown del Activo | -42.8% | Exposición | 30.4% | Promedio de Velas en Posición | 15.1 |
| Ratio de Sharpe | 1.07 | Ratio de Sortino | 0.76 | Volatilidad Realizada | 25.03% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 4 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 30.3 | Promedio de Operaciones por Día | 1.0 |
| Desv. Est. del Retorno | 1.8 | Desv. Est. de la Pérdida | 1.1 | Desv. Est. de la Ganancia | 1.6 |
| Expectativa | 0.1 | Beta | 0.21 |
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 |