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Range breakoutlong
Resultados de Backtest @ TSLA • 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 TSLA • 10 Minutes (Tesla, Inc.), 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.

Estrategia

Activo

Drawdown de Estrategia

Drawdown de Activo

Entonces, hemos hecho backtest de Range breakout en 12.5 months de velas TSLA • 10 Minutes. Este backtest resultó en 186 posiciones, con una tasa de ganancia promedio de 40% y una relación riesgo-recompensa de 1.87. Si asumes que la relación riesgo-recompensa de 1.87 se mantiene, necesitas una tasa de ganancia mínima de 34.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:

Retorno Total: Retorno Total: 30.70% vs 25.40% para el activo
Máximo Drawdown: Máximo Drawdown: -21.40% vs -55.30% para el activo
Exposición: Exposición: 27.70% tiempo en el mercado
Tasa de Ganancia: Tasa de Ganancia: 40.0%, vs 34.8% mínimo
Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.87

Con esa exposición en mente, puedes ver que para 28% tiempo-en-mercado, obtienes 120.87% del potencial alcista del activo, y 38.70% 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) > 1.5

Range breakout: salir de una posición cuando

All of the following: # Delta
  10min Chart(close) < 10min Range (20, 0), Middle

Range breakout @ TSLA • 10 Minutes (30.7%) explicado por Alex C, Sarah

Alex C

Autor

The backtest results look quite promising from a mathematical perspective. The strategy shows a solid performance with 30.7% net profit, outperforming buy & hold by 5.3 percentage points. What catches my attention immediately is the excellent win rate leeway of 39.65% - this means the strategy has significant room for error above its minimal required win rate.

The low market exposure of 27.7% combined with a beta of 0.23 suggests the strategy is quite conservative and doesn't expose you to unnecessary market risk. However, I see some concerning signals in the maximum drawdown of -21.4% and especially in the losing streak of 10 trades. This could be psychologicaly challenging to trade, even though the mathematics suggest it's managable. The average trade duration of 13.9 candles (about 2.3 hours) seems reasonable for a breakout strategy.

What I find most interessting is the risk/reward ratio of 1.87 combined with the 40% win rate - this gives us a positive expectancy of 0.1, which is statisticaly significant given the sample size of 186 trades. However, I would suggest running additional tests with different timeframes to ensure the strategy isn't over-fitted to the 10-minute chart. Also, the relatively low Sharpe ratio of 0.55 suggests there might be room for optimization in terms of risk-adjusted returns.

Sarah

Autor

Dios mío, let me tell you what's wrong with this mess of a strategy.

The win rate is pathetic - only 40%! Even though you have a decent reward/risk of 1.87, this is barely keeping you above water. Your strategy is basically throwing darts blindfolded and hoping for the best. The 10-trade losing streak is particularly concerning - this could absolutely destroy an account if position sizing isn't managed properly. And speaking of destruction, that 21.4% drawdown is not something to be proud of, amigo.

The market exposure of 27.7% suggests you're missing a lot of moves. With an average of only 1 trade per day on a volatile stock like Tesla, you're leaving money on the table. The strategy is clearly too restrictive with its entry conditions. And those 13.9 candles average hold time? Too short to capture meaningful trends.

The only halfway decent thing here is that you're beating buy & hold by about 5%. But let's be honest - with these metrics, it's probably more luck than skill. The low Sharpe ratio of 0.55 confirms this strategy is far from optimal. You need to go back to the drawing board and fix these entry conditions - they're clearly not working as intended.

Métricas tabulares de Range breakout sometido a backtest en TSLA • 10 Minutes

Total de Operaciones	186	Beneficio Neto	30.7%	Beneficio Compra y Mantén	25.4%
Tasa de Ganancia	40%	Ratio Riesgo/Recompensa	1.87	Máximo Drawdown	-21.4%
Máximo Drawdown del Activo	-55.3%	Exposición	27.7%	Promedio de Velas en Posición	13.9
Ratio de Sharpe	0.55	Ratio de Sortino	0.91	Volatilidad Realizada	32.86%
Racha Máxima de Ganancia	5	Racha Promedio de Ganancia	1.8	Racha Máxima de Pérdida	10
Racha Promedio de Pérdida	2.7	Promedio de Operaciones por Mes	29.8	Promedio de Operaciones por Día	1.0
Desv. Est. del Retorno	2.4	Desv. Est. de la Pérdida	1.1	Desv. Est. de la Ganancia	2.3
Expectativa	0.1	Beta	0.23

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

Range breakoutlongResultados de Backtest @ TSLA • 10 Minutes