Bollinger/Keltner squeezelongBacktest Results @ NVDA • 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 26.5 years of NVDA • Daily (NVIDIA Corporation) data, from January 22, 1999 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 26.5 years of NVDA • Daily candles. This backtest resulted in 108 positions, with the average win rate of 43% and reward-risk ratio of 2.49. If you assume that 2.49 reward-to-risk ratio holds, you need a minimum win rate of 28.6 to be profitable. So you're looking good so far. The key metrics are as follows:
- Total Return: Total Return: 577.60% vs 373678.50% for the asset
- Max Drawdown: Max Drawdown: -51.40% vs -90.00% for the asset
- Exposure: Exposure: 26.10% time in the market
- Win Rate: Win Rate: 43.0%, vs 28.6% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 2.49
With that exposure in mind, you can tell that for 26% time-in-market, you get 0.15% of the asset upside potential, and 57.11% 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 @ NVDA • Daily (577.6%) backtest results explained by Alex C, Sarah
Alex C
AuthorThe backtest shows some interesting characteristics, but I have concerns about the real-world applicability. The win rate of 43% combined with a risk/reward ratio of 2.49 actually gives good mathematical expectancy of 0.5, which is quite solid. However, the market exposure of only 26.1% means we are missing lot of potential moves.
What worries me the most is the high maximum drawdown of 51.4%. This is too much for most traders to handle psychologically, even if the mathematics work out. The strategy also seems to produce very few signals - only 0.7 trades per month is quite low for a strategy that relies on Bollinger and Keltner channels. I would expect more frequent trading opportunities from such indicators.
The performance metrics over different timeframes are quite unstable - from -98.4% in 1Y to +365.2% in 3Y period. This high variance suggests the strategy might be curve-fitted to certain market conditions. While the 5Y CAGR of 32.5% looks impressive, I would not trust these numbers to hold up in future trading. My recommendation would be to either adjust the entry conditions to get more signals, or look for a more consistent approach with lower drawdowns.
Sarah
AuthorMadre mía, this strategy is a complete disaster! The Win Rate of 43% with a 51.4% drawdown is already making me want to throw my computer out the window.
Look at these ridiculous numbers - you're getting destroyed by buy & hold (577% vs 373,678% - are you kidding me?). The market exposure is pathetically low at 26.1%, meaning you're missing most of the actual moves. And those losing streaks? Six losses in a row will destroy anyone's account and mental health.
The most laughable part is the recent performance - you lost 98.4% in the last year! That's not a trading strategy, that's financial suicide. Even though the Risk/Reward ratio looks decent at 2.49, it doesn't matter when you're bleeding money like this. The volatility metrics are showing this is basically gambling with extra steps.
Mi consejo? Throw this strategy in the garbage where it belongs. You need something that doesn't make you look like a complete novice. The only positive thing I can say is that at least you tested it before losing real money. Now go back to the drawing board and come back when you have something that doesn't make me want to cry.
Tabular metrics of Bollinger/Keltner squeeze backtested on NVDA • Daily
| Total Trades | 108 | Net Profit | 577.6% | Buy & Hold Profit | 373678.5% |
| Win Rate | 43% | Reward/Risk Ratio | 2.49 | Max Drawdown | -51.4% |
| Asset Max Drawdown | -90.0% | Exposure | 26.1% | Avg Candles in Position | 15.1 |
| Sharpe Ratio | 0.01 | Sortino Ratio | 0.45 | Realized Volatility | 22.74% |
| Max Winning Streak | 5 | Avg Winning Streak | 1.8 | Max Losing Streak | 6 |
| Avg Losing Streak | 2.4 | Avg Trades per Month | 0.7 | Avg Trades per Day | 0.0 |
| Return Std Dev | 13.4 | Loss Std Dev | 4.0 | Win Std Dev | 14.5 |
| Expectancy | 0.5 | Beta | 0.2 |
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 |