Bollinger/Keltner squeezelongBacktest Results @ NVDA • 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 38 days of NVDA • 1 Minute (NVIDIA Corporation) data, from June 3, 2025 to July 11, 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 38 days of NVDA • 1 Minute candles. This backtest resulted in 144 positions, with the average win rate of 43% and reward-risk ratio of 2.40. If you assume that 2.40 reward-to-risk ratio holds, you need a minimum win rate of 29.4 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 8.10% vs 16.70% for the asset
- Max Drawdown: Max Drawdown: -1.80% vs -4.40% for the asset
- Exposure: Exposure: 23.80% time in the market
- Win Rate: Win Rate: 43.0%, vs 29.4% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.40
With that exposure in mind, you can tell that for 24% time-in-market, you get 48.50% of the asset upside potential, and 40.91% 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 @ NVDA • 1 Minute (8.1%) backtest results explained by Alex C, Sarah
Alex C
AuthorThese numbers look quite promising from mathematical perspective. The strategy shows good statistical robustness with 144 trades over 38 days - this gives us enough sample size to make meaningful conclusions.
What catches my eye immediatly is the Risk/Reward ratio of 2.40 combined with 43% win rate. This is very solid combination - you only need 29.4% win rate to break even with such R/R, and you are achieving much more. The win rate leeway of 42.71 gives you good buffer for market changes. The max drawdown of only 1.8% is also very respectable, especially considering NVDA's own drawdown was 4.4% in same period.
However, I see two potential problems here: First, the market exposure of 23.8% means you are missing lot of potential moves - the buy&hold did 16.7% while strategy made only 8.1%. Second thing that worries me is the average time in trade of 15.5 minutes - this could mean high transaction costs that are not factored in these results. With 7.6 trades per day, fees could eat significant part of your profits.
Sarah
AuthorMadre mía, this strategy is like a teenager trying to drive Formula 1 - technically moving, but far from impressive!
Your win rate is pathetically low at 43%, even though you have decent Risk/Reward of 2.40. Yes, yes, I see the "healthy leeway" above minimal win rate, but let's be real here - you're basically winning less than half the time while the market was going up significantly. The Buy & Hold return doubled your strategy's performance (16.7% vs 8.1%)! That's embarassing, no?
The most concerning part is your market exposure of only 23.8%. You're sitting out most of the moves while still managing to catch plenty of losses. With 7.6 trades per day, you're paying your broker handsomely while underperforming a simple buy-and-hold strategy. The strategy seems to be chopping itself to death with those short 15.5 candle holding periods.
If you want my honest opinion - and I know you do - this strategy needs serious work or should be scrapped completely. It's trying to be too clever with those Bollinger/Keltner squeezes but ending up being too trigger-happy and inefficient. Sometimes simple is better, querido!
Tabular metrics of Bollinger/Keltner squeeze backtested on NVDA • 1 Minute
| Total Trades | 144 | Net Profit | 8.1% | Buy & Hold Profit | 16.7% |
| Win Rate | 43% | Reward/Risk Ratio | 2.40 | Max Drawdown | -1.8% |
| Asset Max Drawdown | -4.4% | Exposure | 23.8% | Avg Candles in Position | 15.5 |
| Sharpe Ratio | Sortino Ratio | Realized Volatility | — | ||
| Max Winning Streak | 6 | Avg Winning Streak | 1.8 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.2 | Avg Trades per Month | 227.4 | Avg Trades per Day | 7.6 |
| Return Std Dev | 0.3 | Loss Std Dev | 0.1 | Win Std Dev | 0.4 |
| Expectancy | 0.5 | Beta | 0.24 |
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 |