Reversal strategy: BB Low Breakdown on elevated volumelongResultados de Backtest @ SPY • 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 SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 166 posiciones, con una tasa de ganancia promedio de 28% y una relación riesgo-recompensa de 3.81. Si asumes que la relación riesgo-recompensa de 3.81 se mantiene, necesitas una tasa de ganancia mínima de 20.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 89.30% vs 99.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -27.10% vs -35.10% para el activo
- Exposición: Exposición: 56.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 28.0%, vs 20.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 3.81
Con esa exposición en mente, puedes ver que para 56% tiempo-en-mercado, obtienes 89.57% del potencial alcista del activo, y 77.21% 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 @ SPY • 1 Hour (89.3%) explicado por Alex C, Sarah
Alex C
AutorThe strategy shows some interesting characteristics, but I'm having concerns about its reliability. The win rate of 28% is quite low, even though it's compensated by a good risk/reward ratio of 3.81. This means when we win, we win big - but we loose much more often then we win.
The maximum drawdown of 27.1% is concerning, especially for a strategy that only captures 56.3% of market exposure. With 166 trades over 5.7 years, we see about 4.8 trades per month - this is not much trading activity, which makes the statistics less reliable. The long losing streaks (up to 13 trades in row) could be psychologically challenging for many traders, even though mathematically the strategy shows positive expectancy.
From pure mathematical perspective, the strategy is viable since actual win rate (28%) is significantly above minimal required win rate (20.8%). However, I would recommend to look into ways to improve entry conditions to reduce false signals. The elevated volume requirement is good, but maybe adding momentum indicators could help filter out some losing trades. Also the high maximum drawdown suggests that position sizing and risk management need careful consideration.
Sarah
AutorMadre mía, this strategy is like watching a drunk person trying to dance salsa - occasionally impressive but mostly painful to watch!
The 28% win rate with a 72% loss rate makes me want to throw my keyboard across the room. Yes, yes, I see the Risk/Reward ratio is 3.81 and technically the strategy is profitable, but holy mother of drawdowns - 27.1%? That's not a strategy, that's a rollercoaster of pure anxiety!
Look at those losing streaks - 13 losses in a row! Dios mío, even the most patient trader would probably jump out of the window before seeing the end of such a streak. The market exposure of 56.3% suggests you're spending half the time biting your nails waiting for something to happen, only to lose money 72% of the time when it does!
I must admit, the one thing that doesn't make me completely lose my faith in humanity is the Win Rate Leeway being well above the minimal required win rate. But honestly, this is like saying "congratulations, your horrible strategy isn't completely mathematically impossible!" The fact that it underperforms buy & hold (89.3% vs 99.7%) just adds insult to injury.
Métricas tabulares de Reversal strategy: BB Low Breakdown on elevated volume sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 166 | Beneficio Neto | 89.3% | Beneficio Compra y Mantén | 99.7% |
| Tasa de Ganancia | 28% | Ratio Riesgo/Recompensa | 3.81 | Máximo Drawdown | -27.1% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 56.3% | Promedio de Velas en Posición | 32.9 |
| Ratio de Sharpe | 1.15 | Ratio de Sortino | 0.84 | Volatilidad Realizada | 12.52% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 13 |
| Racha Promedio de Pérdida | 3.7 | Promedio de Operaciones por Mes | 4.8 | Promedio de Operaciones por Día | 0.2 |
| Desv. Est. del Retorno | 3.0 | Desv. Est. de la Pérdida | 0.6 | Desv. Est. de la Ganancia | 2.7 |
| Expectativa | 0.4 | Beta | 0.46 |
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 |