Bollinger/Keltner squeezelongBacktest-Ergebnisse @ SPY • 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 12.6 months von SPY • 10 Minutes (SPDR S&P 500) Daten, von June 28, 2024 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 12.6 months von SPY • 10 Minutes Kerzen getestet. Dieser Backtest ergab 144 Positionen, mit einer durchschnittlichen Gewinnrate von 38% und einem Risiko-Rendite-Verhältnis von 1.61. Wenn Sie annehmen, dass das 1.61 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 38.3, um profitabel zu sein. Sie sind also am Arsch! Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: -0.30% vs 14.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -5.60% vs -20.70% für das Asset
- Exposition: Exposition: 26.20% Zeit im Markt
- Gewinnrate: Gewinnrate: 38.0%, vs 38.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.61
Mit dieser Exposition können Sie erkennen, dass Sie bei 26% Marktzeit -2.10% des Asset-Aufwärtspotenzials und 27.05% 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 @ SPY • 10 Minutes (-0.3%) erklärt von Alex C
Alex C
AutorThe strategy shows some concerning patterns that I must point out. The negative net profit of -0.3% compared to buy & hold profit of 14.3% is already a red flag. Even though the Risk/Reward ratio of 1.61 looks okay on paper, the low win rate of 38% makes it problematic.
What catches my attention most is the high number of trades - 144 trades in about 12 months means relatively high trading activity. This could lead to significant transaction costs in real trading, which would make the already negative performance even worse. The market exposure of 26.2% suggests the strategy is quite selective about when it enters the market, which is good, but it's not catching the major moves as evidenced by the underperformance versus buy & hold.
The negative Sharpe ratio (-0.41) and Sortino ratio (-0.11) are clear indicators that this strategy is not delivering risk-adjusted returns. While the maximum drawdown of -5.6% might seem acceptable compared to the asset's -20.7%, we must remember that this is achieved through lower market exposure, not through superior trading decisions. I would strongly suggest to either modify the entry conditions or look for a completely different approach.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf SPY • 10 Minutes
| Gesamttrades | 144 | Nettogewinn | -0.3% | Buy & Hold Gewinn | 14.3% |
| Gewinnrate | 38% | Risiko/Rendite-Verhältnis | 1.61 | Maximaler Drawdown | -5.6% |
| Asset Maximaler Drawdown | -20.7% | Exposition | 26.2% | Durchschn. Kerzen in Position | 17.2 |
| Sharpe-Ratio | -0.41 | Sortino-Ratio | -0.11 | Realisierte Volatilität | 6.66% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.7 | Durchschn. Trades pro Monat | 22.9 | Durchschn. Trades pro Tag | 0.8 |
| Rendite Std Dev | 0.5 | Verlust Std Dev | 0.3 | Gewinn Std Dev | 0.3 |
| Erwartungswert | -0.0 | Beta | 0.12 |
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 |