Bollinger/Keltner squeezelongBacktest-Ergebnisse @ NVDA • 1 Minute
Diese Strategie kauft, wenn die Bollinger Bänder in den Keltner Kanal gequetscht werden. Dies deutet normalerweise darauf hin, dass der Markt seitwärts läuft. Diese Strategie verkauft dann, wenn der Preis unter die Mittellinie der Bollinger Bänder fällt. Die Idee ist, während des offensichtlich seitwärts laufenden Marktes zu kaufen und zu hoffen, dass er ausbricht.
Eigenkapitalkurve
Der Backtest umfasst 38 days von NVDA • 1 Minute (NVIDIA Corporation) Daten, von June 3, 2025 bis July 11, 2025.
Die Eigenkapitalkurve zeigt die Leistung der Strategie im Zeitverlauf. Sie sollten sie mit der Buy & Hold Performance des Assets vergleichen. Im Allgemeinen sollte der blaue Bereich deutlich über dem grauen Bereich liegen.
Drawdown zeigt, wie viel Verluste (realisiert oder nicht realisiert) die Strategie im Vergleich zum höchsten Eigenkapitalpeak hatte. Vergleichen Sie dies mit dem Drawdown des Assets, um zu sehen, ob Ihre Strategie eine anständige Arbeit leistet, Sie von Abwärtsvolatilität zu isolieren. Im Allgemeinen muss der rote Bereich gut innerhalb des grauen Bereichs liegen.
Also haben wir Bollinger/Keltner squeeze über 38 days von NVDA • 1 Minute Kerzen getestet. Dieser Backtest ergab 144 Positionen, mit einer durchschnittlichen Gewinnrate von 43% und einem Risiko-Rendite-Verhältnis von 2.40. Wenn Sie annehmen, dass das 2.40 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 29.4, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 8.10% vs 16.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -1.80% vs -4.40% für das Asset
- Exposition: Exposition: 23.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 43.0%, vs 29.4% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.40
Mit dieser Exposition können Sie erkennen, dass Sie bei 24% Marktzeit 48.50% des Asset-Aufwärtspotenzials und 40.91% des Asset-Abwärtspotenzials erhalten.
Bollinger/Keltner squeeze: Position eingehen wenn
All of the following: # Whiskey 1min Chart(close) (2 candles ago) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 1min Chart(close) (1 candles ago) > 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 1min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 1min BB (20, 2, 2, 0, close) (1 candles ago) > 1min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: Position verlassen wenn
Any of the following: # Papa 1min Chart(close) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ NVDA • 1 Minute (8.1%) erklärt von Alex C, Sarah
Alex C
AutorThese numbers look quite promising from mathematical perspective. The strategy shows good statistical robustness with 144 trades over 38 days - this gives us enough sample size to make meaningful conclusions.
What catches my eye immediatly is the Risk/Reward ratio of 2.40 combined with 43% win rate. This is very solid combination - you only need 29.4% win rate to break even with such R/R, and you are achieving much more. The win rate leeway of 42.71 gives you good buffer for market changes. The max drawdown of only 1.8% is also very respectable, especially considering NVDA's own drawdown was 4.4% in same period.
However, I see two potential problems here: First, the market exposure of 23.8% means you are missing lot of potential moves - the buy&hold did 16.7% while strategy made only 8.1%. Second thing that worries me is the average time in trade of 15.5 minutes - this could mean high transaction costs that are not factored in these results. With 7.6 trades per day, fees could eat significant part of your profits.
Sarah
AutorMadre mía, this strategy is like a teenager trying to drive Formula 1 - technically moving, but far from impressive!
Your win rate is pathetically low at 43%, even though you have decent Risk/Reward of 2.40. Yes, yes, I see the "healthy leeway" above minimal win rate, but let's be real here - you're basically winning less than half the time while the market was going up significantly. The Buy & Hold return doubled your strategy's performance (16.7% vs 8.1%)! That's embarassing, no?
The most concerning part is your market exposure of only 23.8%. You're sitting out most of the moves while still managing to catch plenty of losses. With 7.6 trades per day, you're paying your broker handsomely while underperforming a simple buy-and-hold strategy. The strategy seems to be chopping itself to death with those short 15.5 candle holding periods.
If you want my honest opinion - and I know you do - this strategy needs serious work or should be scrapped completely. It's trying to be too clever with those Bollinger/Keltner squeezes but ending up being too trigger-happy and inefficient. Sometimes simple is better, querido!
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf NVDA • 1 Minute
| Gesamttrades | 144 | Nettogewinn | 8.1% | Buy & Hold Gewinn | 16.7% |
| Gewinnrate | 43% | Risiko/Rendite-Verhältnis | 2.40 | Maximaler Drawdown | -1.8% |
| Asset Maximaler Drawdown | -4.4% | Exposition | 23.8% | Durchschn. Kerzen in Position | 15.5 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.8 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.2 | Durchschn. Trades pro Monat | 227.4 | Durchschn. Trades pro Tag | 7.6 |
| Rendite Std Dev | 0.3 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.4 |
| Erwartungswert | 0.5 | Beta | 0.24 |
Alle Backtests für Bollinger/Keltner squeeze
| common.strategy | Exposition | Leistung vs Asset | Drawdown vs Asset | Gewinnrate | Risiko/Rendite |
|---|---|---|---|---|---|
BTCUSD • 1 Minute | 13% | (0.2%/9.8%) 0.02x | (-0.4%/-1.6%) 0.25x | 49 | 1.2 |
EURUSD • 1 Minute | 17% | (-0.1%/-0.9%) 0.11x | (-0.5%/-1.2%) 0.42x | 28 | 2.4 |
GLD • 1 Minute | 18% | (3.6%/0.0%) Infinityx | (-1.0%/-5.5%) 0.18x | 35 | 4.0 |
NVDA • 1 Minute | 24% | (8.1%/16.7%) 0.49x | (-1.8%/-4.4%) 0.41x | 43 | 2.4 |
SPY • 1 Minute | 23% | (1.0%/4.6%) 0.22x | (-1.6%/-2.1%) 0.76x | 33 | 2.4 |
TSLA • 1 Minute | 23% | (-14.5%/-10.3%) 1.41x | (-15.5%/-21.4%) 0.72x | 28 | 1.3 |
WMT • 1 Minute | 18% | (-3.8%/-5.4%) 0.70x | (-3.9%/-6.4%) 0.61x | 31 | 1.4 |
BTCUSD • 10 Minutes | 19% | (1.0%/27.2%) 0.04x | (-6.3%/-12.1%) 0.52x | 35 | 1.9 |
EURUSD • 10 Minutes | 24% | (-0.3%/6.5%) -0.05x | (-4.3%/-4.3%) 1.00x | 30 | 2.3 |
GLD • 10 Minutes | 19% | (-4.0%/43.7%) -0.09x | (-8.0%/-8.3%) 0.96x | 37 | 1.4 |
NVDA • 10 Minutes | 25% | (-12.1%/32.9%) -0.37x | (-24.9%/-42.8%) 0.58x | 36 | 1.6 |
SPY • 10 Minutes | 26% | (-0.3%/14.3%) -0.02x | (-5.6%/-20.7%) 0.27x | 38 | 1.6 |
TSLA • 10 Minutes | 24% | (4.7%/59.0%) 0.08x | (-32.8%/-55.3%) 0.59x | 40 | 1.6 |
WMT • 10 Minutes | 27% | (17.3%/40.1%) 0.43x | (-6.2%/-23.8%) 0.26x | 44 | 1.9 |
BTCUSD • 1 Hour | 25% | (19.1%/71.4%) 0.27x | (-21.5%/-31.0%) 0.69x | 42 | 1.7 |
EURUSD • 1 Hour | 26% | (4.9%/8.2%) 0.60x | (-2.8%/-9.0%) 0.31x | 41 | 1.9 |
GLD • 1 Hour | 16% | (6.2%/117.6%) 0.05x | (-18.6%/-22.2%) 0.84x | 42 | 1.6 |
NVDA • 1 Hour | 26% | (364.4%/3126.3%) 0.12x | (-34.2%/-68.0%) 0.50x | 49 | 2.5 |
SPY • 1 Hour | 22% | (8.9%/106.7%) 0.08x | (-12.4%/-35.1%) 0.35x | 41 | 1.7 |
TSLA • 1 Hour | 21% | (505.6%/1395.5%) 0.36x | (-34.5%/-75.1%) 0.46x | 43 | 3.1 |
WMT • 1 Hour | 25% | (25.8%/138.2%) 0.19x | (-9.3%/-26.9%) 0.35x | 46 | 1.6 |
BTCUSD • Daily | 28% | (2515.4%/67440.2%) 0.04x | (-51.5%/-83.8%) 0.61x | 45 | 4.2 |
EURUSD • Daily | 25% | (5.2%/10.8%) 0.48x | (-9.1%/-23.3%) 0.39x | 39 | 1.9 |
GLD • Daily | 17% | (13.2%/595.1%) 0.02x | (-21.1%/-45.3%) 0.47x | 39 | 1.9 |
NVDA • Daily | 26% | (577.6%/373678.5%) 0.00x | (-51.4%/-90.0%) 0.57x | 43 | 2.5 |
SPY • Daily | 22% | (14.1%/1316.3%) 0.01x | (-39.4%/-56.7%) 0.69x | 39 | 1.9 |
TSLA • Daily | 24% | (1451.6%/24185.2%) 0.06x | (-38.8%/-75.0%) 0.52x | 47 | 3.9 |
WMT • Daily | 26% | (-44.0%/9978.0%) -0.00x | (-74.7%/-50.6%) 1.48x | 36 | 1.6 |