Range breakoutlongResultados de Backtest @ WMT • 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 WMT • 10 Minutes (Walmart 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.
Entonces, hemos hecho backtest de Range breakout en 12.5 months de velas WMT • 10 Minutes. Este backtest resultó en 209 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 2.10. Si asumes que la relación riesgo-recompensa de 2.10 se mantiene, necesitas una tasa de ganancia mínima de 32.3 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 23.20% vs 39.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -5.30% vs -23.80% para el activo
- Exposición: Exposición: 32.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 32.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.10
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 58.73% del potencial alcista del activo, y 22.27% 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 @ WMT • 10 Minutes (23.2%) explicado por Alex C
Alex C
AutorThe results look quite solid from mathematical perspective. I see a few interesting patterns here which make me think this strategy has good potential.
First thing that catches my eye is the Risk/Reward ratio of 2.10 combined with 41% win rate. This is mathematically viable setup - you need only 32.3% win rate to break even, and you are achieving 41%. That's quite good margin of safety. The win rate leeway of 40.68 is significant enough to account for potential market changes without breaking the strategy.
However, I notice some concerning things in the data. The strategy underperforms buy & hold (23.2% vs 39.5%), which is not optimal. Also the maximum drawdown of -5.3% seems bit too optimistic for such long backtest period - I would expect higher drawdowns in real trading conditions. The correlation of 0.55 to underlying asset suggests strategy might not provide enough diversification benefit.
I would recommend to test this on different time periods and maybe add some position sizing rules. The average of 1.1 trades per day is good - not too frequent to make commission costs problem, but enough trades to have statistical significance. Just make sure to account for spread and commission in your real trading calculations.
Métricas tabulares de Range breakout sometido a backtest en WMT • 10 Minutes
| Total de Operaciones | 209 | Beneficio Neto | 23.2% | Beneficio Compra y Mantén | 39.5% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 2.10 | Máximo Drawdown | -5.3% |
| Máximo Drawdown del Activo | -23.8% | Exposición | 32.3% | Promedio de Velas en Posición | 14.4 |
| Ratio de Sharpe | 1.48 | Ratio de Sortino | 2.65 | Volatilidad Realizada | 11.57% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 33.5 | Promedio de Operaciones por Día | 1.1 |
| Desv. Est. del Retorno | 0.9 | Desv. Est. de la Pérdida | 0.4 | Desv. Est. de la Ganancia | 0.9 |
| Expectativa | 0.3 | 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 |