Bollinger/Keltner squeezelongBacktest-Ergebnisse @ EURUSD • 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 19.5 months von EURUSD • 1 Hour (Euro vs USD spot (Interactive Brokers)) Daten, von December 6, 2023 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 19.5 months von EURUSD • 1 Hour Kerzen getestet. Dieser Backtest ergab 161 Positionen, mit einer durchschnittlichen Gewinnrate von 41% und einem Risiko-Rendite-Verhältnis von 1.89. Wenn Sie annehmen, dass das 1.89 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 34.6, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 4.90% vs 8.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -2.80% vs -9.00% für das Asset
- Exposition: Exposition: 25.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 41.0%, vs 34.6% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.89
Mit dieser Exposition können Sie erkennen, dass Sie bei 26% Marktzeit 59.76% des Asset-Aufwärtspotenzials und 31.11% 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 @ EURUSD • 1 Hour (4.9%) erklärt von Mike, Sarah
Mike
AutorYo fam, this Bollinger/Keltner squeeze strategy is showing some interesting moves! 🚀
Looking at these numbers, we've got a pretty decent setup here. That 1.89 Risk/Reward ratio is sweet - means when we win, we win bigger than we lose! And check this out: we only need a 34.6% win rate to break even, but we're hitting 41% - that's some solid cushion right there! 💪 The fact we're 40% above the minimal win rate is straight-up fire!
The downside is we're underperforming buy & hold (4.9% vs 8.2%), but hey, we're only exposed to the market 25.8% of the time! That means we're not taking nearly as much risk as hodling. The max drawdown is only -2.8% compared to the market's -9.0% - that's the kind of protection I'm looking for when I'm trying to preserve my Wendy's checks! 🍔
I'm actually kinda hyped about this strategy, even with those losing streaks (9 losses in a row sounds rough but it's manageable with proper position sizing). The consistent growth over different time periods shows it's not just a one-hit wonder. Would I YOLO my whole account into this? Nah, but it could be a solid piece of a larger trading plan! 🎯
Sarah
AutorMadre mía, this strategy is like a broken clock - occasionally right but mostly disappointing! The 41% win rate isn't terrible by itself, but combined with that pathetic 4.9% net profit over 19.5 months? You'd have made more money keeping your cash under your mattress!
Look at those ratios - negative Sharpe and Sortino? That's embarassing! It means you're taking risks without proper compensation. And the strategy clearly can't keep up with simple buy & hold, which made 8.2% in the same period. The market exposure of 25.8% suggests you're sitting on the sidelines most of the time, watching opportunities pass by like a scared gatito.
The only remotely decent thing here is the Risk/Reward ratio of 1.89 and the fact that your win rate is above the minimal sufficient rate. But let's be honest - with those 9-trade losing streaks, you'd need nerves of steel to actually trade this. And for what? To underperform the market? No gracias!
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf EURUSD • 1 Hour
| Gesamttrades | 161 | Nettogewinn | 4.9% | Buy & Hold Gewinn | 8.2% |
| Gewinnrate | 41% | Risiko/Rendite-Verhältnis | 1.89 | Maximaler Drawdown | -2.8% |
| Asset Maximaler Drawdown | -9.0% | Exposition | 25.8% | Durchschn. Kerzen in Position | 14.3 |
| Sharpe-Ratio | -0.42 | Sortino-Ratio | -0.25 | Realisierte Volatilität | 3.16% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.2 | Durchschn. Trades pro Monat | 16.5 | Durchschn. Trades pro Tag | 0.6 |
| Rendite Std Dev | 0.4 | Verlust Std Dev | 0.1 | Gewinn Std Dev | 0.4 |
| 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 |