Bollinger/Keltner squeezelongBacktest Results @ BTCUSD • Daily
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 10.5 years of BTCUSD • Daily (Bitcoin vs USD, Coinbase Pro (GDAX)) data, from January 13, 2015 to July 12, 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 10.5 years of BTCUSD • Daily candles. This backtest resulted in 62 positions, with the average win rate of 45% and reward-risk ratio of 4.22. If you assume that 4.22 reward-to-risk ratio holds, you need a minimum win rate of 19.2 to be profitable. So you're looking good so far. However, 62 positions is a small sample size, so take the results with a huge grain of salt. The key metrics are as follows:
- Total Return: Total Return: 2515.40% vs 67440.20% for the asset
- Max Drawdown: Max Drawdown: -51.50% vs -83.80% for the asset
- Exposure: Exposure: 28.10% time in the market
- Win Rate: Win Rate: 45.0%, vs 19.2% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 4.22
With that exposure in mind, you can tell that for 28% time-in-market, you get 3.73% of the asset upside potential, and 61.46% of the asset downside potential.
Bollinger/Keltner squeeze: enter a position when
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: exit a position when
Any of the following: # Papa D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • Daily (2515.4%) backtest results explained by Alex C, Mike, Sarah
Alex C
AuthorThe backtest results show some interesting metrics, but I have concerns about the strategy's stability. The win rate of 45% combined with a risk/reward ratio of 4.22 leads to positive expectancy of 1.4, which looks mathematicaly viable. However, the high drawdown of 51.5% is quite concerning for real trading.
The market exposure of 28.1% suggests this is not a very active strategy, which matches with the average of only 1 trade per month. This low frequency combined with only 62 total trades over 10.5 years makes the statistical significance questionable. The performance varies drasticaly across different timeframes - from -99.1% in 6 months to +1804.5% in 5 years. Such high variance indicates potential instability and dependency on specific market conditions.
While the strategy shows mathematicaly positive metrics in isolation, I would not recommend trading this without further optimization. The low Sharpe ratio of 0.23 suggests poor risk-adjusted returns, and the strategy significantly underperforms buy & hold (2515% vs 67440%). I would suggest testing with different parameter settings and analyzing more recent timeframes to check if the pattern still holds in current market conditions.
Mike
AuthorYo fam, this Bollinger/Keltner squeeze strategy is showing some pretty wild numbers! 🚀 The overall 2515% net profit looks juicy, but let's keep it real - we're still way behind that insane buy & hold return of 67440%.
What's really catching my eye here is that risk/reward setup though! 🔥 We're talking about a 4.22 R/R ratio with average winners hitting 21.53% while average losses are only -5.10%. That's the kind of asymmetric betting I live for at Wendy's! The win rate at 45% might look meh at first, but with these ratios, we only need a 19.2% win rate to break even - that's a huge safety cushion!
The main downside I'm seeing is that -51.5% max drawdown - that's gonna test your diamond hands for sure 💎🙌. Also, only 1 trade per month means you gotta be patient AF. But honestly, for a strategy that's been backtested over 10 years with solid R/R ratios and good win rate leeway, this could be worth throwing some tendies at. Just gotta manage that position sizing so the drawdowns don't wreck your account! 🎯
Sarah
AuthorMadre mia, this strategy is a complete disaster! The Buy & Hold return crushes your strategy by a factor of 26 - you're making 2515% while simple holding would give you 67440%. What kind of trader are you trying to be?
The risk metrics are absolutely terrible. A Sharpe ratio of 0.23? That's pathetic! You're taking on massive risk for mediocre returns. And that 51.5% drawdown - do you enjoy watching your account get cut in half?
The only somewhat decent thing here is the Risk/Reward ratio of 4.22, but with such a poor win rate of 45%, it's like having a Ferrari with no engine. Your strategy makes barely 1 trade per month - are you trading or sleeping?
Look at those time period returns - they're all over the place! -99.1% in 6 months, then magically +455% in 2 years? This is pure gambling, not trading. The strategy has no consistency whatsoever.
My advice? Throw this strategy in the garbage where it belongs. Either learn to build something more robust or just buy and hold Bitcoin. At least then you won't underperform the market by such an embarrasing margin.
Tabular metrics of Bollinger/Keltner squeeze backtested on BTCUSD • Daily
| Total Trades | 62 | Net Profit | 2515.4% | Buy & Hold Profit | 67440.2% |
| Win Rate | 45% | Reward/Risk Ratio | 4.22 | Max Drawdown | -51.5% |
| Asset Max Drawdown | -83.8% | Exposure | 28.1% | Avg Candles in Position | 16.3 |
| Sharpe Ratio | 0.23 | Sortino Ratio | 0.78 | Realized Volatility | 28.33% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.9 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.1 | Avg Trades per Month | 1.0 | Avg Trades per Day | 0.0 |
| Return Std Dev | 20.0 | Loss Std Dev | 3.5 | Win Std Dev | 22.0 |
| Expectancy | 1.4 | Beta | 0.25 |
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 |