Bollinger/Keltner squeezelongBacktest-Ergebnisse @ GLD • 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 5.7 years von GLD • 1 Hour (SPDR Gold Trust) Daten, von October 25, 2019 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 5.7 years von GLD • 1 Hour Kerzen getestet. Dieser Backtest ergab 98 Positionen, mit einer durchschnittlichen Gewinnrate von 42% 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 stehen also gut da. Allerdings sind 98 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 6.20% vs 117.60% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -18.60% vs -22.20% für das Asset
- Exposition: Exposition: 15.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 42.0%, vs 38.3% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.61
Mit dieser Exposition können Sie erkennen, dass Sie bei 16% Marktzeit 5.27% des Asset-Aufwärtspotenzials und 83.78% 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 @ GLD • 1 Hour (6.2%) erklärt von Alex C, Sarah
Alex C
AutorThe numbers look not convincing to me. The strategy shows significant underperformance compared to buy and hold, which delivered 117.6% while the strategy only made 6.2%. This is a red flag already.
The win rate of 42% combined with a risk/reward ratio of 1.61 mathematically makes sense - the minimal required win rate is 38.3% and we are above that. However, the maximum drawdown of 18.6% is quite high for such low returns. The negative Sharpe and Sortino ratios (-0.66 and -0.62) confirm that the risk-adjusted returns are poor. This suggests the strategy is taking too much risk for the returns it generates.
Looking at the longer timeframe performance, the strategy shows deteriorating results - from +7% over 2 years to -8.6% over 5 years. This pattern makes me worried about the robustness of the strategy. The low trading frequency (2.8 trades per month) also means we don't have enough statistical significance to make strong conclusions about the strategy's true characteristics. In my experience, we need at minimum 200-300 trades to have meaningful statistics.
Sarah
AutorThis strategy is pure garbage, amigo. Let me tell you why, and please don't take it personal - I just hate seeing people waste their time on broken strategies.
First of all, your strategy is making only 6.2% over 5.7 years while the asset itself made 117.6%. That's embarrasingly bad - you would have made almost 20 times more money by simply buying and holding! Even my abuela could do better than that by throwing darts at a chart.
The win rate is pathetic at 42% - you're losing more often than winning. Si, si, I know you have a positive R/R ratio of 1.61, but with that market exposure of only 15.8%, you're basically sitting on your hands most of the time while the market runs away without you. Your Sharpe and Sortino ratios are negative (-0.66 and -0.62), which means you're not even being compensated for the risk you're taking.
The only slightly positive thing I see is the win rate leeway being above the minimal required win rate. But that's like saying "hey, at least my car that doesn't move has good tires!"
My honest advice? Throw this strategy in la basura and start over. You're trying to catch specific squeeze conditions but missing the bigger picture. The market is giving you clear signals that this approach doesn't work.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf GLD • 1 Hour
| Gesamttrades | 98 | Nettogewinn | 6.2% | Buy & Hold Gewinn | 117.6% |
| Gewinnrate | 42% | Risiko/Rendite-Verhältnis | 1.61 | Maximaler Drawdown | -18.6% |
| Asset Maximaler Drawdown | -22.2% | Exposition | 15.8% | Durchschn. Kerzen in Position | 15.1 |
| Sharpe-Ratio | -0.66 | Sortino-Ratio | -0.62 | Realisierte Volatilität | 5.61% |
| Max. Gewinnserie | 8 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 6 |
| Durchschn. Verlustserie | 2.4 | Durchschn. Trades pro Monat | 2.8 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 1.4 | Verlust Std Dev | 0.6 | Gewinn Std Dev | 1.4 |
| Erwartungswert | 0.1 | Beta | 0.18 |
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 |