Bollinger/Keltner squeezelongBacktest-Ergebnisse @ SPY • 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 32.5 years von SPY • Daily (SPDR S&P 500) Daten, von January 29, 1993 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 32.5 years von SPY • Daily Kerzen getestet. Dieser Backtest ergab 108 Positionen, mit einer durchschnittlichen Gewinnrate von 39% und einem Risiko-Rendite-Verhältnis von 1.86. Wenn Sie annehmen, dass das 1.86 Risiko-Rendite-Verhältnis gilt, benötigen Sie eine Mindestgewinnrate von 35.0, um profitabel zu sein. Sie stehen also gut da. Die wichtigsten Metriken sind wie folgt:
- Gesamtrendite: Gesamtrendite: 14.10% vs 1316.30% für das Asset
- Maximaler Drawdown: Maximaler Drawdown: -39.40% vs -56.70% für das Asset
- Exposition: Exposition: 22.40% Zeit im Markt
- Gewinnrate: Gewinnrate: 39.0%, vs 35.0% Minimum
- Risiko/Rendite-Verhältnis: Risiko/Rendite-Verhältnis: 1.86
Mit dieser Exposition können Sie erkennen, dass Sie bei 22% Marktzeit 1.07% des Asset-Aufwärtspotenzials und 69.49% 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 @ SPY • Daily (14.1%) erklärt von Mike, Sarah
Mike
AutorYo fam, this squeeze play looks kinda sus tbh 🤔 The win rate's only 39% which ain't great, but check this out - when it wins, it wins BIG with 2.62% average gains vs 1.41% losses. That's some thicc risk/reward ratio right there! 💪
The strategy's only got us in the market 22.4% of the time which is pretty conservative, and it's only doing like 0.5 trades per month. That's not exactly YOLO material my dudes, but maybe that's not so bad considering the market's been acting crazier than my Wendy's manager lately 😅 The max drawdown of -39.4% is kinda scary though ngl, that's some serious diamond hands territory. 💎🙌
Overall, this strategy's giving me more red flags than my ex's Instagram. The total return of 14.1% over 32 years vs buy & hold's 1316.3% is straight up depressing fam. But hey, if you're looking for a super selective strategy with decent R/R when it hits, this might be worth paper trading. Just don't bet your entire Wendy's paycheck on it! 🍔 DYOR and maybe consider some modifications to boost that win rate. Not financial advice, just a fellow degen's thoughts! 🚀
Sarah
AutorMadre mía, this strategy is complete garbage! Only an idiota would consider trading this. Let me tell you why I'm being so harsh.
First, look at that pathetic 14.1% total return over 32.5 years when buy & hold gave 1316.3%! You would have done better putting your money under your mattress, coño! The strategy shows negative Sharpe and Sortino ratios - it's literally worse than doing nothing. And that 39.4% maximum drawdown? Absolutamente terrible!
The only slightly positive thing I see is the Risk/Reward ratio of 1.86 and the fact that the win rate is above the minimal sufficient rate. But mira, with only 108 trades over 32 years (that's like 3 trades per year!), these numbers are barely meaningful. You're basically sitting out most of the market moves like a scared gatito.
My professional advice? Throw this strategy in la basura where it belongs. It's clear whoever designed this doesn't understand basic market mechanics. The entry conditions are overly complicated for such poor results. Go back to the drawing board and stop wasting time with such mediocre strategies.
Tabellarische Metriken von Bollinger/Keltner squeeze getestet auf SPY • Daily
| Gesamttrades | 108 | Nettogewinn | 14.1% | Buy & Hold Gewinn | 1316.3% |
| Gewinnrate | 39% | Risiko/Rendite-Verhältnis | 1.86 | Maximaler Drawdown | -39.4% |
| Asset Maximaler Drawdown | -56.7% | Exposition | 22.4% | Durchschn. Kerzen in Position | 15.9 |
| Sharpe-Ratio | -0.59 | Sortino-Ratio | -0.53 | Realisierte Volatilität | 4.60% |
| Max. Gewinnserie | 6 | Durchschn. Gewinnserie | 1.6 | Max. Verlustserie | 7 |
| Durchschn. Verlustserie | 2.5 | Durchschn. Trades pro Monat | 0.5 | Durchschn. Trades pro Tag | 0.0 |
| Rendite Std Dev | 2.7 | Verlust Std Dev | 1.0 | Gewinn Std Dev | 2.8 |
| 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 |