Range breakoutlongResultados de Backtest @ PLTR • 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 4.8 years de datos PLTR • 1 Hour (Palantir Technologies Inc.), desde September 30, 2020 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 4.8 years de velas PLTR • 1 Hour. Este backtest resultó en 192 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.35. Si asumes que la relación riesgo-recompensa de 2.35 se mantiene, necesitas una tasa de ganancia mínima de 29.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 449.70% vs 1466.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -56.30% vs -86.60% para el activo
- Exposición: Exposición: 37.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 29.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.35
Con esa exposición en mente, puedes ver que para 38% tiempo-en-mercado, obtienes 30.66% del potencial alcista del activo, y 65.01% 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 @ PLTR • 1 Hour (449.7%) explicado por Alex C
Alex C
AutorThe data shows some interesting patterns, but I have concerns about the strategy's robustness. While the R/R ratio of 2.35 and win rate leeway of 42.7% look mathematicaly solid, the max drawdown of 56.3% is too high for my taste. This indicates high risk exposure that could be problematic in real trading situations.
The market exposure of 37.8% combined with only 0.2 trades per day suggests this is a relatively selective strategy, which is good. However, the 11-trade losing streak is concerning - this could psychologicaly break many traders even if they follow the system perfectly. The low Sharpe ratio of 0.34 also indicates suboptimal risk-adjusted returns, especialy when compared to the buy & hold performance which outperformed the strategy by more than 3x.
From pure mathematical perspective, the strategy shows statistical edge with its 43% win rate against 29.9% minimal required win rate. But I would want to see how sensitive these metrics are to parameter changes - even small adjustments to the 20-period range or 1.5 volume threshold could dramaticaly impact performance. Before considering real money implementation, I would suggest extensive robustness testing across different market regimes.
Métricas tabulares de Range breakout sometido a backtest en PLTR • 1 Hour
| Total de Operaciones | 192 | Beneficio Neto | 449.7% | Beneficio Compra y Mantén | 1466.7% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.35 | Máximo Drawdown | -56.3% |
| Máximo Drawdown del Activo | -86.6% | Exposición | 37.8% | Promedio de Velas en Posición | 15.6 |
| Ratio de Sharpe | 0.34 | Ratio de Sortino | 0.51 | Volatilidad Realizada | 37.37% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 6.5 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 6.1 | Desv. Est. de la Pérdida | 2.0 | Desv. Est. de la Ganancia | 6.5 |
| Expectativa | 0.4 | Beta | 0.38 |
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 |