Bollinger/Keltner squeezelongBacktest-Ergebnisse @ EURUSD • 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 9.6 years von EURUSD • Daily (Euro vs USD spot (Interactive Brokers)) Daten, von December 2, 2015 bis July 10, 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 9.6 years von EURUSD • Daily Kerzen getestet. Dieser Backtest ergab 38 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 1.93. Wenn Sie annehmen, dass das 1.93 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 34.1, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 38 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 5.20% vs 10.80% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -9.10% vs -23.30% für das Asset
- Exposition: Exposition: 25.10% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 34.1% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.93
Mit dieser Exposition können Sie erkennen, dass Sie bei 25% Marktzeit 48.15% des Asset-Aufwärtspotenzials und 39.06% 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 @ EURUSD • Daily (5.2%) erklärt von Mike, Sarah
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy for you! 🚀
The strategy is giving some interesting vibes with that 39% win rate and a solid 1.93 risk/reward ratio. What's really catching my eye is that win rate leeway - we're crushing the minimal required win rate by like 3800%! That's some serious breathing room right there 💪 The average winner is pulling in 1.92% while average losses are contained at -0.99%, which isn't too shabby for forex.
However, keeping it real, that 25% market exposure and only 38 trades over 9.6 years is pretty low-key - we're talking less than one trade per month 😴 The max drawdown of -9.1% isn't terrible for forex, but that -1.27 Sharpe ratio is giving me some pause. Also worth noting that buy & hold actually outperformed this strategy (10.8% vs 5.2%).
Listen up though - this could be a decent base to build on! The risk management looks solid, and those winning trades are nearly double the size of losing ones. Maybe we could juice it up by finding more trade opportunities or combining it with other indicators? Just remember, this is Wendy's money we're playing with, so always gotta keep that risk in check! 🍔💎🙌
Sarah
AutorThis strategy is absolute garbage and anyone suggesting to trade it should be ashamed. Let me tell you why.
First, 38 trades in 9.6 years? That's not even 4 trades per year! You're basically sitting on your hands doing nothing most of the time. And when you finally do trade, you lose 61% of the time. Brilliant plan to lose money slowly!
The strategy underperforms buy & hold by more than 50% (5.2% vs 10.8%). Why would anyone waste their time with this? And look at those pathetic ratios - Sharpe at -1.27 and Sortino at -1.12. These are not just bad, they're embarrassingly bad.
The only remotely positive thing is the Risk/Reward ratio of 1.93, but what good is that when you're losing most trades and barely trading at all? The 8-trade losing streak is particularly concerning - imagine explaining that to your boss or clients.
My honest advice? Delete this strategy and start over. This is not even worth trying to fix. It's like trying to save the Titanic with a bucket - pointless and waste of time.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf EURUSD • Daily
| Gesamttrades | 38 | Nettogewinn | 5.2% | Buy & Hold Gewinn | 10.8% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 1.93 | Maximaler Drawdown | -9.1% |
| Asset Maximaler Drawdown | -23.3% | Exposition | 25.1% | Durchschn. Kerzen in Position | 14.5 |
| Sharpe-Ratio | -1.27 | Sortino-Ratio | -1.12 | Realisierte Volatilität | 3.09% |
| Max. Gewinnserie | 5 | Durchschn. Gewinnserie | 1.9 | Max. Verlustserie | 8 |
| Durchschn. Verlustserie | 2.9 | Durchschn. Trades pro Monat | 0.6 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 2.1 | Verlust Std Dev | 0.7 | Gewinn Std Dev | 2.4 |
| Erwartungswert | 0.2 | Beta | 0.24 |
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 |