Range breakoutlongResultados de Backtest @ NVDA • 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 NVDA • 1 Hour (NVIDIA Corporation), 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 NVDA • 1 Hour. Este backtest resultó en 218 posiciones, con una tasa de ganancia promedio de 46% 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: 555.60% vs 3243.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -52.50% vs -68.00% para el activo
- Exposición: Exposición: 44.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 46.0%, vs 32.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.10
Con esa exposición en mente, puedes ver que para 44% tiempo-en-mercado, obtienes 17.13% del potencial alcista del activo, y 77.21% 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 @ NVDA • 1 Hour (555.6%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe strategy shows some interesting charakteristics, but I have concerns about few things that make me skeptical.
First the positives: The Risk/Reward ratio of 2.10 combined with the actual win rate of 46% gives a good margin above the minimal required win rate of 32.3%. This is mathematically sound and shows the strategy has a solid foundation. The average trades per month at 6.3 provides enough statistical significance over the 5.7 year period. The market exposure of 44.3% suggests good selectivity in trade entries.
However, there are red flags I cannot ignore from pure mathematical perspective. The max drawdown of 52.5% is extremely high for a strategy that only captures upside breakouts. This suggests the strategy might be too aggressive in its entry criteria. The Sharpe ratio of 1.22 is mediocre for a directional strategy, indicating suboptimal risk-adjusted returns. Most concerning is that the strategy significantly underperforms buy & hold (555.6% vs 3243.4%), which makes me question if the complexity is worth it at all. The correlation of 0.53 to the underlying suggests it's not providing meaningful diversification benefits either.
From systematic trading perspective, I would want to see improvements in the drawdown characteristics before considering this viable. Perhaps adding more stringent entry filters or position sizing rules could help optimize the risk-adjusted performance metrics.
Mike
AutorYo fam, this NVDA range breakout strategy is looking pretty juicy! 🚀 The numbers are giving me some serious hopium vibes, but let's keep it real.
First off, that 2.1 Risk/Reward ratio is straight fire 🔥 - we're making twice as much on winners as we lose on losers. With a 46% win rate, that's actually solid AF considering we only need 32.3% to break even. The strategy's making good bank with 555.6% total profit, though it's not beating buy & hold (but who is in this NVDA bull run, honestly?).
The drawdown of -52.5% is pretty spicy though, ngl. 😅 That's gonna test your diamond hands for sure. But peep this - we're only in the market 44.3% of the time, which means we're not just YOLOing and hoping for the best. The strategy's being selective with its 6.3 trades per month, and that Sharpe ratio of 1.22 shows we're not just gambling here.
Would I throw my Wendy's paycheck at this? Probably! The math checks out, and while past performance doesn't guarantee future tendies, those stats are looking clean enough to make me want to risk it for the biscuit. Just gotta be ready for those 7-trade losing streaks when they come! 💎🙌
Sarah
AutorMadre mía, this strategy is a complete disaster compared to simply buying and holding NVDA! Only 555% profit versus 3243% for buy & hold? That's pathetic!
The win rate is absolutely mediocre at 46% - you're losing more often than winning. Yes, yes, I know the Risk/Reward is 2.1 which technically makes it matematically viable, but come on! That -52.5% drawdown is going to make you vomit your breakfast when it happens. And it will happen, mark my words.
Look, the only decent thing here is the Win Rate Leeway - you have good margin above the minimal required win rate. But who cares when the strategy is clearly inferior to just buying and holding like a lazy couch potato? The market exposure of 44.3% means you're missing out on more than half of the moves. That's why your returns are so poor compared to buy & hold!
I don't want to be mean, but whoever designed this strategy should probably stick to their day job. The only thing this backtest proves is that you've found a complicated way to make less money while taking on significant drawdown risk. If you're going to trade NVDA, either find something much better or just buy and hold it like a normal person.
Métricas tabulares de Range breakout sometido a backtest en NVDA • 1 Hour
| Total de Operaciones | 218 | Beneficio Neto | 555.6% | Beneficio Compra y Mantén | 3243.4% |
| Tasa de Ganancia | 46% | Ratio Riesgo/Recompensa | 2.10 | Máximo Drawdown | -52.5% |
| Máximo Drawdown del Activo | -68.0% | Exposición | 44.3% | Promedio de Velas en Posición | 19.3 |
| Ratio de Sharpe | 1.22 | Ratio de Sortino | 1.08 | Volatilidad Realizada | 26.85% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 6.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 5.5 | Desv. Est. de la Pérdida | 1.8 | Desv. Est. de la Ganancia | 5.7 |
| Expectativa | 0.4 | Beta | 0.3 |
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 |