Bollinger/Keltner squeezelongBacktest-Ergebnisse @ SPY • 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 SPY • 1 Hour (SPDR S&P 500) 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 SPY • 1 Hour Kerzen getestet. Dieser Backtest ergab 128 Positionen, mit einer durchschnittlichen Gewinnrate von 41% und einem Risiko-Rendite-Verhältnis von 1.71. Wenn Sie annehmen, dass das 1.71 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 36.9, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 8.90% vs 106.70% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -12.40% vs -35.10% für das Asset
- Exposition: Exposition: 22.10% Zeit im Markt
- Gewinnrate: Gewinnrate: 41.0%, vs 36.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.71
Mit dieser Exposition können Sie erkennen, dass Sie bei 22% Marktzeit 8.34% des Asset-Aufwärtspotenzials und 35.33% 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 @ SPY • 1 Hour (8.9%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe strategy looks mathematically valid but not particularly impressive. The win rate of 41% combined with a risk/reward ratio of 1.71 gives us positive expectancy of 0.1, which is technically profitable but quite weak. The good news is that the actual win rate is 4% above the minimal required win rate - this provides some safety margin.
However, the performance metrics are concerning. A Sharpe ratio of -0.39 and Sortino of -0.11 indicate poor risk-adjusted returns. The strategy's net profit of 8.9% over 5.7 years significantly underperforms buy & hold at 106.7%. With market exposure of only 22.1%, one could argue the strategy is too conservative, but then the max drawdown of -12.4% is still quite high for such limited exposure.
I notice the average trade frequency is quite low at 3.7 trades per month. This makes the statistical significance questionable despite having 128 total trades. The strategy also shows concerning streaks - maximum losing streak of 8 trades versus maximum winning streak of 4 trades. This asymmetry suggests the strategy might not be robust enough for real trading conditions. I would recommend either adjusting the entry/exit parameters or exploring other approaches entirely.
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy for you! 🚀
The stats are showing some interesting potential here. With a 41% win rate and a solid 1.71 risk/reward ratio, we're actually running 4063% above the minimal required win rate - that's pretty fire! 🔥 The average winner brings in 1.26% while average losses are contained at -0.74%, which isn't too shabby for a system trading SPY on the hourly.
But here's where it gets real - the strategy's total return of 8.9% over 5.7 years is kinda weak sauce compared to buy & hold's 106.7%. 😬 The market exposure is only 22.1% though, which means we're not taking on full market risk. This could be clutch during bear markets! Plus, with only 3.7 trades per month, we're not getting killed on commissions at Wendy's paycheck levels.
Listen up though - those 8-trade losing streaks can be rough on the mental game. You gotta have diamond hands 💎🙌 to stick with it through the drawdowns. But if you can handle the volatility and use proper position sizing, this could be a decent piece of a larger trading strategy. Just don't YOLO your whole account on this one system! Keep it real and trade safe, fam! 🚀
Sarah
AutorMadre mía, this strategy is absolute garbage! The numbers are screaming "stay away" louder than my abuela when she catches someone touching her paella pan.
Look at that pathetic 8.9% total return over 5.7 years while the market gave 106.7%! You would have made more money putting your cash under your mattress, por dios! The win rate of 41% is technically above the minimal required 36.9%, but that's like being proud of passing an exam with D-. And that -12.4% drawdown? Absolutamente terrible for such mediocre returns!
The market exposure is only 22.1%, which means you're sitting out most of the time like a scared gatito, and when you do trade, you're doing it wrong. The negative Sharpe and Sortino ratios are just embarassing - it means you're taking stupid risks for subpar returns. This is like trying to make tortilla española without eggs!
If you're actually considering trading this strategy, you should probably also consider buying lottery tickets - at least those are more entertaining ways to lose money. The only positive thing I can say is that with only 3.7 trades per month, you won't lose your money very quickly.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf SPY • 1 Hour
| Gesamttrades | 128 | Nettogewinn | 8.9% | Buy & Hold Gewinn | 106.7% |
| Gewinnrate | 41% | Risiko/Rendite-Verhältnis | 1.71 | Maximaler Drawdown | -12.4% |
| Asset Maximaler Drawdown | -35.1% | Exposition | 22.1% | Durchschn. Kerzen in Position | 16.3 |
| Sharpe-Ratio | -0.39 | Sortino-Ratio | -0.11 | Realisierte Volatilität | 5.22% |
| Max. Gewinnserie | 4 | Durchschn. Gewinnserie | 1.7 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 3.7 | Durchschn. Trades pro Tag | 0.1 |
| Rendite Std Dev | 1.4 | Verlust Std Dev | 0.7 | Gewinn Std Dev | 1.2 |
| Erwartungswert | 0.1 | Beta | 0.1 |
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 |