Bollinger/Keltner squeezelongResultados de Backtest @ NVDA • 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 38 days de datos NVDA • 1 Minute (NVIDIA Corporation), desde June 3, 2025 hasta July 11, 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 38 days de velas NVDA • 1 Minute. Este backtest resultó en 144 posiciones, con una tasa de ganancia promedio de 43% y una relación riesgo-recompensa de 2.40. Si asumes que la relación riesgo-recompensa de 2.40 se mantiene, necesitas una tasa de ganancia mínima de 29.4 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 8.10% vs 16.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.80% vs -4.40% para el activo
- Exposición: Exposición: 23.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 43.0%, vs 29.4% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.40
Con esa exposición en mente, puedes ver que para 24% tiempo-en-mercado, obtienes 48.50% del potencial alcista del activo, y 40.91% 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 @ NVDA • 1 Minute (8.1%) explicado por Alex C, Sarah
Alex C
AutorThese numbers look quite promising from mathematical perspective. The strategy shows good statistical robustness with 144 trades over 38 days - this gives us enough sample size to make meaningful conclusions.
What catches my eye immediatly is the Risk/Reward ratio of 2.40 combined with 43% win rate. This is very solid combination - you only need 29.4% win rate to break even with such R/R, and you are achieving much more. The win rate leeway of 42.71 gives you good buffer for market changes. The max drawdown of only 1.8% is also very respectable, especially considering NVDA's own drawdown was 4.4% in same period.
However, I see two potential problems here: First, the market exposure of 23.8% means you are missing lot of potential moves - the buy&hold did 16.7% while strategy made only 8.1%. Second thing that worries me is the average time in trade of 15.5 minutes - this could mean high transaction costs that are not factored in these results. With 7.6 trades per day, fees could eat significant part of your profits.
Sarah
AutorMadre mía, this strategy is like a teenager trying to drive Formula 1 - technically moving, but far from impressive!
Your win rate is pathetically low at 43%, even though you have decent Risk/Reward of 2.40. Yes, yes, I see the "healthy leeway" above minimal win rate, but let's be real here - you're basically winning less than half the time while the market was going up significantly. The Buy & Hold return doubled your strategy's performance (16.7% vs 8.1%)! That's embarassing, no?
The most concerning part is your market exposure of only 23.8%. You're sitting out most of the moves while still managing to catch plenty of losses. With 7.6 trades per day, you're paying your broker handsomely while underperforming a simple buy-and-hold strategy. The strategy seems to be chopping itself to death with those short 15.5 candle holding periods.
If you want my honest opinion - and I know you do - this strategy needs serious work or should be scrapped completely. It's trying to be too clever with those Bollinger/Keltner squeezes but ending up being too trigger-happy and inefficient. Sometimes simple is better, querido!
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en NVDA • 1 Minute
| Total de Operaciones | 144 | Beneficio Neto | 8.1% | Beneficio Compra y Mantén | 16.7% |
| Tasa de Ganancia | 43% | Ratio Riesgo/Recompensa | 2.40 | Máximo Drawdown | -1.8% |
| Máximo Drawdown del Activo | -4.4% | Exposición | 23.8% | Promedio de Velas en Posición | 15.5 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 227.4 | Promedio de Operaciones por Día | 7.6 |
| Desv. Est. del Retorno | 0.3 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.4 |
| Expectativa | 0.5 | Beta | 0.24 |
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 |