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Bollinger/Keltner squeezelong
Backtest-Ergebnisse @ BTCUSD • 1 Hour

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 13.9 months von BTCUSD • 1 Hour (Bitcoin vs USD, Coinbase Pro (GDAX)) Daten, von May 23, 2024 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.

Strategie

Asset

Strategie Drawdown

Asset Drawdown

Also haben wir Bollinger/Keltner squeeze über 13.9 months von BTCUSD • 1 Hour Kerzen getestet. Dieser Backtest ergab 161 Positionen, mit einer durchschnittlichen Gewinnrate von 42% und einem Risiko-Rendite-Verhältnis von 1.72. Wenn Sie annehmen, dass das 1.72 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 36.8, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:

Gesamtrendite: Gesamtrendite: 19.10% vs 71.40% für das Asset
Maximaler Drawdown: Maximaler Drawdown: -21.50% vs -31.00% für das Asset
Exposition: Exposition: 24.60% Zeit im Markt
Gewinnrate: Gewinnrate: 42.0%, vs 36.8% Minimum
Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.72

Mit dieser Exposition können Sie erkennen, dass Sie bei 25% Marktzeit 26.75% des Asset-Aufwärtspotenzials und 69.35% des Asset-Abwärtspotenzials erhalten.

Bollinger/Keltner squeeze: Position eingehen wenn

All of the following: # Whiskey
  60min Chart(close) (2 candles ago) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago)
  60min Chart(close) (1 candles ago) > 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago)
  60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 60min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago)
  60min BB (20, 2, 2, 0, close) (1 candles ago) > 60min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)

Bollinger/Keltner squeeze: Position verlassen wenn

Any of the following: # Papa
  60min Chart(close) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Middle

Bollinger/Keltner squeeze @ BTCUSD • 1 Hour (19.1%) erklärt von Mike, Sarah

Mike

Autor

Yo fam, this squeeze strategy is looking pretty interesting! 🚀 The numbers are giving us some mixed signals but there's definitely potential here.

Looking at the core stats, we're working with a decent sample size of 161 trades over 13.9 months, which is solid for getting reliable data. The 42% win rate might look a bit low at first, but check this out - our R/R ratio is 1.72 which means we're actually making more on our winners than we're losing on our losers! That's why we're still profitable despite fewer winning trades. Plus, we've got a healthy 41.63% cushion above the minimum required win rate, which is straight fire! 🔥

The downside is we're underperforming buy & hold (19.1% vs 71.4%), but hey, we're only exposed to the market 24.6% of the time, which means way less risk and stress. That -21.5% max drawdown is a bit scary though - might need to tighten up those stop losses. The monthly trade frequency of 23.2 trades seems pretty sweet for us part-time traders juggling Wendy's shifts! 💪

All in all, I'd say this strategy has potential but might need some tweaking. Maybe we could work on reducing that drawdown while keeping the solid R/R ratio. Not financial advice though, just a fellow degen sharing thoughts! 🍗📈

Sarah

Autor

Madre mía, this strategy is a complete disaster! The only reason it shows any profit at all is because we're in a bull market - just look at that pathetic 19.1% return when buy & hold gave 71.4%! You're basically throwing money away.

The win rate is absolutely terrible - 42%? Are you kidding me? Even with a decent risk/reward ratio of 1.72, you're still underperforming the market by a massive margin. And that drawdown of -21.5% is just waiting to wipe out your account. The Sharpe and Sortino ratios are embarassing - basically telling you there's no skill here, just random luck.

Look at those streaks - 8 losses in a row! ¡Dios mío! You would need nerves of steel to trade this garbage, and for what? To make less money than if you just bought and held? The market exposure of 24.6% shows you're missing most of the upward moves while still managing to catch the downturns. ¡Qué desastre!

I suggest you either completely rebuild this strategy from scratch or save yourself the trouble and just buy and hold. This is not a strategy - it's a recipe for frustration and lost money.

Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf BTCUSD • 1 Hour

Gesamttrades	161	Nettogewinn	19.1%	Buy & Hold Gewinn	71.4%
Gewinnrate	42%	Risiko/Rendite-Verhältnis	1.72	Maximaler Drawdown	-21.5%
Asset Maximaler Drawdown	-31.0%	Exposition	24.6%	Durchschn. Kerzen in Position	14.3
Sharpe-Ratio	0.20	Sortino-Ratio	-0.19	Realisierte Volatilität	22.75%
Max. Gewinnserie	6	Durchschn. Gewinnserie	1.8	Max. Verlustserie	8
Durchschn. Verlustserie	2.5	Durchschn. Trades pro Monat	23.2	Durchschn. Trades pro Tag	0.8
Rendite Std Dev	1.8	Verlust Std Dev	0.9	Gewinn Std Dev	1.7
Erwartungswert	0.1	Beta	0.19

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 @ BTCUSD • 1 Hour