Bollinger/Keltner squeezelongBacktest Results @ WMT • 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 38.7 years of WMT • Daily (Walmart Inc.) data, from November 10, 1986 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 38.7 years of WMT • Daily candles. This backtest resulted in 169 positions, with the average win rate of 36% and reward-risk ratio of 1.60. If you assume that 1.60 reward-to-risk ratio holds, you need a minimum win rate of 38.5 to be profitable. So you're screwed! The key metrics are as follows:
- Total Return: Total Return: -44.00% vs 9978.00% for the asset
- Max Drawdown: Max Drawdown: -74.70% vs -50.60% for the asset
- Exposure: Exposure: 26.00% time in the market
- Win Rate: Win Rate: 36.0%, vs 38.5% minimum
- Reward/Risk Ratio: Reward/Risk Ratio: 1.60
With that exposure in mind, you can tell that for 26% time-in-market, you get -0.44% of the asset upside potential, and 147.63% 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 @ WMT • Daily (-44.0%) backtest results explained by Mike
Mike
AuthorYo fam, let me break down this Bollinger/Keltner squeeze strategy on WMT! 🎯
This one's giving me mixed vibes tbh. The win rate is sitting at 36% which isn't great, but check this out - when we win, we're winning bigger than we're losing (4.64% vs -2.91% losses) 📈. That's actually a decent risk/reward ratio of 1.6! The strategy has a healthy win rate leeway too, which is pretty sweet.
But here's where it gets rough my dudes - that -74.7% max drawdown is SCARY AF 😱. Like, that's the kind of number that'll have you living off ramen for months (and not the fancy kind either). Plus, being right only 36% of the time might mess with your mental game. The overall market exposure is pretty low at 26%, which means we're mostly sitting on the sidelines while WMT has been absolutely mooning (that 9978% buy & hold return tho! 🚀).
Looking at the recent performance though, it's actually not too shabby - we're up 8.4% in the last year and 12.5% over two years. But real talk, if you're gonna YOLO on this one, you better have diamond hands 💎🙌 and be ready for some wild rides. Might need to tweak those entry/exit conditions to pump those rookie numbers up! 🔧
Tabular metrics of Bollinger/Keltner squeeze backtested on WMT • Daily
| Total Trades | 169 | Net Profit | -44.0% | Buy & Hold Profit | 9978.0% |
| Win Rate | 36% | Reward/Risk Ratio | 1.60 | Max Drawdown | -74.7% |
| Asset Max Drawdown | -50.6% | Exposure | 26.0% | Avg Candles in Position | 14.0 |
| Sharpe Ratio | -0.60 | Sortino Ratio | -0.44 | Realized Volatility | 9.91% |
| Max Winning Streak | 7 | Avg Winning Streak | 1.4 | Max Losing Streak | 7 |
| Avg Losing Streak | 2.5 | Avg Trades per Month | 0.7 | Avg Trades per Day | 0.0 |
| Return Std Dev | 4.9 | Loss Std Dev | 2.2 | Win Std Dev | 4.7 |
| Expectancy | -0.1 | Beta | 0.19 |
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 |