Range breakoutlongResultados de Backtest @ GLD • 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 20.7 years de datos GLD • Daily (SPDR Gold Trust), desde November 18, 2004 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 20.7 years de velas GLD • Daily. Este backtest resultó en 92 posiciones, con una tasa de ganancia promedio de 48% y una relación riesgo-recompensa de 1.83. Si asumes que la relación riesgo-recompensa de 1.83 se mantiene, necesitas una tasa de ganancia mínima de 35.3 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 92 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 83.30% vs 592.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -21.70% vs -45.30% para el activo
- Exposición: Exposición: 31.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 48.0%, vs 35.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.83
Con esa exposición en mente, puedes ver que para 32% tiempo-en-mercado, obtienes 14.05% del potencial alcista del activo, y 47.90% 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 @ GLD • Daily (83.3%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I am not completely convinced about its robustness. The win rate of 48% combined with a good risk/reward ratio of 1.83 gives us positive expectancy of 0.4, which is mathematically viable. However, I see some red flags here.
The market exposure is only 31.6% but the strategy significantly underperforms buy & hold (83.3% vs 592.8%). This suggests the strategy might be missing major moves in the market. The trading frequency is also quite low with only 0.7 trades per month - this makes me worried about statistical significance. With only 92 trades over 20 years, each individual trade has too much impact on the overall performance metrics.
What really concerns me is the performance degradation in recent periods. Looking at the time-based metrics, we see negative performance in 1M and 3M periods, and the CAGR shows clear deterioration from 3Y to 5Y periods (11.9% down to 4.9%). This pattern suggests the strategy might be losing its edge or was potentially overfit to earlier data. The negative Sharpe ratio (-0.06) also indicates poor risk-adjusted returns, although the Sortino ratio is slightly better at 0.26.
Sarah
AutorThis strategy is a complete disaster, and anyone who thinks otherwise needs their head examined! Let me tell you why, mi amigo.
First of all, the strategy's net profit of 83.3% over 20.7 years is pathetically low compared to the buy & hold return of 592.8%. You would have made 7 times more money by simply buying and holding! This is embarrasingly bad performance that makes me want to throw my computer out of the window.
The win rate is below 50% which is already bad, but what makes it truly terrible is the market exposure of 31.6%. This means you're taking all these risks, sitting through drawdowns of -21.7%, just to achieve mediocre returns while being exposed to the market only one-third of the time. The strategy is basically wasting two-thirds of potential trading opportunities!
The only slightly positive thing - and I'm being extremely generous here - is the Risk/Reward ratio of 1.83 and the healthy win rate leeway. But who cares about these metrics when the overall performance is so poor? It's like putting premium gas in a broken car!
Métricas tabulares de Range breakout sometido a backtest en GLD • Daily
| Total de Operaciones | 92 | Beneficio Neto | 83.3% | Beneficio Compra y Mantén | 592.8% |
| Tasa de Ganancia | 48% | Ratio Riesgo/Recompensa | 1.83 | Máximo Drawdown | -21.7% |
| Máximo Drawdown del Activo | -45.3% | Exposición | 31.6% | Promedio de Velas en Posición | 16.8 |
| Ratio de Sharpe | -0.06 | Ratio de Sortino | 0.26 | Volatilidad Realizada | 8.64% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 1.8 | Promedio de Operaciones por Mes | 0.7 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 4.1 | Desv. Est. de la Pérdida | 1.9 | Desv. Est. de la Ganancia | 3.6 |
| Expectativa | 0.4 | Beta | 0.33 |
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 |