Bollinger/Keltner squeezelongBacktest-Ergebnisse @ BTCUSD • Daily
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 10.5 years von BTCUSD • Daily (Bitcoin vs USD, Coinbase Pro (GDAX)) Daten, von January 13, 2015 bis July 12, 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 10.5 years von BTCUSD • Daily Kerzen getestet. Dieser Backtest ergab 62 Positionen, mit einer durchschnittlichen Gewinnrate von 45% und einem Risiko-Rendite-Verhältnis von 4.22. Wenn Sie annehmen, dass das 4.22 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 19.2, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 62 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 2515.40% vs 67440.20% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -51.50% vs -83.80% für das Asset
- Exposition: Exposition: 28.10% Zeit im Markt
- Gewinnrate: Gewinnrate: 45.0%, vs 19.2% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 4.22
Mit dieser Exposition können Sie erkennen, dass Sie bei 28% Marktzeit 3.73% des Asset-Aufwärtspotenzials und 61.46% des Asset-Abwärtspotenzials erhalten.
Bollinger/Keltner squeeze: Position eingehen wenn
All of the following: # Whiskey D Chart(close) (2 candles ago) < D Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) D Chart(close) (1 candles ago) > D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < D Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) D BB (20, 2, 2, 0, close) (1 candles ago) > D Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: Position verlassen wenn
Any of the following: # Papa D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • Daily (2515.4%) erklärt von Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting metrics, but I have concerns about the strategy's stability. The win rate of 45% combined with a risk/reward ratio of 4.22 leads to positive expectancy of 1.4, which looks mathematicaly viable. However, the high drawdown of 51.5% is quite concerning for real trading.
The market exposure of 28.1% suggests this is not a very active strategy, which matches with the average of only 1 trade per month. This low frequency combined with only 62 total trades over 10.5 years makes the statistical significance questionable. The performance varies drasticaly across different timeframes - from -99.1% in 6 months to +1804.5% in 5 years. Such high variance indicates potential instability and dependency on specific market conditions.
While the strategy shows mathematicaly positive metrics in isolation, I would not recommend trading this without further optimization. The low Sharpe ratio of 0.23 suggests poor risk-adjusted returns, and the strategy significantly underperforms buy & hold (2515% vs 67440%). I would suggest testing with different parameter settings and analyzing more recent timeframes to check if the pattern still holds in current market conditions.
Mike
AutorYo fam, this Bollinger/Keltner squeeze strategy is showing some pretty wild numbers! 🚀 The overall 2515% net profit looks juicy, but let's keep it real - we're still way behind that insane buy & hold return of 67440%.
What's really catching my eye here is that risk/reward setup though! 🔥 We're talking about a 4.22 R/R ratio with average winners hitting 21.53% while average losses are only -5.10%. That's the kind of asymmetric betting I live for at Wendy's! The win rate at 45% might look meh at first, but with these ratios, we only need a 19.2% win rate to break even - that's a huge safety cushion!
The main downside I'm seeing is that -51.5% max drawdown - that's gonna test your diamond hands for sure 💎🙌. Also, only 1 trade per month means you gotta be patient AF. But honestly, for a strategy that's been backtested over 10 years with solid R/R ratios and good win rate leeway, this could be worth throwing some tendies at. Just gotta manage that position sizing so the drawdowns don't wreck your account! 🎯
Sarah
AutorMadre mia, this strategy is a complete disaster! The Buy & Hold return crushes your strategy by a factor of 26 - you're making 2515% while simple holding would give you 67440%. What kind of trader are you trying to be?
The risk metrics are absolutely terrible. A Sharpe ratio of 0.23? That's pathetic! You're taking on massive risk for mediocre returns. And that 51.5% drawdown - do you enjoy watching your account get cut in half?
The only somewhat decent thing here is the Risk/Reward ratio of 4.22, but with such a poor win rate of 45%, it's like having a Ferrari with no engine. Your strategy makes barely 1 trade per month - are you trading or sleeping?
Look at those time period returns - they're all over the place! -99.1% in 6 months, then magically +455% in 2 years? This is pure gambling, not trading. The strategy has no consistency whatsoever.
My advice? Throw this strategy in the garbage where it belongs. Either learn to build something more robust or just buy and hold Bitcoin. At least then you won't underperform the market by such an embarrasing margin.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf BTCUSD • Daily
| Gesamttrades | 62 | Nettogewinn | 2515.4% | Buy & Hold Gewinn | 67440.2% |
| Gewinnrate | 45% | Risiko/Rendite-Verhältnis | 4.22 | Maximaler Drawdown | -51.5% |
| Asset Maximaler Drawdown | -83.8% | Exposition | 28.1% | Durchschn. Kerzen in Position | 16.3 |
| Sharpe-Ratio | 0.23 | Sortino-Ratio | 0.78 | Realisierte Volatilität | 28.33% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.9 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.1 | Durchschn. Trades pro Monat | 1.0 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 20.0 | Verlust Std Dev | 3.5 | Gewinn Std Dev | 22.0 |
| Erwartungswert | 1.4 | Beta | 0.25 |
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 |