Range breakoutlongResultados de Backtest @ WMT • 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 38.7 years de datos WMT • Daily (Walmart Inc.), desde November 21, 1986 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 38.7 years de velas WMT • Daily. Este backtest resultó en 165 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.80. Si asumes que la relación riesgo-recompensa de 1.80 se mantiene, necesitas una tasa de ganancia mínima de 35.7 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 30.40% vs 10116.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -67.60% vs -50.60% para el activo
- Exposición: Exposición: 29.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 35.7% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.80
Con esa exposición en mente, puedes ver que para 30% tiempo-en-mercado, obtienes 0.30% del potencial alcista del activo, y 133.60% 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 @ WMT • Daily (30.4%) explicado por Mike, Sarah
Mike
AutorYo fam, this WMT range breakout strategy is giving me mixed vibes! 🤔 The 39% win rate might look sketch at first, but peep that sweet 1.8 risk/reward ratio - we're actually crushing the minimal required win rate by a fat margin! That's some serious alpha potential right there. 🚀
The strategy's been keeping it real with decent profits over different timeframes, especially that 26% gain in the last year! 💪 Though that -67.6% max drawdown is kinda scary ngl, but hey, no pain no gain right? What's getting me hyped is how we're only in the market 29.5% of the time - means we're not just YOLOing our Wendy's checks on every little move.
One thing that's got me thinking though - we're only averaging like 0.7 trades per month. That's pretty low key for us degens who love some action, but maybe that's why it's working? Quality over quantity and all that stuff. Overall, I'm vibing with this setup - it's not perfect but it's got potential to print some serious tendies if managed right! 🎯 Just gotta stay diamond hands through those drawdowns. 💎🙌
Sarah
AutorMadre mia, this strategy is like a broken watch - it might be right twice a day, but overall it's a disaster!
The win rate of 39% with a 1.8 risk/reward ratio might look acceptable on paper, but let's be real here - you're exposing yourself to a massive 67.6% drawdown for a measly 30.4% net profit over 38 years? That's pathetic! The buy & hold strategy gave more than 10,000% return in the same period - you would have been better off sleeping through these 38 years than actively trading this nonsence!
The strategy makes less than 1 trade per month - are you planning to retire in the next century? And with a -0.48 Sharpe ratio, you're not just underperforming, you're actively destroying value. The volatility metrics show you're taking on significant risk for minimal reward - it's like playing Russian roulette with 5 bullets instead of 1.
If you're serious about trading, throw this strategy in the basura where it belongs and start over. The only positive thing I can say is that at least you tested it before losing real money on this rubbish. ¡Dios mío!
Métricas tabulares de Range breakout sometido a backtest en WMT • Daily
| Total de Operaciones | 165 | Beneficio Neto | 30.4% | Beneficio Compra y Mantén | 10116.3% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.80 | Máximo Drawdown | -67.6% |
| Máximo Drawdown del Activo | -50.6% | Exposición | 29.5% | Promedio de Velas en Posición | 16.4 |
| Ratio de Sharpe | -0.48 | Ratio de Sortino | -0.22 | Volatilidad Realizada | 10.55% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 0.7 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 6.0 | Desv. Est. de la Pérdida | 2.2 | Desv. Est. de la Ganancia | 5.9 |
| Expectativa | 0.1 | Beta | 0.21 |
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 |