Bollinger/Keltner squeezelongBacktest-Ergebnisse @ BTCUSD • 10 Minutes
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 69 days von BTCUSD • 10 Minutes (Bitcoin vs USD, Coinbase Pro (GDAX)) Daten, von May 5, 2025 bis July 13, 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 69 days von BTCUSD • 10 Minutes Kerzen getestet. Dieser Backtest ergab 165 Positionen, mit einer durchschnittlichen Gewinnrate von 35% und einem Risiko-Rendite-Verhältnis von 1.94. Wenn Sie annehmen, dass das 1.94 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 34.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 1.00% vs 27.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -6.30% vs -12.10% für das Asset
- Exposition: Exposition: 18.60% Zeit im Markt
- Gewinnrate: Gewinnrate: 35.0%, vs 34.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.94
Mit dieser Exposition können Sie erkennen, dass Sie bei 19% Marktzeit 3.68% des Asset-Aufwärtspotenzials und 52.07% des Asset-Abwärtspotenzials erhalten.
Bollinger/Keltner squeeze: Position eingehen wenn
All of the following: # Whiskey 10min Chart(close) (2 candles ago) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 10min Chart(close) (1 candles ago) > 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 10min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 10min BB (20, 2, 2, 0, close) (1 candles ago) > 10min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: Position verlassen wenn
Any of the following: # Papa 10min Chart(close) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • 10 Minutes (1.0%) erklärt von Mike
Mike
AutorYo fam, let me break down this squeeze play for you! 🚀
This strategy is giving me mixed vibes tbh. The Win/Loss ratio looks pretty decent at 1.94 (meaning winners are almost twice as big as losers), and we're running at 35% win rate which is actually above the minimal required 34% - that's technically profitable! 💪 The fact we're getting 4-5 trades per day is sweet too, lots of action to work with.
But here's where it gets a bit sus my dudes - we're only up 1% total while BTC itself pumped 27.2% in the same period. That's leaving a lot of gains on the table. The market exposure is pretty low at 18.6%, which means we're missing out on a lot of the action. Those drawdowns aren't too scary (-6.3% max), but those negative Sharpe and Sortino ratios are giving me pause. 📉
Overall, I'd say this strategy has potential as a base but needs some tweaking. Maybe we could adjust those Bollinger/Keltner parameters to catch more of the trend? I'm still stacking my Wendy's checks to trade this kind of setup, but I'd probably paper trade it for a bit first before going full send. Remember, small accounts need careful position sizing! 🎯
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf BTCUSD • 10 Minutes
| Gesamttrades | 165 | Nettogewinn | 1.0% | Buy & Hold Gewinn | 27.2% |
| Gewinnrate | 35% | Risiko/Rendite-Verhältnis | 1.94 | Maximaler Drawdown | -6.3% |
| Asset Maximaler Drawdown | -12.1% | Exposition | 18.6% | Durchschn. Kerzen in Position | 10.2 |
| Sharpe-Ratio | -0.56 | Sortino-Ratio | -1.02 | Realisierte Volatilität | 14.18% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.4 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 143.5 | Durchschn. Trades pro Tag | 4.8 |
| Rendite Std Dev | 0.4 | Verlust Std Dev | 0.2 | Gewinn Std Dev | 0.5 |
| Erwartungswert | 0.0 | Beta | 0.17 |
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 |