Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ META • 30 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 3.1 years de datos META • 30 Minutes (Meta Platforms, Inc.), desde July 5, 2022 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 3.1 years de velas META • 30 Minutes. Este backtest resultó en 183 posiciones, con una tasa de ganancia promedio de 25% y una relación riesgo-recompensa de 6.03. Si asumes que la relación riesgo-recompensa de 6.03 se mantiene, necesitas una tasa de ganancia mínima de 14.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 291.90% vs 356.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -23.60% vs -51.80% para el activo
- Exposición: Exposición: 46.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 25.0%, vs 14.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 6.03
Con esa exposición en mente, puedes ver que para 46% tiempo-en-mercado, obtienes 81.99% del potencial alcista del activo, y 45.56% del potencial bajista del activo.
Reversal strategy: BB Low Breakdown on elevated volume: entrar en una posición cuando
All of the following: # "Romeo"
30min Chart(low) < 30min Bollinger Bands ® (20, 2, 2, 0, close), Low
30min Relative Strength Index (14, 70, 30, close) < 35
30min Volume (20, SMA), Vol. > 30min Volume (20, SMA), MA
None of the following:
30min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: salir de una posición cuando
Any of the following: 30min 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 • 30 Minutes (291.9%) explicado por Alex C, Mike
Alex C
AutorThe strategy shows some interesting mathematical characteristics, but I am not completely convinced. Let me explain why.
The positive aspects are quite clear: The Risk/Reward ratio of 6.03 is excellent, and the strategy manages to achieve a decent Sharpe ratio of 1.38. The win rate leeway of 24.86% above the minimal required win rate is mathematically significant. This means the strategy has room for deterioration without becoming unprofitable, which is good. Also interesting is that the strategy achieves this with only 46.3% market exposure, which reduces overall risk.
However, there are some concerning points that cannot be ignored from mathematical perspective. The win rate of only 25% is quite low, even if it is above the minimal required rate. This makes the strategy psychologically difficult to trade, as you must accept losing 3 out of 4 trades. The maximum drawdown of 23.6% is also quite high relative to the stop loss of 1%, suggesting that losses can cluster together. The longest losing streak of 9 trades confirms this clustering effect.
I would suggest to either modify the entry conditions to improve win rate, or reduce position size to better handle the drawdowns. From pure mathematical viewpoint, the strategy is viable but requires strict risk management and psychological discipline to execute properly. The numbers tell us it can work, but the human factor could easily destroy its edge.
Mike
AutorYo fam, this META strategy is looking pretty juicy! 🚀 The numbers are giving me some serious YOLO vibes, but let's break it down like we're counting tendies at the end of a Wendy's shift.
That 25% win rate might look sus at first, but check out that monster 6.81% average win vs just -1.13% average loss! We're talking about a strategy that's basically playing small losses for huge gains - kinda like buying those crazy OTM options but way more controlled. The 291.9% total gain over 3 years is straight fire 🔥, even though it's slightly under buy & hold (but with way less exposure to the market, which is actually pretty smart).
The risk metrics are what really get me hyped though. That 23.6% max drawdown is way better than META's own 51.8% drawdown - meaning we could've slept way better during those rough patches. Plus that juicy 24.86 win rate leeway means this strategy has some serious padding - you could mess up a bit and still come out winning. Low-key genius moves right here! 💎🙌 Just gotta have the stomach for those 9-trade losing streaks, but that's what diamond hands are for, right?
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en META • 30 Minutes
| Total de Operaciones | 183 | Beneficio Neto | 291.9% | Beneficio Compra y Mantén | 356.0% |
| Tasa de Ganancia | 25% | Ratio Riesgo/Recompensa | 6.03 | Máximo Drawdown | -23.6% |
| Máximo Drawdown del Activo | -51.8% | Exposición | 46.3% | Promedio de Velas en Posición | 24.3 |
| Ratio de Sharpe | 1.38 | Ratio de Sortino | 1.53 | Volatilidad Realizada | 23.87% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.2 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 3.7 | Promedio de Operaciones por Mes | 9.8 | Promedio de Operaciones por Día | 0.3 |
| Desv. Est. del Retorno | 4.0 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 3.9 |
| Expectativa | 0.7 | Beta | 0.36 |
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 |