Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ META • 1 Hour
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 5.7 years de datos META • 1 Hour (Meta Platforms, Inc.), desde November 15, 2019 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 5.7 years de velas META • 1 Hour. Este backtest resultó en 205 posiciones, con una tasa de ganancia promedio de 23% y una relación riesgo-recompensa de 5.44. Si asumes que la relación riesgo-recompensa de 5.44 se mantiene, necesitas una tasa de ganancia mínima de 15.5 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 181.70% vs 283.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -27.40% vs -76.80% para el activo
- Exposición: Exposición: 35.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 23.0%, vs 15.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 5.44
Con esa exposición en mente, puedes ver que para 36% tiempo-en-mercado, obtienes 64.09% del potencial alcista del activo, y 35.68% del potencial bajista del activo.
Reversal strategy: BB Low Breakdown on elevated volume: entrar en una posición cuando
All of the following: # "Romeo"
60min Chart(low) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Low
60min Relative Strength Index (14, 70, 30, close) < 35
60min Volume (20, SMA), Vol. > 60min Volume (20, SMA), MA
None of the following:
60min Candle Time = 1530Reversal strategy: BB Low Breakdown on elevated volume: salir de una posición cuando
Any of the following: 60min 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 • 1 Hour (181.7%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its real-world application. The win rate of 23% is quite low, even though it's mathematically viable due to the good risk-reward ratio of 5.44. However, this creates a psychological challange - can you handle losing 19 trades in row? This is not theoretical, the backtest shows it happened.
The strategy's exposure to market is 35.7%, which means it stays in cash most of the time. This is actually good for risk management, but the maximum drawdown of 27.4% is still significant. The Sharpe ratio of 0.54 is below what I would consider acceptable - I typically look for at least 1.0. The low Sortino ratio of 0.25 suggests the strategy struggles with downside volatility.
What worries me most is the degrading performance over time periods. While 1M and 3M returns look impressive, the yearly performance drops significantly. This could indicate the strategy is becoming less effective over time or might be over-optimized for recent data. I would suggest running more tests with different timeframes and maybe adjusting the RSI parameters, which seem quite extreme (35 to 80 range).
Mike
AutorYo fam, this META strategy is kinda fire but also wild AF! 🔥 The numbers are actually pretty interesting for a reversal play.
Looking at that 23% win rate might scare some paper hands, but check this out - when it wins, it wins BIG (6.64% average wins vs -1.22% losses). That's like getting tendies from behind the Wendy's dumpster! 🚀 The strategy's got a solid 22.84% cushion above the minimum win rate needed to be profitable, which is straight-up bussin'.
The thing that's got me hyped is how it's actually protecting our gains with that 35.7% market exposure - meaning we're not YOLOing our entire portfolio all the time. That -27.4% max drawdown is way better than META's own -76.8% drawdown, so we're actually managing risk pretty well here. The strategy might not beat buy & hold (181.7% vs 283.5%), but it's doing it with way less risk exposure and that's what I call playing smart! 💎🙌
Not financial advice, but I'd definitely consider this for my Wendy's paycheck portfolio. Just gotta be ready for those losing streaks (up to 19 in a row, oof) and stay diamond-handed through the rough patches! 📈
Sarah
AutorDios mío, this strategy is like watching a drunk person trying to dance salsa! The win rate of 23% is pathetically low - you're basically losing 3 out of 4 trades! And that 19-trade losing streak? ¡Qué desastre!
Look, I know you're trying to be clever with that 5.44 risk/reward ratio, but let's be honest - this is just gambling with extra steps. Your strategy underperforms buy & hold by more than 100% (181.7% vs 283.5%). That's embarassing! And that -27.4% drawdown? Your account will look like a rollercoaster gone wrong!
The only somewhat decent thing here is the win rate leeway being above minimal required - but that's like saying "hey, at least the Titanic had nice furniture!" The market exposure of 35.7% suggests you're missing most of the actual moves while probably catching many false signals. And those Sharpe and Sortino ratios? They're so low they make a snail look fast.
Do yourself a favor - either completely rebuild this strategy or throw it in the trash where it belongs. This is not trading, this is just sophisticated way to lose money slower than usual.
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en META • 1 Hour
| Total de Operaciones | 205 | Beneficio Neto | 181.7% | Beneficio Compra y Mantén | 283.5% |
| Tasa de Ganancia | 23% | Ratio Riesgo/Recompensa | 5.44 | Máximo Drawdown | -27.4% |
| Máximo Drawdown del Activo | -76.8% | Exposición | 35.7% | Promedio de Velas en Posición | 16.4 |
| Ratio de Sharpe | 0.54 | Ratio de Sortino | 0.25 | Volatilidad Realizada | 19.14% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.2 | Racha Máxima de Pérdida | 19 |
| Racha Promedio de Pérdida | 4.2 | Promedio de Operaciones por Mes | 5.9 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 4.0 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 4.5 |
| Expectativa | 0.5 | Beta | 0.23 |
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 |