Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ META • 10 Minutes
Esta estrategia de reversión intradiaria busca entrar una vez que el precio rompe hacia abajo el mínimo de las Bandas de Bollinger, mientras el RSI señala sobreventa y el volumen de negociación está por encima del promedio. También nunca entra en la última vela del día. Sale una vez que el RSI señala sobreventa, mientras también tiene una toma de beneficios y un stop loss.
Curva de Equidad
El backtest cubre 12.5 months de datos META • 10 Minutes (Meta Platforms, Inc.), desde July 23, 2024 hasta August 1, 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 Reversal strategy: BB Low Breakdown on elevated volume en 12.5 months de velas META • 10 Minutes. Este backtest resultó en 135 posiciones, con una tasa de ganancia promedio de 32% y una relación riesgo-recompensa de 3.33. Si asumes que la relación riesgo-recompensa de 3.33 se mantiene, necesitas una tasa de ganancia mínima de 23.1 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 64.30% vs 53.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -22.50% vs -35.10% para el activo
- Exposición: Exposición: 54.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 32.0%, vs 23.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.33
Con esa exposición en mente, puedes ver que para 55% tiempo-en-mercado, obtienes 120.64% del potencial alcista del activo, y 64.10% del potencial bajista del activo.
Reversal strategy: BB Low Breakdown on elevated volume: entrar en una posición cuando
All of the following: # "Romeo"
10min Chart(low) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Low
10min Relative Strength Index (14, 70, 30, close) < 35
10min Volume (20, SMA), Vol. > 10min Volume (20, SMA), MA
None of the following:
10min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: salir de una posición cuando
Any of the following: 10min Relative Strength Index (14, 70, 30, close) > 80
Exit if lost more than 1% (after candle closes).
Exit if gained more than 10% (after candle closes).
Exit after 100 candles, for any PnL.
Reversal strategy: BB Low Breakdown on elevated volume @ META • 10 Minutes (64.3%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe numbers look interessant, but I see some concerning patterns that need careful consideration. The strategy shows good overall profitability with 64.3% net profit, beating buy & hold by 11%. However, the win rate of 32% is quite low, even though it's compensated by a strong risk/reward ratio of 3.33.
What concerns me most is the maximum drawdown of 22.5% and the long losing streak of 15 trades. This could be psychologically challenging to trade, even though mathematically it works. The average of 0.7 trades per day seems reasonable - not too frequent to generate excessive fees, but enough to get statistical significance with 135 total trades. The market exposure of 54.6% suggests good selectivity in choosing entry points.
I would suggest to maybe adjust the stop loss from 1% to maybe 0.8% to reduce the impact of losing streaks. The strategy seems to have solid mathematical foundation with good Sharpe (1.49) and Sortino (1.92) ratios, but the high drawdown makes it more suitable for traders who can handle significant temporary losses. As we say in Germany - "Vertrauen ist gut, Kontrolle ist besser" (trust is good, control is better), so I would recommend paper trading this first before risking real capital.
Mike
AutorYo fam, these backtest results are looking pretty juicy! 🚀 Let me break down why I'm hyped about this META strategy.
First off, that 64.3% net profit is beating buy & hold by a decent margin, and we're only in the market about half the time - that's efficiency right there! The risk/reward ratio of 3.33 is what really gets me excited - we're losing small but winning big when we hit. Yeah, the 32% win rate might look scary to some paper hands, but peep that win rate leeway of 31.77 - we only need 23.1% to stay profitable, so we're crushing it! 💎🙌
The drawdown of -22.5% is better than META's raw drawdown of -35.1%, and those Sharpe/Sortino ratios are solid. What I really dig is the consistency across different time periods - we're not just getting lucky on one good run. About 21 trades per month means we're not overtrading either, giving each setup room to breathe. Only thing that might need some work is that 15-trade losing streak - gotta stay mentally strong through those rough patches! 🧠💪
Not financial advice, but this looks like it could be a certified banger if traded with proper risk management. Might have to test this at work between flipping burgers! 🍔📈
Sarah
AutorMadre mia, what a mess of a strategy! The win rate of 32% is pathetically low - it's like throwing darts blindfolded and hoping to hit something!
The only reason this strategy doesn't completely suck is because your winners are 3.5 times bigger than your losers. But let's be real - having 15 losses in a row? That's going to destroy most trader's accounts and their mental health! The drawdown of -22.5% is absolutely horrific. No professional would touch this with a 10-foot pole.
Look, I know you're probably excited about that 64.3% total return, but wake up! You're basically gambling here. The strategy is barely beating buy & hold (53.3%), and you're taking on massive psychological risk with those long losing streaks. And don't even get me started on that market exposure - you're only in the market 54.6% of the time but taking all these risks?
Si quieres mi honest opinion - this is the kind of strategy that works until it doesn't, and then it breaks catastrophically. The high Sharpe and Sortino ratios are misleading because they don't properly account for the psychological torture of sitting through 15 consecutive losses. Either fix the win rate or throw this strategy in la basura where it belongs.
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en META • 10 Minutes
| Total de Operaciones | 135 | Beneficio Neto | 64.3% | Beneficio Compra y Mantén | 53.3% |
| Tasa de Ganancia | 32% | Ratio Riesgo/Recompensa | 3.33 | Máximo Drawdown | -22.5% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 54.6% | Promedio de Velas en Posición | 39.5 |
| Ratio de Sharpe | 1.49 | Ratio de Sortino | 1.92 | Volatilidad Realizada | 25.98% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 15 |
| Racha Promedio de Pérdida | 3.4 | Promedio de Operaciones por Mes | 21.7 | Promedio de Operaciones por Día | 0.7 |
| Desv. Est. del Retorno | 2.7 | Desv. Est. de la Pérdida | 0.5 | Desv. Est. de la Ganancia | 2.8 |
| Expectativa | 0.4 | Beta | 0.52 |
Todos los backtests para Reversal strategy: BB Low Breakdown on elevated volume
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
META • 10 Minutes | 55% | (64.3%/53.3%) 1.21x | (-22.5%/-35.1%) 0.64x | 32 | 3.3 |
MSFT • 10 Minutes | 58% | (46.3%/18.1%) 2.56x | (-21.4%/-23.9%) 0.90x | 45 | 1.9 |
NVDA • 10 Minutes | 55% | (7.9%/41.7%) 0.19x | (-40.0%/-42.8%) 0.93x | 26 | 3.1 |
PLTR • 10 Minutes | 50% | (142.4%/439.0%) 0.32x | (-25.7%/-46.5%) 0.55x | 26 | 4.3 |
SPY • 10 Minutes | 64% | (13.5%/12.3%) 1.10x | (-12.7%/-20.7%) 0.61x | 47 | 1.4 |
TSLA • 10 Minutes | 55% | (-2.1%/23.0%) -0.09x | (-42.1%/-55.3%) 0.76x | 20 | 4.2 |
META • 30 Minutes | 46% | (291.9%/356.0%) 0.82x | (-23.6%/-51.8%) 0.46x | 25 | 6.0 |
MSFT • 30 Minutes | 46% | (75.9%/103.5%) 0.73x | (-19.8%/-26.6%) 0.74x | 27 | 4.2 |
NVDA • 30 Minutes | 43% | (925.3%/1089.5%) 0.85x | (-34.1%/-42.9%) 0.79x | 28 | 5.7 |
PLTR • 30 Minutes | 32% | (101.6%/1516.1%) 0.07x | (-28.8%/-48.4%) 0.60x | 23 | 4.5 |
SPY • 30 Minutes | 52% | (60.8%/65.6%) 0.93x | (-12.9%/-20.2%) 0.64x | 35 | 3.0 |
TSLA • 30 Minutes | 37% | (-6.4%/33.8%) -0.19x | (-43.8%/-67.1%) 0.65x | 20 | 4.3 |
META • 1 Hour | 36% | (181.7%/283.5%) 0.64x | (-27.4%/-76.8%) 0.36x | 23 | 5.4 |
MSFT • 1 Hour | 43% | (122.1%/250.0%) 0.49x | (-16.9%/-38.2%) 0.44x | 23 | 5.2 |
NVDA • 1 Hour | 25% | (106.1%/3270.7%) 0.03x | (-44.6%/-68.0%) 0.66x | 23 | 4.3 |
PLTR • 1 Hour | 25% | (163.7%/1420.6%) 0.12x | (-33.3%/-86.6%) 0.38x | 29 | 3.4 |
SPY • 1 Hour | 56% | (89.3%/99.7%) 0.90x | (-27.1%/-35.1%) 0.77x | 28 | 3.8 |
TSLA • 1 Hour | 26% | (-39.1%/1194.5%) -0.03x | (-64.5%/-75.1%) 0.86x | 22 | 3.4 |