Range breakoutlongResultados de Backtest @ GLD • 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 5.7 years de datos GLD • 1 Hour (SPDR Gold Trust), desde November 8, 2019 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 5.7 years de velas GLD • 1 Hour. Este backtest resultó en 202 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 2.24. Si asumes que la relación riesgo-recompensa de 2.24 se mantiene, necesitas una tasa de ganancia mínima de 30.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 39.30% vs 122.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -19.50% vs -22.20% para el activo
- Exposición: Exposición: 37.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 30.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.24
Con esa exposición en mente, puedes ver que para 38% tiempo-en-mercado, obtienes 32.08% del potencial alcista del activo, y 87.84% 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 @ GLD • 1 Hour (39.3%) explicado por Sarah
Sarah
AutorDios mío, this strategy is a complete disaster! I can't believe anyone would even consider trading this garbage. Let me tell you why you should run away from it as fast as posible.
First, the strategy severely underperforms buy & hold - 39.3% vs 122.5%. That's pathetic! You're basically losing money by being too clever. The market exposure of 37.9% shows you're missing most of the good moves while probably catching all the bad ones. And that Win Rate of 39%? Madre mía, it's terrible! You're losing 61% of the time!
The risk metrics are even more horrible. A Sharpe ratio of 0.03 is basically saying you're taking massive risk for minimal returns. The max drawdown of -19.5% is almost as bad as just holding the asset (-22.2%), but with way worse returns! The strategy can't even justify its existence from a risk-adjusted perspective.
Look, I know you probably spent time developing this, but sometimes we have to be brutal - this strategy is pure rubbish. The only slightly positive thing is the Risk/Reward ratio of 2.24, but what good is that when you're losing most trades and massively underperforming? Delete this strategy and start over. And next time, try to create something that actually makes money instead of this disaster.
Métricas tabulares de Range breakout sometido a backtest en GLD • 1 Hour
| Total de Operaciones | 202 | Beneficio Neto | 39.3% | Beneficio Compra y Mantén | 122.5% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 2.24 | Máximo Drawdown | -19.5% |
| Máximo Drawdown del Activo | -22.2% | Exposición | 37.9% | Promedio de Velas en Posición | 17.7 |
| Ratio de Sharpe | 0.03 | Ratio de Sortino | 0.03 | Volatilidad Realizada | 9.12% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 5.8 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 1.7 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.9 |
| Expectativa | 0.3 | Beta | 0.39 |
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 |