Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ MSFT • 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 MSFT • 1 Hour (Microsoft Corporation), 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 MSFT • 1 Hour. Este backtest resultó en 185 posiciones, con una tasa de ganancia promedio de 23% y una relación riesgo-recompensa de 5.16. Si asumes que la relación riesgo-recompensa de 5.16 se mantiene, necesitas una tasa de ganancia mínima de 16.2 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 122.10% vs 250.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -16.90% vs -38.20% para el activo
- Exposición: Exposición: 42.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 23.0%, vs 16.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 5.16
Con esa exposición en mente, puedes ver que para 43% tiempo-en-mercado, obtienes 48.84% del potencial alcista del activo, y 44.24% 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 @ MSFT • 1 Hour (122.1%) explicado por Mike, Sarah
Mike
AutorYo fam, this MSFT strategy is looking pretty interesting! 🚀 While it's not beating buy & hold (122% vs 250%), there's some juicy stuff under the hood that got me hyped.
Check this out - we're only winning 23% of trades but still making bank! That's because when we win, we win BIG (5.85% average wins vs -1.13% losses). That's like working at Wendy's but hitting those occasional option plays that make your whole month! The strategy's got a solid 5.16 risk/reward ratio, which is straight fire 🔥, and we're way above the minimum win rate needed (16.2%).
What I really dig is the max drawdown of -16.9% compared to MSFT's -38.2%. That means we're not getting completely rekt during rough times. Plus, we're only in the market 42.8% of the time, so we're not constantly exposed to risk like those diamond hands HODLers. The only thing that makes me a bit nervous is those 11-trade losing streaks - gotta have strong hands to handle that kind of pressure! 💎✋
Not financial advice, but if I was trading this with my Wendy's money, I'd be pretty stoked about those risk metrics and might even consider sizing up a bit! 🍗
Sarah
AutorDios mío, this strategy is a complete disaster! Let me tell you why you should throw this piece of garbage directly to papelera.
First, a 23% win rate? Are you kidding me? You're basically losing 8 out of 10 trades! Yes, I see your fancy "Win Rate Leeway" calculations, but in real life, losing this much will destroy your psychology. And that 11-trade losing streak? Madre mía, that would make even the most patient trader jump out of the window!
The only thing keeping this strategy alive is the ridiculously high risk/reward ratio of 5.16. But let's be honest - in real market conditions, you won't get those 5.85% winners as easily as in your backtest. The market isn't so generous, especialy with MSFT.
Looking at the performance metrics - yes, you made 122% over 5.7 years, but Buy & Hold doubled that with 250%! You're basicaly making things more complicated just to perform worse than if you had simply bought and forgotten about it. That's what we call in Spain "más tonto que un zapato"!
The only positive thing I can say is that your risk management seems decent with that -16.9% max drawdown. But honestly, with such poor win rate and market exposure of only 42.8%, you're better off finding a completely different strategy or just sticking to Buy & Hold.
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en MSFT • 1 Hour
| Total de Operaciones | 185 | Beneficio Neto | 122.1% | Beneficio Compra y Mantén | 250.0% |
| Tasa de Ganancia | 23% | Ratio Riesgo/Recompensa | 5.16 | Máximo Drawdown | -16.9% |
| Máximo Drawdown del Activo | -38.2% | Exposición | 42.8% | Promedio de Velas en Posición | 22.1 |
| Ratio de Sharpe | 0.84 | Ratio de Sortino | 1.17 | Volatilidad Realizada | 16.45% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.2 | Racha Máxima de Pérdida | 11 |
| Racha Promedio de Pérdida | 3.9 | Promedio de Operaciones por Mes | 5.3 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 3.5 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 3.7 |
| Expectativa | 0.4 | Beta | 0.35 |
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 |