Bollinger/Keltner squeezelongBacktest Results @ EURUSD • 10 Minutes
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 97 days of EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)) data, from April 7, 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 97 days of EURUSD • 10 Minutes candles. This backtest resulted in 168 positions, with the average win rate of 30% and reward-risk ratio of 2.31. If you assume that 2.31 reward-to-risk ratio holds, you need a minimum win rate of 30.2 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -0.30% vs 6.50% for the asset
- Max Drawdown: Max Drawdown: -4.30% vs -4.30% for the asset
- Exposure: Exposure: 24.30% time in the market
- Win Rate: Win Rate: 30.0%, vs 30.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.31
With that exposure in mind, you can tell that for 24% time-in-market, you get -4.62% of the asset upside potential, and 100.00% of the asset downside potential.
Bollinger/Keltner squeeze: enter a position when
All of the following: # Whiskey 10min Chart(close) (2 candles ago) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 10min Chart(close) (1 candles ago) > 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 10min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 10min BB (20, 2, 2, 0, close) (1 candles ago) > 10min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: exit a position when
Any of the following: # Papa 10min Chart(close) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ EURUSD • 10 Minutes (-0.3%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorZe numbers look quite problematic to me. First thing that catches my eye is ze terrible win rate of only 30%. Even though ze Risk/Reward ratio of 2.31 mathematically compensates for zis low win rate, it is still concerning from practical perspective.
Ze strategy produces about 3.5 trades per day, which is quite active. However, ze market exposure is only 24.3%, meaning ze strategy stays out of ze market most of ze time. Zis could be good for risk management, but ze negative net profit of -0.3% versus buy & hold profit of 6.5% shows ze strategy is not effective at capturing market moves. Ze average position duration of 13.3 candles suggests zese are relatively short-term trades.
What really worries me is ze maximum losing streak of 12 trades in a row. With such poor win rate, zis kind of drawdown sequence is statistically expected, but psychologically very difficult to handle in real trading. Ze positive Sharpe and Sortino ratios are ze only bright spots, but zey are not impressive enough to justify trading zis strategy. I would recommend either significant modifications to ze entry conditions or abandoning zis approach altogether.
Mike
AuthorYo fam, let me break down this Bollinger/Keltner squeeze strategy! 🚀
The numbers are kinda mixed here. We're seeing some decent activity with 3.5 trades per day, which is pretty sweet for scalping. The Risk/Reward ratio at 2.31 is actually fire 🔥, meaning when we win, we win bigger than we lose. Plus that Sortino ratio at 2.23 shows we're handling downside risk like a boss!
But here's where it gets a bit sus - that 30% win rate is hurting us, fam. Even though we're getting bigger wins than losses, we're still ending up with a -0.3% net profit while the market itself went up 6.5%. That max losing streak of 12 trades would be rough on the mental game too. 😅
Not gonna lie though, I'm kinda vibing with the low drawdown (-4.3%) and the fact we're only exposed to the market 24.3% of the time. Could be a solid foundation to build on if we can bump up that win rate a bit. Maybe adding some confirmation signals or tweaking the exit strategy could turn this into a proper tendies machine! 💎🙌
Sarah
Author*Sigh* Another disaster waiting to happen. Let me tell you why this is a complete mess.
First of all, your win rate is atrocious - only 30%! Even though you have a decent reward/risk ratio of 2.31, you're still losing money with a -0.3% net profit while the market went up 6.5%. That's embarassing! You're basically paying the market to take your money. And don't get me excited about that 12 trades losing streak - that would destroy most traders mentally.
Your strategy is clearly overcomplicating things with all those Bollinger and Keltner conditions. You're trying to be too clever mixing them up, but the market is laughing at your face. The proof? You're getting absolutely destroyed compared to simple buy & hold. Even my grandmother could make more money just buying and forgetting about it!
The only slightly positive thing I see is the good win rate leeway, but that's like having a nice paint job on a car with no engine. Also, 3.5 trades per day seems excesive - you're probably getting chopped up by fees and spreads.
My recomendation? Go back to the drawing board and stop trying to reinvent the wheel with fancy indicators. Sometimes the most simple solution is the best one. This strategy is going nowere fast.
Tabular metrics of Bollinger/Keltner squeeze backtested on EURUSD • 10 Minutes
| Total Trades | 168 | Net Profit | -0.3% | Buy & Hold Profit | 6.5% |
| Win Rate | 30% | Reward/Risk Ratio | 2.31 | Max Drawdown | -4.3% |
| Asset Max Drawdown | -4.3% | Exposure | 24.3% | Avg Candles in Position | 13.3 |
| Sharpe Ratio | 0.23 | Sortino Ratio | 2.23 | Realized Volatility | 3.46% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.3 | Max Losing Streak | 12 |
| Avg Losing Streak | 3.0 | Avg Trades per Month | 103.9 | Avg Trades per Day | 3.5 |
| Return Std Dev | 0.2 | Loss Std Dev | 0.1 | Win Std Dev | 0.3 |
| Expectancy | -0.0 | Beta | 0.21 |
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 |