Range breakoutlongResultados de Backtest @ BTCUSDT • Daily
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 5.8 years de datos BTCUSDT • Daily (Bitcoin vs Tether, Binance US), desde October 8, 2019 hasta July 24, 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 5.8 years de velas BTCUSDT • Daily. Este backtest resultó en 38 posiciones, con una tasa de ganancia promedio de 47% y una relación riesgo-recompensa de 3.25. Si asumes que la relación riesgo-recompensa de 3.25 se mantiene, necesitas una tasa de ganancia mínima de 23.5 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 38 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 549.00% vs 1346.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -54.70% vs -76.60% para el activo
- Exposición: Exposición: 35.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 47.0%, vs 23.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.25
Con esa exposición en mente, puedes ver que para 35% tiempo-en-mercado, obtienes 40.76% del potencial alcista del activo, y 71.41% del potencial bajista del activo.
Range breakout: entrar en una posición cuando
All of the following: # Papa
D Chart(high) > D Range (20, 0), High (1 candles ago)
All of the following: (within 5 candles)
D Relative Volume (20, SMA, 1) > 1.5Range breakout: salir de una posición cuando
All of the following: # Delta D Chart(close) < D Range (20, 0), Middle
Range breakout @ BTCUSDT • Daily (549.0%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest shows some interesting charakteristics, but I am not fully convinced of its robustness. The win rate of 47% combined with the good risk/reward ratio of 3.25 looks mathematically viable, but there are some red flags we should discuss.
The strategy produces very few trades - only 38 over 5.8 years, which is approximately 6.5 trades per year. This makes the statistics less reliable from mathematical perspective. The 9-trade losing streak is concerning when you have only 38 trades total. Also the maximum drawdown of 54.7% is quite high and could be psychologically difficult to handle, even if it performed better than buy & hold's 76.6% drawdown.
The market exposure of 35.3% suggests this is a selective strategy that stays out of market most of time, which is good for risk management. However, the strategy significantly underperformed buy & hold (549% vs 1346.8%), which makes me question if the complexity is worth it. The Sharpe ratio of 0.45 is also below what I would consider optimal for a trading strategy. Normally I want to see at least 0.8 or higher for reliable performance.
Mike
AutorYo fam, let me break down this range breakout strategy! 🚀 The numbers are looking pretty juicy, even though it's not beating buy & hold (but who does in a mega bull run, right?).
What's got me hyped is that sweet Risk/Reward ratio of 3.25 - when we win, we win BIG (20% average wins vs 6% average losses)! Plus that 47% win rate is way above what we need (23.5%), giving us a massive safety cushion. That's the kind of setup that lets you sleep at night while your trades do the work, even at Wendy's wages 😴💪
The drawdown of -54.7% is pretty spicy ngl, but that's crypto life for ya. What I really dig is how we're only exposed to the market 35.3% of the time - means we're not constantly sweating the charts and can actually focus on serving those square patties. With only about 1 trade per month, this is perfect for us working folk who can't be glued to Trading View 24/7! 📱
To the moon! 🌙 (but like, responsibly with proper position sizing because that drawdown ain't no joke) 🎢
Sarah
AutorThis strategy is a complete disaster, and I'm shocked anyone would even consider trading it. Let me tell you why, mi amigo.
First of all, the win rate is pathetic - only 47%! And with a maximum losing streak of 9 trades? Dios mío, you would need nerves of steel and a massive account to survive that kind of drawdown. The -54.7% maximum drawdown is absolutely horrific. No professional trader would touch something this risky with a 10-foot pole.
The only somewhat decent thing here is the Risk/Reward ratio of 3.25, but what good is that when the strategy massively underperforms buy & hold? You're getting 549% when simple buy & hold gives 1346.8%! This is like paying for a Ferrari and getting a broken bicycle instead.
Look, I don't want to be too mean, but with only 38 trades over 5.8 years (that's only 0.5 trades per month!), the statistical significance is questionable at best. The strategy is basically sitting on its hands most of the time, missing opportunities, and when it does trade, it fails more often than it wins. This is not a strategy - this is a recipe for account destruction.
Métricas tabulares de Range breakout sometido a backtest en BTCUSDT • Daily
| Total de Operaciones | 38 | Beneficio Neto | 549.0% | Beneficio Compra y Mantén | 1346.8% |
| Tasa de Ganancia | 47% | Ratio Riesgo/Recompensa | 3.25 | Máximo Drawdown | -54.7% |
| Máximo Drawdown del Activo | -76.6% | Exposición | 35.3% | Promedio de Velas en Posición | 18.6 |
| Ratio de Sharpe | 0.45 | Ratio de Sortino | 1.49 | Volatilidad Realizada | 31.27% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 2.0 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 1.1 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 17.0 | Desv. Est. de la Pérdida | 2.3 | Desv. Est. de la Ganancia | 15.5 |
| Expectativa | 1.0 | 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 |