Bollinger/Keltner squeezelongResultados de Backtest @ BTCUSD • 1 Minute
Esta estrategia compra cuando las Bandas de Bollinger están comprimidas en el Canal de Keltner. Esto normalmente indica que el mercado está moviéndose lateralmente. Esta estrategia luego vende cuando el precio va por debajo de la línea media de las Bandas de Bollinger. La idea es comprar durante el mercado obviamente lateral, esperando que estalle.
Curva de Equidad
El backtest cubre 7 days de datos BTCUSD • 1 Minute (Bitcoin vs USD, Coinbase Pro (GDAX)), desde July 7, 2025 hasta July 13, 2025.
La curva de equidad es el rendimiento de la estrategia a lo largo del tiempo. Debes compararla con el rendimiento de Compra y Mantén del activo. En general, quieres que el área azul esté bien por encima del área gris.
El drawdown es cuántas pérdidas (realizadas o no realizadas) ha tenido la estrategia si se compara con el pico más alto de equidad. Compara esto con el drawdown del activo para ver si tu estrategia hace un trabajo decente de aislarte de la volatilidad bajista. En general, el área roja debe estar bien dentro del área gris.
Entonces, hemos hecho backtest de Bollinger/Keltner squeeze en 7 days de velas BTCUSD • 1 Minute. Este backtest resultó en 41 posiciones, con una tasa de ganancia promedio de 49% y una relación riesgo-recompensa de 1.23. Si asumes que la relación riesgo-recompensa de 1.23 se mantiene, necesitas una tasa de ganancia mínima de 44.8 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 41 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 0.20% vs 9.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -0.40% vs -1.60% para el activo
- Exposición: Exposición: 12.90% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 49.0%, vs 44.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.23
Con esa exposición en mente, puedes ver que para 13% tiempo-en-mercado, obtienes 2.04% del potencial alcista del activo, y 25.00% del potencial bajista del activo.
Bollinger/Keltner squeeze: entrar en una posición cuando
All of the following: # Whiskey 1min Chart(close) (2 candles ago) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 1min Chart(close) (1 candles ago) > 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 1min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 1min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 1min BB (20, 2, 2, 0, close) (1 candles ago) > 1min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: salir de una posición cuando
Any of the following: # Papa 1min Chart(close) < 1min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • 1 Minute (0.2%) explicado por Alex C
Alex C
AutorThe results look quite interesting from mathematical perspective. The strategy shows some promising characteristics, but also has significant limitations that we must consider.
First, let's look at the positive aspects: The Risk/Reward ratio of 1.23 is acceptable, and the win rate leeway of 48.55% above minimal required win rate is very good - this suggests the strategy has good mathematical stability. The relatively low max drawdown of -0.4% also indicates good risk management characteristics.
However, there are serious concerns. The total return of 0.2% severely underperforms the buy & hold return of 9.8% - this is problematic. The market exposure of only 12.9% suggests the strategy misses many potential opportunities. Also, the trading frequency of 13.7 trades per day means significant transaction costs that weren't factored into these results, which would likely make the strategy unprofitable in real trading.
The missing values for Sharpe Ratio, Sortino Ratio and other risk metrics make proper risk analysis difficult. Without these numbers, we cannot make fully informed decisions about the strategy's risk-adjusted performance. I would recommend collecting more data over a longer timeframe to get these important metrics.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en BTCUSD • 1 Minute
| Total de Operaciones | 41 | Beneficio Neto | 0.2% | Beneficio Compra y Mantén | 9.8% |
| Tasa de Ganancia | 49% | Ratio Riesgo/Recompensa | 1.23 | Máximo Drawdown | -0.4% |
| Máximo Drawdown del Activo | -1.6% | Exposición | 12.9% | Promedio de Velas en Posición | 9.1 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 2.2 | Racha Máxima de Pérdida | 6 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 410.0 | Promedio de Operaciones por Día | 13.7 |
| Desv. Est. del Retorno | 0.1 | Desv. Est. de la Pérdida | 0.0 | Desv. Est. de la Ganancia | 0.1 |
| Expectativa | 0.1 | Beta | 0.01 |
Todos los backtests para Bollinger/Keltner squeeze
| common.strategy | exposición | rendimiento vs activo | drawdown vs activo | tasa de ganancia | recompensa/ riesgo |
|---|---|---|---|---|---|
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 |