hacemos backtest de estrategias, para que usted no tenga que hacerlo

Range breakoutlong
Resultados de Backtest @ WMT • 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 WMT • 1 Hour (Walmart Inc.), 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.

Estrategia

Activo

Drawdown de Estrategia

Drawdown de Activo

Entonces, hemos hecho backtest de Range breakout en 5.7 years de velas WMT • 1 Hour. Este backtest resultó en 190 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 2.41. Si asumes que la relación riesgo-recompensa de 2.41 se mantiene, necesitas una tasa de ganancia mínima de 29.3 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:

Retorno Total: Retorno Total: 60.90% vs 145.20% para el activo
Máximo Drawdown: Máximo Drawdown: -15.70% vs -26.90% para el activo
Exposición: Exposición: 33.40% tiempo en el mercado
Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 29.3% mínimo
Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.41

Con esa exposición en mente, puedes ver que para 33% tiempo-en-mercado, obtienes 41.94% del potencial alcista del activo, y 58.36% 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) > 1.5

Range breakout: salir de una posición cuando

All of the following: # Delta
  60min Chart(close) < 60min Range (20, 0), Middle

Range breakout @ WMT • 1 Hour (60.9%) explicado por Alex C, Sarah

Alex C

Autor

The strategy shows some interesting charakteristics, but I am not fully convinced. The win rate of 39% is acceptable since we have a good risk/reward ratio of 2.41, making the strategy mathematically viable. However, the net profit of 60.9% over 5.7 years is significantly below the buy & hold return of 145.2%, which is concerning.

The market exposure of 33.4% suggests this is a relatively conservative strategy, which explains the lower volatility (9.85% vs asset's 20.10%). The max drawdown of -15.7% is quite decent compared to the asset's -26.9%. But the Sharpe ratio of 0.18 is quite poor - I would expect at least 0.5 for a strategy worth implementing. The average of 5.5 trades per month gives us enough statistical significance with 190 total trades, so these metrics should be fairly reliable.

From my mathematical perspective, while the strategy shows some promise with its risk management (good risk/reward, controlled drawdown), the poor risk-adjusted returns (low Sharpe) and significant underperformance versus buy & hold make it hard to justify implementing as is. I would suggest optimizing the entry conditions to improve the win rate while maintaining the good risk/reward ratio. Perhaps adjusting the volume threshold from 1.5 to something more selective could help.

Sarah

Autor

Madre mía, this strategy is like a sick dog that needs to be put down! Let me tell you why.

First, the strategy significantly underperforms buy & hold (60.9% vs 145.2%). That's pathetic! You're basically losing money by being too clever, when you could have just bought and forget about it. And with a market exposure of just 33.4%, you're not even taking full advantage of the market movements.

The win rate is absolutely terrible - 39%! Even though your Risk/Reward ratio looks decent at 2.41, you're still getting beaten up constantly. Yes, you're technically above your minimal sufficient win rate, but why would you want to trade something that loses 61% of the time? That's masochistic!

The risk metrics are embarrasing - a Sharpe ratio of 0.18 is laughably bad. The strategy's volatility is lower than the asset's, but that's only because you're sitting out of the market most of the time like a scared cat. And that 15.7% drawdown? For such low market exposure, that's actually quite terrible.

Look, if you want to waste your time with mediocre results, be my guest. But this strategy needs either a complete overhaul or should be thrown in the garbage where it belongs. And I'm being kind here!

Métricas tabulares de Range breakout sometido a backtest en WMT • 1 Hour

Total de Operaciones	190	Beneficio Neto	60.9%	Beneficio Compra y Mantén	145.2%
Tasa de Ganancia	39%	Ratio Riesgo/Recompensa	2.41	Máximo Drawdown	-15.7%
Máximo Drawdown del Activo	-26.9%	Exposición	33.4%	Promedio de Velas en Posición	16.6
Ratio de Sharpe	0.18	Ratio de Sortino	0.70	Volatilidad Realizada	9.85%
Racha Máxima de Ganancia	5	Racha Promedio de Ganancia	1.6	Racha Máxima de Pérdida	7
Racha Promedio de Pérdida	2.6	Promedio de Operaciones por Mes	5.5	Promedio de Operaciones por Día	0.2
Desv. Est. del Retorno	1.8	Desv. Est. de la Pérdida	0.7	Desv. Est. de la Ganancia	1.9
Expectativa	0.3	Beta	0.34

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

Range breakoutlongResultados de Backtest @ WMT • 1 Hour