Range breakoutlongResultados de Backtest @ EURUSD • 1 Hour
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 19.4 months de datos EURUSD • 1 Hour (Euro vs USD spot (Interactive Brokers)), desde December 20, 2023 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 19.4 months de velas EURUSD • 1 Hour. Este backtest resultó en 196 posiciones, con una tasa de ganancia promedio de 34% y una relación riesgo-recompensa de 2.12. Si asumes que la relación riesgo-recompensa de 2.12 se mantiene, necesitas una tasa de ganancia mínima de 32.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.60% vs 7.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -6.80% vs -9.00% para el activo
- Exposición: Exposición: 30.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 34.0%, vs 32.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.12
Con esa exposición en mente, puedes ver que para 30% tiempo-en-mercado, obtienes 22.54% del potencial alcista del activo, y 75.56% del potencial bajista del activo.
Range breakout: entrar en una posición cuando
All of the following: # Papa
60min Chart(high) > 60min Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
60min Relative Volume (20, SMA, 1) > 1.5Range breakout: salir de una posición cuando
All of the following: # Delta 60min Chart(close) < 60min Range (20, 0), Middle
Range breakout @ EURUSD • 1 Hour (1.6%) explicado por Alex C
Alex C
AutorThe metrics show some concerning patterns. The strategy has a good Risk/Reward ratio of 2.12 and the win rate of 34% is above the minimal required 32.1% - but only barely so. This small margin leaves little room for error in real trading conditions, where slippage and other factors could easily errode this advantage.
The negative Sharpe (-1.23) and Sortino (-2.11) ratios are particularly problematic and suggest the strategy is not generating good risk-adjusted returns. With a maximum drawdown of -6.8% against only 1.6% total profit over 19.4 months, the risk/return profile is suboptimal. The strategy significantly underperforms buy & hold (7.1%) while still exposing to notable drawdown risk.
I would not recommend trading this strategy in its current form. The high number of trades (196 over the period) combined with the low win rate means you will experience many consecutive losses - the maximum losing streak of 9 trades could be psychologically challenging. The strategy needs optimization to either improve the win rate while maintaining the R/R ratio, or to significantly increase the R/R ratio to better compensate for the low win rate. Maybe consider adding additional filters to reduce false signals.
Métricas tabulares de Range breakout sometido a backtest en EURUSD • 1 Hour
| Total de Operaciones | 196 | Beneficio Neto | 1.6% | Beneficio Compra y Mantén | 7.1% |
| Tasa de Ganancia | 34% | Ratio Riesgo/Recompensa | 2.12 | Máximo Drawdown | -6.8% |
| Máximo Drawdown del Activo | -9.0% | Exposición | 30.2% | Promedio de Velas en Posición | 13.7 |
| Ratio de Sharpe | -1.23 | Ratio de Sortino | -2.11 | Volatilidad Realizada | 3.61% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.8 | Promedio de Operaciones por Mes | 20.2 | Promedio de Operaciones por Día | 0.7 |
| Desv. Est. del Retorno | 0.4 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.5 |
| Expectativa | 0.1 | Beta | 0.33 |
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 |