Bollinger/Keltner squeezelongBacktest Results @ GLD • 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 20.7 years of GLD • Daily (SPDR Gold Trust) data, from November 18, 2004 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 20.7 years of GLD • Daily candles. This backtest resulted in 59 positions, with the average win rate of 39% and reward-risk ratio of 1.95. If you assume that 1.95 reward-to-risk ratio holds, you need a minimum win rate of 33.9 to be profitable. So you're looking good so far. However, 59 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: 13.20% vs 595.10% for the asset
- Max Drawdown: Max Drawdown: -21.10% vs -45.30% for the asset
- Exposure: Exposure: 16.80% time in the market
- Win Rate: Win Rate: 39.0%, vs 33.9% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.95
With that exposure in mind, you can tell that for 17% time-in-market, you get 2.22% of the asset upside potential, and 46.58% 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 @ GLD • Daily (13.2%) backtest results explained by Mike, Sarah
Mike
AuthorYo fam, let me break down this squeeze play for you! 🚀💎
Looking at this Bollinger/Keltner strategy on GLD, it's giving some interesting vibes. The win rate is sitting at 39% which might sound low, but check this out - when we win, we're banking 3.61% compared to -1.85% on losses. That's nearly a 2:1 reward-to-risk ratio! Plus, we're actually running 5% above the minimum required win rate, which is pretty sweet for margin of safety. 🎯
The downside is we're only getting like half a trade per month, so this is definitely not a day trading strategy. And that 21.1% max drawdown is kinda rough ngl. The market exposure is super low at 16.8%, which means we're mostly sitting on the sidelines watching the market do its thing. 💤
Here's the real talk though - while we're making some gains (13.2% total), we're getting absolutely smoked by buy & hold (595.1%). But maybe that's not the whole story since we're taking way less risk by being in the market only 16.8% of the time. Could be good for someone who wants to trade gold with lower risk exposure, but probably not for us Wendy's warriors looking for those juicy tendies! 🍗
Not financial advice tho, just a dude behind the Wendy's counter dreaming big! 🚀
Sarah
AuthorMadre de dios, this strategy is absolute garbage! Let me tell you why, mi amigo.
First of all, 13.2% total return over 20.7 years? That's pathetic! The buy & hold strategy made 595.1% - you're literally throwing money away here. Even putting your money under the mattress would have been better considering inflation. And look at that market exposure - only 16.8%! You're sitting out of the market most of the time, missing all the good moves.
The win rate is another disaster - 39% winners? Are you trying to lose money on purpose? Yes, yes, I see the Risk/Reward ratio is 1.95, which technically makes it matematically viable with that win rate. But why would anyone want to sit through 9 consecutive losses (your max losing streak) for such mediocre returns? That's masochistic!
The most embarassing part is the performance metrics. Negative Sharpe ratio (-0.58), negative Sortino ratio (-0.43), and a pathetic 0.15 Beta. This means you're not only underperforming, you're doing it with significant risk! The 21.1% max drawdown is just the cherry on top of this disaster sundae.
Mi consejo? Throw this strategy in the basura where it belongs. You're better off buying and holding or finding a completely different approach. This one is dead on arrival.
Tabular metrics of Bollinger/Keltner squeeze backtested on GLD • Daily
| Total Trades | 59 | Net Profit | 13.2% | Buy & Hold Profit | 595.1% |
| Win Rate | 39% | Reward/Risk Ratio | 1.95 | Max Drawdown | -21.1% |
| Asset Max Drawdown | -45.3% | Exposure | 16.8% | Avg Candles in Position | 13.8 |
| Sharpe Ratio | -0.58 | Sortino Ratio | -0.43 | Realized Volatility | 5.09% |
| Max Winning Streak | 3 | Avg Winning Streak | 1.6 | Max Losing Streak | 9 |
| Avg Losing Streak | 2.6 | Avg Trades per Month | 0.5 | Avg Trades per Day | 0.0 |
| Return Std Dev | 3.7 | Loss Std Dev | 1.3 | Win Std Dev | 3.8 |
| 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 |