Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ MSFT • 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 MSFT • 30 Minutes (Microsoft Corporation), 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 MSFT • 30 Minutes. Este backtest resultó en 135 posiciones, con una tasa de ganancia promedio de 27% y una relación riesgo-recompensa de 4.16. Si asumes que la relación riesgo-recompensa de 4.16 se mantiene, necesitas una tasa de ganancia mínima de 19.4 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 75.90% vs 103.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -19.80% vs -26.60% para el activo
- Exposición: Exposición: 45.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 27.0%, vs 19.4% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 4.16
Con esa exposición en mente, puedes ver que para 46% tiempo-en-mercado, obtienes 73.33% del potencial alcista del activo, y 74.44% 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 @ MSFT • 30 Minutes (75.9%) explicado por Alex C, Mike
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its reliability. The risk/reward ratio of 4.16 is quite gut, but the low win rate of 27% makes me sceptical about psychological aspects of trading this strategy in real conditions. Even though the win rate leeway is positiv, having 13 losses in a row could be devastating for most traders mindset.
The exposure of 45.9% is quite reasonable, and the average holding time of 33 candles suggests this is truly a swing trading approach. What catches my attention is that the strategy underperforms buy & hold (75.9% vs 103.5%), which is not optimal when trading a strong uptrending stock like Microsoft. The Sharpe ratio of 0.93 is below what I would normally want to see - I typically look for values above 1.2 for strategies I implement.
I would suggest to work on improving the entry conditions to get a better win rate, maybe by adding some momentum indicators or testing different RSI settings. The current drawdown of -19.8% is too high for my taste, especially given the underperformance versus buy & hold. While the strategy shows some promise with its favorable risk/reward ratio, I would not trade it in its current form without significant optimizations.
Mike
AutorYo fam, this MSFT strategy is looking pretty juicy! 🚀 The risk/reward setup is actually fire - we're talking 4.16 R/R ratio which means when we hit, we hit BIG (4.63% average wins vs -1.11% losses).
The win rate might look kinda sus at 27%, but check this out - we only need 19.4% to break even! That's like having a 26.8% cushion above what we need, which is straight-up amazing. Plus, that 75.9% total profit over 3 years ain't too shabby, even though it's trailing behind buy & hold (but hey, we're only exposed to the market 45.9% of the time, so we're chillin' during crashes).
The only thing that makes me a bit nervous is that 13-trade losing streak potential - that could be rough on the mental game fr fr. But with proper position sizing and knowing that our winners are gonna be 4x bigger than our losses, I think this could be a solid strategy to YOLO some Wendy's paychecks into. 💎🙌 Just gotta stay diamond-handed through those rough patches! NFA tho, just my two tendies worth. 🍗
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en MSFT • 30 Minutes
| Total de Operaciones | 135 | Beneficio Neto | 75.9% | Beneficio Compra y Mantén | 103.5% |
| Tasa de Ganancia | 27% | Ratio Riesgo/Recompensa | 4.16 | Máximo Drawdown | -19.8% |
| Máximo Drawdown del Activo | -26.6% | Exposición | 45.9% | Promedio de Velas en Posición | 33.0 |
| Ratio de Sharpe | 0.93 | Ratio de Sortino | 0.56 | Volatilidad Realizada | 16.04% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 13 |
| Racha Promedio de Pérdida | 4.1 | Promedio de Operaciones por Mes | 7.2 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 3.0 | Desv. Est. de la Pérdida | 0.5 | Desv. Est. de la Ganancia | 2.7 |
| Expectativa | 0.4 | Beta | 0.44 |
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 |