Bollinger/Keltner squeezelongBacktest Results @ NVDA • 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 12.6 months of NVDA • 10 Minutes (NVIDIA Corporation) data, from June 28, 2024 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 12.6 months of NVDA • 10 Minutes candles. This backtest resulted in 163 positions, with the average win rate of 36% and reward-risk ratio of 1.61. If you assume that 1.61 reward-to-risk ratio holds, you need a minimum win rate of 38.3 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -12.10% vs 32.90% for the asset
- Max Drawdown: Max Drawdown: -24.90% vs -42.80% for the asset
- Exposure: Exposure: 25.40% time in the market
- Win Rate: Win Rate: 36.0%, vs 38.3% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.61
With that exposure in mind, you can tell that for 25% time-in-market, you get -36.78% of the asset upside potential, and 58.18% 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 @ NVDA • 10 Minutes (-12.1%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results show some concerning patterns. The strategy is significantly underperforming the buy & hold approach (-12.1% vs +32.9%), which is already a red flag for a strategy on NVDA, one of the strongest performers lately.
The mathematical metrics reveal structural problems. While the Risk/Reward ratio of 1.61 looks decent on paper, the actual win rate of 36% is too low for this R/R setup. The negative expectancy of -0.1 confirms this - you're mathematically expected to lose money on every trade on average. The relatively high number of trades (163 over 12.6 months) means these results are statistically significant, so we can't dismiss them as random noise.
The risk metrics are particularly worrying. A Sharpe ratio of -0.23 indicates poor risk-adjusted returns, and the max drawdown of -24.9% is quite high for only 25.4% market exposure. The strategy seems to be catching mostly noise rather than signal, as evidenced by the weak correlation (0.50) to the underlying asset. I would strongly recommend against trading this strategy live without significant modifications to improve the win rate or the risk/reward ratio.
Mike
AuthorYo fam, let me break down this NVDA squeeze play! 🚀
The strategy is showing some interesting moves with that Bollinger/Keltner combo, but I'm seeing some red flags that got me worried about my tendies. That -12.1% net profit is straight-up painful when NVDA itself mooned 32.9% during the same period. The win rate at 36% is making me sweat harder than working the Wendy's grill during lunch rush 😅
But check this out - the Risk/Reward ratio is actually pretty solid at 1.61! When we win, we're banking 1.51% vs losing 0.94%. That's the kind of setup that could print if we can bump up that win rate just a little bit. We're only 2.3% away from the minimal sufficient win rate, so there might be hope! 💎🙌
I think this strategy needs some tweaking before I'd YOLO my paycheck into it. The max drawdown of -24.9% is scary AF, and those 8-trade losing streaks could wreck anyone's account. Maybe adding some additional confirmations or adjusting those BB/Keltner parameters could help catch better entries. Until then, I'm sticking to my regular plays, but definitely keeping an eye on this setup! 🔍
Sarah
AuthorMadre de Dios, this is one of the most pathetic strategies I have seen in my career! You managed to lose money in one of the hottest stocks during a massive bull run - that takes special talent!
The strategy is complete garbage. You have a negative 12.1% return while NVDA gained 32.9%? That's like trying to drown yourself in a swimming pool full of life jackets! With a miserable 36% win rate and pathetic risk metrics (Sharpe -0.23, really?), this strategy belongs in the trash bin.
Your drawdown is -24.9% which is actually worse than just holding through NVDA's -42.8% drawdown when you account for the mere 25.4% market exposure. Essentially, you found a way to lose money more efficiently than just buying and holding through the dips. Impresionante, but not in a good way!
The only remotely positive thing I can say is that your Risk/Reward ratio of 1.61 isn't completely terrible - but it's like putting lipstick on a cerdo. With such poor execution and timing, it doesn't matter. My advice? Start over from scratch or stick to index funds. This strategy is clearly not working and probably never will.
Tabular metrics of Bollinger/Keltner squeeze backtested on NVDA • 10 Minutes
| Total Trades | 163 | Net Profit | -12.1% | Buy & Hold Profit | 32.9% |
| Win Rate | 36% | Reward/Risk Ratio | 1.61 | Max Drawdown | -24.9% |
| Asset Max Drawdown | -42.8% | Exposure | 25.4% | Avg Candles in Position | 14.6 |
| Sharpe Ratio | -0.23 | Sortino Ratio | -0.09 | Realized Volatility | 23.29% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.4 | Max Losing Streak | 8 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 25.9 | Avg Trades per Day | 0.9 |
| Return Std Dev | 1.6 | Loss Std Dev | 1.1 | Win Std Dev | 1.3 |
| Expectancy | -0.1 | Beta | 0.15 |
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 |