Bollinger/Keltner squeezelongBacktest-Ergebnisse @ GLD • 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 20.7 years von GLD • Daily (SPDR Gold Trust) Daten, von November 18, 2004 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 20.7 years von GLD • Daily Kerzen getestet. Dieser Backtest ergab 59 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 1.95. Wenn Sie annehmen, dass das 1.95 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 33.9, um profitabel zu sein. Sie stehen also gut da. Allerdings sind 59 Positionen eine kleine Stichprobe, nehmen Sie die Ergebnisse also mit einer großen Portion Skepsis. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 13.20% vs 595.10% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -21.10% vs -45.30% für das Asset
- Exposition: Exposition: 16.80% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 33.9% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.95
Mit dieser Exposition können Sie erkennen, dass Sie bei 17% Marktzeit 2.22% des Asset-Aufwärtspotenzials und 46.58% 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 @ GLD • Daily (13.2%) erklärt von Mike, Sarah
Mike
AutorYo fam, let me break down this squeeze play for you! 🚀💎
Looking at this Bollinger/Keltner strategy on GLD, it's giving some interesting vibes. The win rate is sitting at 39% which might sound low, but check this out - when we win, we're banking 3.61% compared to -1.85% on losses. That's nearly a 2:1 reward-to-risk ratio! Plus, we're actually running 5% above the minimum required win rate, which is pretty sweet for margin of safety. 🎯
The downside is we're only getting like half a trade per month, so this is definitely not a day trading strategy. And that 21.1% max drawdown is kinda rough ngl. The market exposure is super low at 16.8%, which means we're mostly sitting on the sidelines watching the market do its thing. 💤
Here's the real talk though - while we're making some gains (13.2% total), we're getting absolutely smoked by buy & hold (595.1%). But maybe that's not the whole story since we're taking way less risk by being in the market only 16.8% of the time. Could be good for someone who wants to trade gold with lower risk exposure, but probably not for us Wendy's warriors looking for those juicy tendies! 🍗
Not financial advice tho, just a dude behind the Wendy's counter dreaming big! 🚀
Sarah
AutorMadre de dios, this strategy is absolute garbage! Let me tell you why, mi amigo.
First of all, 13.2% total return over 20.7 years? That's pathetic! The buy & hold strategy made 595.1% - you're literally throwing money away here. Even putting your money under the mattress would have been better considering inflation. And look at that market exposure - only 16.8%! You're sitting out of the market most of the time, missing all the good moves.
The win rate is another disaster - 39% winners? Are you trying to lose money on purpose? Yes, yes, I see the Risk/Reward ratio is 1.95, which technically makes it matematically viable with that win rate. But why would anyone want to sit through 9 consecutive losses (your max losing streak) for such mediocre returns? That's masochistic!
The most embarassing part is the performance metrics. Negative Sharpe ratio (-0.58), negative Sortino ratio (-0.43), and a pathetic 0.15 Beta. This means you're not only underperforming, you're doing it with significant risk! The 21.1% max drawdown is just the cherry on top of this disaster sundae.
Mi consejo? Throw this strategy in the basura where it belongs. You're better off buying and holding or finding a completely different approach. This one is dead on arrival.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf GLD • Daily
| Gesamttrades | 59 | Nettogewinn | 13.2% | Buy & Hold Gewinn | 595.1% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 1.95 | Maximaler Drawdown | -21.1% |
| Asset Maximaler Drawdown | -45.3% | Exposition | 16.8% | Durchschn. Kerzen in Position | 13.8 |
| Sharpe-Ratio | -0.58 | Sortino-Ratio | -0.43 | Realisierte Volatilität | 5.09% |
| Max. Gewinnserie | 3 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 9 |
| Durchschn. Verlustserie | 2.6 | Durchschn. Trades pro Monat | 0.5 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 3.7 | Verlust Std Dev | 1.3 | Gewinn Std Dev | 3.8 |
| Erwartungswert | 0.1 | Beta | 0.15 |
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 |