Bollinger/Keltner squeezelongBacktest-Ergebnisse @ WMT • 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 WMT • 1 Minute (Walmart Inc.) 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 WMT • 1 Minute Kerzen getestet. Dieser Backtest ergab 127 Positionen, mit einer durchschnittlichen Gewinnrate von 31% und einem Risiko-Rendite-Verhältnis von 1.45. Wenn Sie annehmen, dass das 1.45 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 40.8, um profitabel zu sein. Sie sind also am Arsch! Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -3.80% vs -5.40% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -3.90% vs -6.40% für das Asset
- Exposition: Exposition: 17.70% Zeit im Markt
- Gewinnrate: Gewinnrate: 31.0%, vs 40.8% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.45
Mit dieser Exposition können Sie erkennen, dass Sie bei 18% Marktzeit 70.37% des Asset-Aufwärtspotenzials und 60.94% 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 @ WMT • 1 Minute (-3.8%) erklärt von Alex C, Mike
Alex C
AutorThe strategy shows some interesting characteristics, but I have concerns about its long-term viability. The negative expectancy of -0.2 is problematic, even though the Risk/Reward ratio of 1.45 looks not too bad.
What catches my attention is the win rate of 31% - this is quite low. Although the average win (0.18%) is larger than the average loss (-0.12%), the frequency of losses makes the strategy unprofitable in total. The maximum drawdown of -3.9% is actually not too dramatic, which suggests the risk management part works okay. But still, with 69% of trades being losers, this is mathematicly not sustainable.
The trading frequency looks reasonable with 6.7 trades per day - this gives us enough statistical significance with 127 trades over the testing period. However, the long losing streaks (maximum of 13 consecutive losses) could be psychologicly challenging for most traders. I would suggest to either improve the entry conditions to increase the win rate above the minimal sufficient win rate of 40.8%, or to abandon this strategy completely. The current metrics suggest the strategy is not viable in its current form.
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy on WMT! 🎯
First off, this strategy is keeping us super active with about 7 trades per day - that's some serious action! 🔥 The exposure is only 17.7% which means we're not stuck in positions forever, and that's exactly what we want for quick scalps. The Risk/Reward ratio of 1.45 is actually pretty decent too!
Here's the thing though - we're running at 31% win rate which is a bit rough, especially when we need 40.8% to break even. The max drawdown is only -3.9% which isn't too scary compared to the market's -6.4%, so we're actually controlling risk better than just holding! 💪 Even though we're down 3.8%, we're still beating buy & hold which lost 5.4%, so there's definitely potential here!
I think with some tweaking, this could be a solid strategy fam! Maybe adjust the exit conditions to catch more meat in the middle of moves, or tighten up the entry criteria to boost that win rate. The short average hold time of 13 candles shows we're catching quick moves - just need to make them more profitable! TO THE MOON! 🚀 Not financial advice though, just a Wendy's worker dreaming big! 😎
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf WMT • 1 Minute
| Gesamttrades | 127 | Nettogewinn | -3.8% | Buy & Hold Gewinn | -5.4% |
| Gewinnrate | 31% | Risiko/Rendite-Verhältnis | 1.45 | Maximaler Drawdown | -3.9% |
| Asset Maximaler Drawdown | -6.4% | Exposition | 17.7% | Durchschn. Kerzen in Position | 13.0 |
| Sharpe-Ratio | Sortino-Ratio | Realisierte Volatilität | — | ||
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 13 |
| Durchschn. Verlustserie | 3.7 | Durchschn. Trades pro Monat | 200.5 | Durchschn. Trades pro Tag | 6.7 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.2 |
| Erwartungswert | -0.2 | Beta | 0.2 |
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 |