Bollinger/Keltner squeezelongBacktest-Ergebnisse @ EURUSD • 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 97 days von EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)) Daten, von April 7, 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 97 days von EURUSD • 10 Minutes Kerzen getestet. Dieser Backtest ergab 168 Positionen, mit einer durchschnittlichen Gewinnrate von 30% und einem Risiko-Rendite-Verhältnis von 2.31. Wenn Sie annehmen, dass das 2.31 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 30.2, um profitabel zu sein. Sie sind also am Arsch! Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -0.30% vs 6.50% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -4.30% vs -4.30% für das Asset
- Exposition: Exposition: 24.30% Zeit im Markt
- Gewinnrate: Gewinnrate: 30.0%, vs 30.2% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 2.31
Mit dieser Exposition können Sie erkennen, dass Sie bei 24% Marktzeit -4.62% des Asset-Aufwärtspotenzials und 100.00% 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 @ EURUSD • 10 Minutes (-0.3%) erklärt von Alex C, Mike, Sarah
Alex C
AutorZe numbers look quite problematic to me. First thing that catches my eye is ze terrible win rate of only 30%. Even though ze Risk/Reward ratio of 2.31 mathematically compensates for zis low win rate, it is still concerning from practical perspective.
Ze strategy produces about 3.5 trades per day, which is quite active. However, ze market exposure is only 24.3%, meaning ze strategy stays out of ze market most of ze time. Zis could be good for risk management, but ze negative net profit of -0.3% versus buy & hold profit of 6.5% shows ze strategy is not effective at capturing market moves. Ze average position duration of 13.3 candles suggests zese are relatively short-term trades.
What really worries me is ze maximum losing streak of 12 trades in a row. With such poor win rate, zis kind of drawdown sequence is statistically expected, but psychologically very difficult to handle in real trading. Ze positive Sharpe and Sortino ratios are ze only bright spots, but zey are not impressive enough to justify trading zis strategy. I would recommend either significant modifications to ze entry conditions or abandoning zis approach altogether.
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy! 🚀
The numbers are kinda mixed here. We're seeing some decent activity with 3.5 trades per day, which is pretty sweet for scalping. The Risk/Reward ratio at 2.31 is actually fire 🔥, meaning when we win, we win bigger than we lose. Plus that Sortino ratio at 2.23 shows we're handling downside risk like a boss!
But here's where it gets a bit sus - that 30% win rate is hurting us, fam. Even though we're getting bigger wins than losses, we're still ending up with a -0.3% net profit while the market itself went up 6.5%. That max losing streak of 12 trades would be rough on the mental game too. 😅
Not gonna lie though, I'm kinda vibing with the low drawdown (-4.3%) and the fact we're only exposed to the market 24.3% of the time. Could be a solid foundation to build on if we can bump up that win rate a bit. Maybe adding some confirmation signals or tweaking the exit strategy could turn this into a proper tendies machine! 💎🙌
Sarah
Autor*Sigh* Another disaster waiting to happen. Let me tell you why this is a complete mess.
First of all, your win rate is atrocious - only 30%! Even though you have a decent reward/risk ratio of 2.31, you're still losing money with a -0.3% net profit while the market went up 6.5%. That's embarassing! You're basically paying the market to take your money. And don't get me excited about that 12 trades losing streak - that would destroy most traders mentally.
Your strategy is clearly overcomplicating things with all those Bollinger and Keltner conditions. You're trying to be too clever mixing them up, but the market is laughing at your face. The proof? You're getting absolutely destroyed compared to simple buy & hold. Even my grandmother could make more money just buying and forgetting about it!
The only slightly positive thing I see is the good win rate leeway, but that's like having a nice paint job on a car with no engine. Also, 3.5 trades per day seems excesive - you're probably getting chopped up by fees and spreads.
My recomendation? Go back to the drawing board and stop trying to reinvent the wheel with fancy indicators. Sometimes the most simple solution is the best one. This strategy is going nowere fast.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf EURUSD • 10 Minutes
| Gesamttrades | 168 | Nettogewinn | -0.3% | Buy & Hold Gewinn | 6.5% |
| Gewinnrate | 30% | Risiko/Rendite-Verhältnis | 2.31 | Maximaler Drawdown | -4.3% |
| Asset Maximaler Drawdown | -4.3% | Exposition | 24.3% | Durchschn. Kerzen in Position | 13.3 |
| Sharpe-Ratio | 0.23 | Sortino-Ratio | 2.23 | Realisierte Volatilität | 3.46% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.3 | Max. Verlustserie | 12 |
| Durchschn. Verlustserie | 3.0 | Durchschn. Trades pro Monat | 103.9 | Durchschn. Trades pro Tag | 3.5 |
| Rendite Std Dev | 0.2 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.3 |
| Erwartungswert | -0.0 | Beta | 0.21 |
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 |