Range breakoutlongResultados de Backtest @ SPY • 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 32.5 years de datos SPY • Daily (SPDR S&P 500), desde January 29, 1993 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 32.5 years de velas SPY • Daily. Este backtest resultó en 86 posiciones, con una tasa de ganancia promedio de 49% y una relación riesgo-recompensa de 2.25. Si asumes que la relación riesgo-recompensa de 2.25 se mantiene, necesitas una tasa de ganancia mínima de 30.8 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 86 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 90.10% vs 1344.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -15.90% vs -56.70% para el activo
- Exposición: Exposición: 22.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 49.0%, vs 30.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.25
Con esa exposición en mente, puedes ver que para 22% tiempo-en-mercado, obtienes 6.70% del potencial alcista del activo, y 28.04% 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 @ SPY • Daily (90.1%) explicado por Alex C
Alex C
AutorThe strategy looks quite underwhelming when compared to buy and hold. With only 90.1% profit over 32.5 years versus 1344.4% for buy and hold, I would not consider this strategy viable in its current form.
However, there are some interessting aspects in the metrics. The risk/reward ratio of 2.25 is actually quite good, and the win rate of 49% is sufficient given this ratio - as evidenced by the healthy win rate leeway of 48.69%. The low market exposure of 22.3% could be seen as positive from risk management perspective, but it also explains the significant underperformance versus buy and hold. What worries me most is the very low trading frequency - only 0.4 trades per month is statisticly not significant enough over such long timeframe.
I would suggest to optimize the entry conditions to generate more trading signals while maintaining the good risk/reward characteristics. Maybe reducing the relative volume threshold from 1.5 could help. Also the negative Sharpe and Sortino ratios are concerning and should be addressed. The strategy seems to have a solid foundation with its breakout logic, but needs refinement to be viable.
Métricas tabulares de Range breakout sometido a backtest en SPY • Daily
| Total de Operaciones | 86 | Beneficio Neto | 90.1% | Beneficio Compra y Mantén | 1344.4% |
| Tasa de Ganancia | 49% | Ratio Riesgo/Recompensa | 2.25 | Máximo Drawdown | -15.9% |
| Máximo Drawdown del Activo | -56.7% | Exposición | 22.3% | Promedio de Velas en Posición | 20.2 |
| Ratio de Sharpe | -0.37 | Ratio de Sortino | -0.19 | Volatilidad Realizada | 4.15% |
| Racha Máxima de Ganancia | 11 | Racha Promedio de Ganancia | 2.5 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 0.4 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 3.0 | Desv. Est. de la Pérdida | 1.0 | Desv. Est. de la Ganancia | 2.7 |
| Expectativa | 0.6 | Beta | 0.09 |
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 |