Bollinger/Keltner squeezelongBacktest Results @ EURUSD • 1 Minute
This strategy buys whenever Bollinger Bands is squeezed into Kelther Channel. This normally indicates that the market is going sideways. This strategy then sells whenever price goes below the Bollinger Bands middle line. The idea is to buy during the obviously sideways market, hoping for it to burst.
Equity Curve
Backtest covers 11 days of EURUSD • 1 Minute (Euro vs USD spot (Interactive Brokers)) data, from July 3, 2025 to July 13, 2025.
Equity curve is the strategy's performance over time. You should compare it to the asset's Buy & Hold performance. In general, you want the blue area to be well above the gray area.
Drawdown is how much losses (realized or unrealized) the strategy has had if compared to the highest equity peak. Compare this to the asset's drawdown to see whether your strategy does a decent job of isolating you from downside volatility. In general, the red area must be well within the gray area.
So, we have backtested Bollinger/Keltner squeeze on 11 days of EURUSD • 1 Minute candles. This backtest resulted in 130 positions, with the average win rate of 28% and reward-risk ratio of 2.41. If you assume that 2.41 reward-to-risk ratio holds, you need a minimum win rate of 29.3 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -0.10% vs -0.90% for the asset
- Max Drawdown: Max Drawdown: -0.50% vs -1.20% for the asset
- Exposure: Exposure: 17.20% time in the market
- Win Rate: Win Rate: 28.0%, vs 29.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.41
With that exposure in mind, you can tell that for 17% time-in-market, you get 11.11% of the asset upside potential, and 41.67% of the asset downside potential.
Bollinger/Keltner squeeze: enter a position when
All of the following: # Whiskey 1min Chart(close) (2 candles ago) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 1min Chart(close) (1 candles ago) > 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 1min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 1min BB (20, 2, 2, 0, close) (1 candles ago) > 1min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: exit a position when
Any of the following: # Papa 1min Chart(close) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ EURUSD • 1 Minute (-0.1%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results show some interesting mathematical patterns, but I have concerns about the strategy's robustness.
The high trade frequency of 26 trades per day gives us good statistical significance with 130 trades over just 11 days. However, the win rate of 28% is problematic, even though the risk/reward ratio of 2.41 theoretically makes it viable. What worries me most is the maximum losing streak of 15 trades - this suggests the strategy might be too sensitive to market noise and could be curve-fitted to specific market conditions.
The low market exposure of 17.2% and better performance than buy & hold (-0.1% vs -0.9%) are positive signs. But the strategy seems to lack consistency - the average win size of 0.04% versus average loss of -0.02% shows very tight margins. In my experience from similiar strategies, such small differences make the strategy very vulnerable to spread and slippage in live trading. I would recommend to increase the minimum target profit to get more robust signals.
Mike
AuthorYo fam, let me break down this squeeze play for you! 🚀
Looking at these numbers, we're seeing some mixed signals but there's definitely potential here. The strategy is doing 26 trades per day which is pretty active - that's the kind of action I live for at Wendy's! The best part is we're only getting -0.1% drawdown while the market was down -0.9%, so we're actually beating buy & hold. That's some diamond hands stuff right there! 💎🙌
The win rate is sitting at 28% which might seem low, but check out that juicy 2.41 risk/reward ratio! We're getting bigger wins than losses, and that 2770% win rate leeway is absolutely bonkers. Plus, the market exposure is only 17.2% which means we're not constantly at risk - perfect for catching those volatile moves while staying safe during choppy times.
One thing that's got me a bit concerned is that 15-trade losing streak - that could be rough on the mental game. But hey, with proper position sizing and that sweet risk/reward ratio, we might be onto something here. Might need to save up a few more Wendy's paychecks before going all in, but I'm definitely keeping my eyes on this one! 🎯
Sarah
AuthorThis strategy is complete garbage, and whoever designed it should consider a career change! Let me tell you why I'm being so harsh.
First of all, a 28% win rate is pathetic - you're losing 72% of your trades! Even with a decent risk/reward ratio of 2.41, you're still losing money overall with a -0.1% net profit. This is exactly the kind of amateur mistake that makes me want to pull my hair out. You're essentially paying your broker to lose money!
The maximum losing streak of 15 trades is absolutely horrifying. How can anyone maintain their account or their sanity with such poor performance? And averaging 26 trades per day? Por favor, you're just churning your account for no reason! The market exposure of 17.2% suggests you're spending most of your time out of the market - probably the only good thing about this strategy since it limits your losses.
Look, I dont want to be mean, but this is the kind of strategy that gives trading a bad name. The only positive thing I can say is that it's performing slightly better than buy & hold (-0.1% vs -0.9%). But that's like saying you're the smartest person in detention - it's not really an achievement to celebrate, verdad?
If you want my honest advice, throw this strategy in the basura and start over. Focus on getting a win rate above 50% or significantly improve your risk/reward ratio. This is just painful to look at.
Tabular metrics of Bollinger/Keltner squeeze backtested on EURUSD • 1 Minute
| Total Trades | 130 | Net Profit | -0.1% | Buy & Hold Profit | -0.9% |
| Win Rate | 28% | Reward/Risk Ratio | 2.41 | Max Drawdown | -0.5% |
| Asset Max Drawdown | -1.2% | Exposure | 17.2% | Avg Candles in Position | 11.9 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 3 | Avg Winning Streak | 1.4 | Max Losing Streak | 15 |
| Avg Losing Streak | 3.2 | Avg Trades per Month | 780.0 | Avg Trades per Day | 26.0 |
| Return Std Dev | 0.0 | Loss Std Dev | 0.0 | Win Std Dev | 0.0 |
| Expectancy | -0.0 | Beta | 0.16 |
All backtests for Bollinger/Keltner squeeze
| backtest | exposure | peformance vs asset | drawdown vs asset | win% | reward/risk |
|---|---|---|---|---|---|
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 |