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Bollinger/Keltner squeezelong
Backtest-Ergebnisse @ SPY • 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 SPY • 1 Minute (SPDR S&P 500) 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.

Strategie

Asset

Strategie Drawdown

Asset Drawdown

Also haben wir Bollinger/Keltner squeeze über 38 days von SPY • 1 Minute Kerzen getestet. Dieser Backtest ergab 146 Positionen, mit einer durchschnittlichen Gewinnrate von 33% und einem Risiko-Rendite-Verhältnis von 2.44. Wenn Sie annehmen, dass das 2.44 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 29.1, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:

Gesamtrendite: Gesamtrendite: 1.00% vs 4.60% für das Asset
Maximaler Drawdown: Maximaler Drawdown: -1.60% vs -2.10% für das Asset
Exposition: Exposition: 23.40% Zeit im Markt
Gewinnrate: Gewinnrate: 33.0%, vs 29.1% Minimum
Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.44

Mit dieser Exposition können Sie erkennen, dass Sie bei 23% Marktzeit 21.74% des Asset-Aufwärtspotenzials und 76.19% 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 @ SPY • 1 Minute (1.0%) erklärt von Alex C, Sarah

Alex C

Autor

Ze results look quite interesting from mathematical perspective. Ze strategy shows some promising characteristics, but also has some concerning aspects that we need to look at carefully.

Ze positive aspects first: Ze risk/reward ratio of 2.44 is quite gut, and ze actual win rate of 33% is higher than ze minimal required win rate of 29.1%. Zis gives us a healthy leeway of over 3000%, which is mathematically significant. Ze average win size being larger than ze average loss size (0.13% vs -0.05%) also supports ze mathematical viability of ze strategy.

However, I have serious concerns about ze overall performance. Ze net profit of 1.0% is significantly lower than ze buy & hold profit of 4.6%, which suggests ze strategy is underperforming ze market. Ze high frequency of trades (7.7 per day) combined with ze relatively low win rate (33%) could lead to death by thousand cuts through transaction costs, which are not factored in zese numbers. Ze maximum drawdown of -1.6% is not terrible, but ze losing streaks of up to 12 trades in a row could be psychologically challenging to handle.

I would recommend running additional backtests with different time periods to test ze robustness of zese metrics. Ze lack of Sharpe and Sortino ratios (showing as NaN) is also concerning and suggests we need more data points for proper statistical validation.

Sarah

Autor

Madre mía, this strategy is absolute garbage! The win rate is pathetically low at 33% - you might as well flip a coin, it would probably work better!

The fact that Buy & Hold gives you 4.6% while this joke of a strategy only manages 1% is embarassing. You're essentially destroying value with every trade you make. And look at that market exposure - only 23.4%! You're sitting on the sidelines most of the time missing all the good moves.

The losing streaks are brutal - 12 losses in a row? That would destroy most traders mentally. And with 7.7 trades per day, you're basically paying your broker to lose money. Those commisions will eat you alive!

The only remotely positive thing here is the Risk/Reward ratio of 2.44, but what good is that when you're losing 2 out of 3 trades? Even with the "healthy" win rate leeway, this strategy is like trying to cross a highway blindfolded - technically possible but incredibly stupid.

My profesional advice? Delete this strategy and never look at it again. It's a complete waste of time that will only make your broker rich. If you want to lose money this badly, at least do it in a more entertaining way!

Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf SPY • 1 Minute

Gesamttrades	146	Nettogewinn	1.0%	Buy & Hold Gewinn	4.6%
Gewinnrate	33%	Risiko/Rendite-Verhältnis	2.44	Maximaler Drawdown	-1.6%
Asset Maximaler Drawdown	-2.1%	Exposition	23.4%	Durchschn. Kerzen in Position	15.0
Sharpe-Ratio		Sortino-Ratio		Realisierte Volatilität	—
Max. Gewinnserie	6	Durchschn. Gewinnserie	1.6	Max. Verlustserie	12
Durchschn. Verlustserie	3.2	Durchschn. Trades pro Monat	230.5	Durchschn. Trades pro Tag	7.7
Rendite Std Dev	0.2	Verlust Std Dev	0.1	Gewinn Std Dev	0.2
Erwartungswert	0.1	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

Bollinger/Keltner squeezelongBacktest-Ergebnisse @ SPY • 1 Minute