Range breakoutlongResultados de Backtest @ SPY • 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 SPY • 10 Minutes (SPDR S&P 500), 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 SPY • 10 Minutes. Este backtest resultó en 184 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.82. Si asumes que la relación riesgo-recompensa de 1.82 se mantiene, necesitas una tasa de ganancia mínima de 35.5 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 5.10% vs 13.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -9.70% vs -20.70% para el activo
- Exposición: Exposición: 33.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 35.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.82
Con esa exposición en mente, puedes ver que para 33% tiempo-en-mercado, obtienes 38.93% del potencial alcista del activo, y 46.86% 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 @ SPY • 10 Minutes (5.1%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting characteristics, but I am not completely convinced about the strategy's robustness.
The positive aspects are the good Risk/Reward ratio of 1.82 and the fact that the actual win rate (39%) is above the minimal required win rate (35.5%). This gives a healthy margin of error. The strategy also shows reasonable trading frequency with about 1 trade per day, which is enough to generate statistical significance over the tested period. The market exposure of 33.3% suggests it's fairly selective about when it trades, which is gut.
However, there are some concerning signals. The win rate of 39% is quite low, even if it's above the minimal requirement. The maximum drawdown of 9.7% is significant relative to the total profit of 5.1%. Also problematic is that the strategy underperformed buy & hold by a significant margin (5.1% vs 13.1%). The Sharpe ratio of 0.11 is too low - I would typically want to see at least 0.5 for a strategy to be considered. These metrics suggest the strategy might not be robust enough for real trading.
I would recommend to optimize the entry conditions to improve the win rate and reduce the maximum drawdown. Perhaps adjusting the volume threshold or adding additional filters could help. But in its current form, I would not trade this strategy with real money.
Mike
AutorYo fam, this 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 giving us some decent numbers with that 1.82 Risk/Reward ratio - that's actually pretty sweet! We're getting bigger wins than losses (0.60% vs -0.33%), and even though the win rate is only 39%, it's still above what we need to be profitable. That 3.8k% win rate leeway is straight-up fire! 🔥
But keep it real though - we're underperforming buy & hold (5.1% vs 13.1%), and that max drawdown of 9.7% could hurt if you're playing with leverage. The trading frequency looks solid with about one trade per day, so you won't get killed on commissions like some of those scalping strategies I've tried (RIP my paycheck lol).
For my Wendy's portfolio, I'd consider this as part of a larger strategy mix. The low market exposure (33.3%) means it's pretty conservative, which could be good for not getting rekt, but might want to look at tweaking it to catch more upside moves. Maybe combine it with some YOLO plays? Not financial advice tho, just what I'd do with my tendies! 💎🙌
Sarah
AutorMadre mía, this strategy is more disappointing than my ex-husband! Let me tell you why this is not good enough.
First of all, the performance is pathetic - only 5.1% net profit when buy & hold gave 13.1%? That's like paying someone to lose your money! And with a win rate of just 39%, you're basically a professional loser. Even though the Risk/Reward ratio looks decent at 1.82, you're still underperforming the market significantly.
The most alarming thing is those losing streaks, mi amor. 10 consecutive losses? That's not a strategy, that's a disaster waiting to happen! The drawdown of -9.7% is also concerning - imagine explaining to your clients why their money keeps disappearing.
The only slightly positive thing I see is the win rate leeway being above minimal required - but honestly, that's like being proud of not failing completely. The exposure is also quite low at 33.3%, which means you're missing most of the market moves. The Sharpe and Sortino ratios are basically saying "don't bother" with values around 0.11.
If this was my strategy, I would throw it in the garbage where it belongs. You need to go back to the drawing board and create something that actually makes money, not loses it slower than others.
Métricas tabulares de Range breakout sometido a backtest en SPY • 10 Minutes
| Total de Operaciones | 184 | Beneficio Neto | 5.1% | Beneficio Compra y Mantén | 13.1% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.82 | Máximo Drawdown | -9.7% |
| Máximo Drawdown del Activo | -20.7% | Exposición | 33.3% | Promedio de Velas en Posición | 17.1 |
| Ratio de Sharpe | 0.11 | Ratio de Sortino | 0.12 | Volatilidad Realizada | 9.85% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 29.5 | Promedio de Operaciones por Día | 1.0 |
| Desv. Est. del Retorno | 0.7 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.7 |
| Expectativa | 0.1 | Beta | 0.24 |
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 |