Tencent Holdings (TCEHY) Trading Strategy Backtests: Bollinger Bands, RSI, and Volume Analysis

Comprehensive backtest analysis of various trading strategies for Tencent Holdings (TCEHY) using Bollinger Bands, RSI, volume, and SPY 200 SMA filters across different market conditions to optimize returns and manage risk.

User: 如果在腾讯控股的日线跌破日BOLL线下轨道且交易量放大到1.5倍及以上时，买入；如果在腾讯控股的日线涨破日BOLL线上轨道且交易量放大到1.5倍及以上时，卖出；这是一个交易策略，按照这个交易策略，过去3年的收益率怎么样？有多少笔交易，每次的交易价格分别是多少？

Aurora: That's a precise trading strategy for Tencent Holdings (TCEHY)! To determine its historical performance, number of trades, and specific transaction prices, we'll need to define this strategy within a portfolio and then backtest it across different market periods. Since your strategy involves specific entry and exit conditions based on Bollinger Bands and volume, we will set up a series of experiments to test its effectiveness and explore variations that might optimize its performance, especially regarding drawdown and risk-adjusted returns. Here's the experimental plan: **Objective:** Evaluate the profitability and risk characteristics of a Bollinger Band and volume-based strategy for Tencent Holdings (TCEHY), and explore variations to achieve superior returns with controlled drawdown. **Step 1: Universe Creation** Our universe for this experiment will be limited to a single asset: Tencent Holdings (TCEHY). No screening is required as the asset is explicitly provided. **Step 2: Portfolio Creation (8 Parallel Experiments)** We will create eight distinct portfolios, each testing a variation of your proposed strategy or a related concept. All strategies will be checked daily for cond…

User: Create 8 distinct portfolios for Tencent Holdings (TCEHY): 1. **'Buy & Hold TCEHY'**: Buy 100% of buying power in TCEHY and hold. 2. **'User's Core Strategy - Bollinger 20, Vol 1.5x'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume. 3. **'Bollinger Only - 20-day'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20). - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20). 4. **'Bollinger 30-day, Vol 1.5x'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (30) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (30) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume. 5. **'Scaled Entry - Bollinger 20, Vol 1.5x'**: - Strategy 1: Buy 50% of buy…

Aurora: ⚠️ Note: Portfolio "User's Core Strategy - Bollinger 20, Vol 1.5x" failed to create: Failed to generate valid condition: Error validating condition: "Sell TCEHY when Price above Upper Bollinger Band AND Volume above 1.5x Avg Volume" Error validating condition: "undefined" Condition must have a rhs

User: Create a portfolio named 'User's Core Strategy - Bollinger 20, Vol 1.5x' for TCEHY: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20) AND TCEHY's Volume > 1.5 * TCEHY's 20-day Simple Moving Average of Volume.

User: Run backtests for all 8 TCEHY portfolios ('Buy & Hold TCEHY', 'User's Core Strategy - Bollinger 20, Vol 1.5x', 'Bollinger Only - 20-day', 'Bollinger 30-day, Vol 1.5x', 'Scaled Entry - Bollinger 20, Vol 1.5x', 'Bollinger + Volume with Fixed Profit-Taking', 'Bollinger + Volume with Stop-Loss', 'Bollinger with RSI Confirmation') across the following three time periods: 1) 2022-01-01 to 2022-12-31, 2) 2023-01-01 to 2023-12-31, and 3) 2024-01-01 to 2025-09-02.

User: Analyze the results of all 24 backtests that were just created for the 8 portfolios ('Buy & Hold TCEHY', 'User's Core Strategy - Bollinger 20, Vol 1.5x', 'Bollinger Only - 20-day', 'Bollinger 30-day, Vol 1.5x', 'Scaled Entry - Bollinger 20, Vol 1.5x', 'Bollinger + Volume with Fixed Profit-Taking', 'Bollinger + Volume with Stop-Loss', 'Bollinger with RSI Confirmation'). I need a comprehensive summary comparing their performance across the three periods: 2022, 2023, and 2024-2025. For each strategy, please provide the total return, maximum drawdown, Sharpe ratio, Sortino ratio, the total number of trades, and a detailed list of all individual transaction prices and dates.

Aurora: Here's an analysis of the backtest results for your Tencent Holdings (TCEHY) trading strategies, compared against a SPY baseline. ### 1. Backtest Summary and Comparison The following tables summarize the performance of each TCEHY portfolio against its baseline, SPY, across three distinct time periods. #### Backtest Results: 2022-01-01 to 2022-12-31 (Bearish Market) | Portfolio Name | Portfolio % Change | SPY % Change | Portfolio Sharpe Ratio | SPY Sharpe Ratio | Portfolio Max Drawdown | SPY Max Drawdown | Portfolio Num Trades | | :------------------------------------------ | :------------------ | :------------ | :-------------------- | :---------------- | :---------------------- | :---------------- | :-------------------- | | **Buy & Hold TCEHY** | -24.16% | **-18.29%** | -0.18 | **-0.50** | 58.27% | **26.29%** | 0 | | **User's Core Strategy - Bollinger 20, Vol 1.5x** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Bollinger Only - 20-day** | -32.34% | **-18.29%** | -0.42 | **-0.50** | 48.14% | **26.29%** | 23,247 | | **Bollinger 30-day, Vol 1.5x** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Scaled Entry - Bollinger 20, Vol 1.5…

User: Create 4 distinct portfolios for Tencent Holdings (TCEHY): 1. **'User's Core Strategy - Bollinger 20, Vol 1.2x'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND TCEHY's Volume > 1.2 * TCEHY's 20-day Simple Moving Average of Volume. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20) AND TCEHY's Volume > 1.2 * TCEHY's 20-day Simple Moving Average of Volume. 2. **'Bollinger Only - 10-day'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (10). - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (10). 3. **'Bollinger 20 + SPY 200 SMA'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND SPY's Close Price > SPY's 200-day Simple Moving Average. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20) OR SPY's Close Price < SPY's 200-day Simple Moving Average. 4. **'Scaled Entry - Bollinger 20, Vol 1.2x, Profit & Stop'**: - Strategy 1: Buy 50% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND T…

User: Run backtests for the four new TCEHY portfolios ('User's Core Strategy - Bollinger 20, Vol 1.2x', 'Bollinger Only - 10-day', 'Bollinger 20 + SPY 200 SMA', 'Scaled Entry - Bollinger 20, Vol 1.2x, Profit & Stop') across the following three time periods: 1) 2022-01-01 to 2022-12-31, 2) 2023-01-01 to 2023-12-31, and 3) 2024-01-01 to 2025-09-02.

User: Analyze the results of the 12 backtests that were just created for the 4 new portfolios ('User's Core Strategy - Bollinger 20, Vol 1.2x', 'Bollinger Only - 10-day', 'Bollinger 20 + SPY 200 SMA', 'Scaled Entry - Bollinger 20, Vol 1.2x, Profit & Stop'). I need a comprehensive summary comparing their performance across the three periods: 2022, 2023, and 2024-2025. For each strategy, please provide the total return, maximum drawdown, Sharpe ratio, Sortino ratio, and the total number of trades.

Aurora: ### 1. Backtest Summary and Comparison The following tables summarize the performance of the new TCEHY portfolios against the SPY baseline across three distinct time periods. #### Backtest Results: 2022-01-01 to 2022-12-31 (Bearish Market) | Portfolio Name | Portfolio % Change | SPY % Change | Portfolio Sharpe Ratio | SPY Sharpe Ratio | Portfolio Max Drawdown | SPY Max Drawdown | Portfolio Num Trades | | :-------------------------------------------------- | :------------------ | :------------ | :-------------------- | :---------------- | :---------------------- | :---------------- | :-------------------- | | **User's Core Strategy - Bollinger 20, Vol 1.2x** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Bollinger Only - 10-day** | -34.92% | **-18.29%** | -0.56 | **-0.50** | 52.35% | **26.29%** | 40,332 | | **Bollinger 20 + SPY 200 SMA** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Scaled Entry - Bollinger 20, Vol 1.2x, Profit & Stop** | -0.13% | **-18.29%** | **0.04** | -0.50 | **12.16%** | 26.29% | 18,506 | #### Backtest Results: 2023-01-01 to 2023-12-31 (Recovery Market) | Portfolio Name | Portfolio % Change | SPY % Change |…

User: Create 4 distinct portfolios for Tencent Holdings (TCEHY): 1. **'User's Core Strategy - Bollinger 20, Vol 1.0x'**: - Buy 100% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND TCEHY's Volume > 1.0 * TCEHY's 20-day Simple Moving Average of Volume. - Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20) AND TCEHY's Volume > 1.0 * TCEHY's 20-day Simple Moving Average of Volume. 2. **'Scaled Entry - Bollinger 20, Profit & Stop, No Vol Filter'**: - Strategy 1: Buy 50% of buying power in TCEHY when TCEHY's Close Price < TCEHY's Lower Bollinger Band (20) AND Days Since Last Filled Buy Order for TCEHY > 5. - Strategy 2: Buy 100% of buying power in TCEHY when TCEHY's Close Price < (TCEHY's Lower Bollinger Band (20) * 0.95) AND Days Since Last Filled Buy Order for TCEHY > 5 AND TCEHY's Position Value == 0. - Strategy 3: Sell 50% of TCEHY position when TCEHY's Position Percent Change > 10%. - Strategy 4: Sell 100% of TCEHY position when TCEHY's Position Percent Change < -5%. - Strategy 5: Sell 100% of TCEHY position when TCEHY's Close Price > TCEHY's Upper Bollinger Band (20). 3. **'Bollinger 20 + RSI 14 + SPY 200 SMA…

User: Run backtests for the four new TCEHY portfolios ('User's Core Strategy - Bollinger 20, Vol 1.0x', 'Scaled Entry - Bollinger 20, Profit & Stop, No Vol Filter', 'Bollinger 20 + RSI 14 + SPY 200 SMA', 'Mean Reversion with Trend Filter (RSI 30/70 + 200 SMA)') across the following three time periods: 1) 2022-01-01 to 2022-12-31, 2) 2023-01-01 to 2023-12-31, and 3) 2024-01-01 to 2025-09-02.

User: Analyze the results of the 12 backtests that were just created for the 4 new portfolios ('User's Core Strategy - Bollinger 20, Vol 1.0x', 'Scaled Entry - Bollinger 20, Profit & Stop, No Vol Filter', 'Bollinger 20 + RSI 14 + SPY 200 SMA', 'Mean Reversion with Trend Filter (RSI 30/70 + 200 SMA)'). I need a comprehensive summary comparing their performance across the three periods: 2022, 2023, and 2024-2025. For each strategy, please provide the total return, maximum drawdown, Sharpe ratio, Sortino ratio, and the total number of trades.

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Aurora: ### 1. Backtest Summary and Comparison The following tables summarize the performance of the latest TCEHY portfolios against the SPY baseline across three distinct time periods. #### Backtest Results: 2022-01-01 to 2022-12-31 (Bearish Market) | Portfolio Name | Portfolio % Change | SPY % Change | Portfolio Sharpe Ratio | SPY Sharpe Ratio | Portfolio Max Drawdown | SPY Max Drawdown | Portfolio Num Trades | | :---------------------------------------------------------- | :------------------ | :------------ | :-------------------- | :---------------- | :---------------------- | :---------------- | :-------------------- | | **User's Core Strategy - Bollinger 20, Vol 1.0x** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Scaled Entry - Bollinger 20, Profit & Stop, No Vol Filter** | -27.96% | **-18.29%** | -1.60 | **-0.50** | 27.97% | **26.29%** | 40,254 | | **Bollinger 20 + RSI 14 + SPY 200 SMA** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | | **Mean Reversion with Trend Filter (RSI 30/70 + 200 SMA)** | 0.00% | **-18.29%** | -1.00 | **-0.50** | 0.00% | **26.29%** | 0 | #### Backtest Results: 2023-01-01 to 2023-12-31 (Recovery Market) | Por…