Range breakoutlongResultados de Backtest @ SPY • 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 SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 183 posiciones, con una tasa de ganancia promedio de 40% y una relación riesgo-recompensa de 1.96. Si asumes que la relación riesgo-recompensa de 1.96 se mantiene, necesitas una tasa de ganancia mínima de 33.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 28.00% vs 107.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -17.40% vs -35.10% para el activo
- Exposición: Exposición: 36.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 40.0%, vs 33.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.96
Con esa exposición en mente, puedes ver que para 36% tiempo-en-mercado, obtienes 26.17% del potencial alcista del activo, y 49.57% 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 @ SPY • 1 Hour (28.0%) explicado por Alex C
Alex C
AutorThe backtest results show some interesting patterns, but I am not completely convinced about the strategy. The win rate of 40% with a risk/reward ratio of 1.96 is mathematically viable - this reflects in the positive expectancy of 0.2. However, the strategy significantly underperforms buy & hold (28% vs 107%), which makes me skeptical about its real-world application.
What concerns me most is the high maximum drawdown of 17.4% relative to the total profit. This suggests the strategy might be too risky for its returns. The Sharpe ratio of 0.28 is quite low - I would normally want to see at least 0.5 for a strategy to be considered. The volatility metrics show that while the strategy reduces overall volatility compared to the underlying asset (7.79% vs 17.55%), it doesn't compensate enough in terms of returns.
The one positive aspect I see is the healthy win rate leeway of 39.66% above the minimal required win rate. This suggests the strategy has some robustness against deteriorating market conditions. But with a maximum losing streak of 8 trades, one needs significant psychological strength and capital to survive such periods. I would recommend to either adjust the exit conditions to reduce the maximum drawdown or look for additional filters to improve the entry precision.
Métricas tabulares de Range breakout sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 183 | Beneficio Neto | 28.0% | Beneficio Compra y Mantén | 107.0% |
| Tasa de Ganancia | 40% | Ratio Riesgo/Recompensa | 1.96 | Máximo Drawdown | -17.4% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 36.3% | Promedio de Velas en Posición | 18.8 |
| Ratio de Sharpe | 0.28 | Ratio de Sortino | 0.47 | Volatilidad Realizada | 7.79% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 5.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 1.4 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | 0.2 | Beta | 0.18 |
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 |