Backtested a Bollinger + MACD breakout on SPY 8H. It bleeds. Help me figure out why.
u/theflowp_ ·
Reddit — r/algotrading
· May 28, 2026 at 16:31
· ⬆ 15 pts
· 💬 56 comments
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Summary
The post describes a backtested SPY 8H strategy using Bollinger Band breakouts with MACD confirmation; it consistently loses money despite a reasonable win rate.
The author hypothesizes that the MACD exit may cut winners short, that shorting SPY breakouts might be structurally flawed, or that only true Bollinger squeezes should trigger entries.
Quality assessment: Speculative amateur backtest analysis with clear methodological flaws; not well-researched DD but an honest attempt to debug a failing strategy.
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Had this idea a few weeks back after reading some stuff on volatility expansion. Thesis was simple: when SPY consolidates, BB width contracts and when it finally breaks, you usually get a move that lasts more than one candle. If I could catch the breakout with momentum confirmation I figured I'd ride most of it instead of getting chopped in the range.
I used 8H because daily barely gave me any signals and 1H was way too noisy.
The setup:
- SPY, 8H
- Long: close above upper BB and MACD hist > 0
- Short: close below lower BB and MACD hist < 0
- Stop 2x ATR, TP 2:1
- Exit if MACD hist flips against the position
- 1% risk per trade
Backtest is attached and it loses. Not blowing up, just consistently bleeding. Win rate is honestly fine, but avg loss > avg win and the curve looks miserable.
Stuff I think might be wrong but I'm too in it to tell:
- The MACD exit might be killing winners. Histogram flips fast on 8H, I'm probably bailing before the move actually develops.
- Maybe I should only take entries after a real BB squeeze, not every breakout. Right now it fires on anything that touches the band.
- SPY just trends, period. Shorting BB breakdowns might be structurally dumb on this ticker. Not sure if I should drop the short side entirely or filter it somehow.
- Or 8H is wrong, don't know.
Anyway, if you've actually traded something like this, what would you change first?