Bollinger/Keltner squeezelongResultados de Backtest @ SPY • 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 SPY • 1 Minute (SPDR S&P 500), 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 SPY • 1 Minute. Este backtest resultó en 146 posiciones, con una tasa de ganancia promedio de 33% y una relación riesgo-recompensa de 2.44. Si asumes que la relación riesgo-recompensa de 2.44 se mantiene, necesitas una tasa de ganancia mínima de 29.1 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.00% vs 4.60% para el activo
- Máximo Drawdown: Máximo Drawdown: -1.60% vs -2.10% para el activo
- Exposición: Exposición: 23.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 33.0%, vs 29.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.44
Con esa exposición en mente, puedes ver que para 23% tiempo-en-mercado, obtienes 21.74% del potencial alcista del activo, y 76.19% 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 @ SPY • 1 Minute (1.0%) explicado por Alex C, Sarah
Alex C
AutorZe results look quite interesting from mathematical perspective. Ze strategy shows some promising characteristics, but also has some concerning aspects that we need to look at carefully.
Ze positive aspects first: Ze risk/reward ratio of 2.44 is quite gut, and ze actual win rate of 33% is higher than ze minimal required win rate of 29.1%. Zis gives us a healthy leeway of over 3000%, which is mathematically significant. Ze average win size being larger than ze average loss size (0.13% vs -0.05%) also supports ze mathematical viability of ze strategy.
However, I have serious concerns about ze overall performance. Ze net profit of 1.0% is significantly lower than ze buy & hold profit of 4.6%, which suggests ze strategy is underperforming ze market. Ze high frequency of trades (7.7 per day) combined with ze relatively low win rate (33%) could lead to death by thousand cuts through transaction costs, which are not factored in zese numbers. Ze maximum drawdown of -1.6% is not terrible, but ze losing streaks of up to 12 trades in a row could be psychologically challenging to handle.
I would recommend running additional backtests with different time periods to test ze robustness of zese metrics. Ze lack of Sharpe and Sortino ratios (showing as NaN) is also concerning and suggests we need more data points for proper statistical validation.
Sarah
AutorMadre mía, this strategy is absolute garbage! The win rate is pathetically low at 33% - you might as well flip a coin, it would probably work better!
The fact that Buy & Hold gives you 4.6% while this joke of a strategy only manages 1% is embarassing. You're essentially destroying value with every trade you make. And look at that market exposure - only 23.4%! You're sitting on the sidelines most of the time missing all the good moves.
The losing streaks are brutal - 12 losses in a row? That would destroy most traders mentally. And with 7.7 trades per day, you're basically paying your broker to lose money. Those commisions will eat you alive!
The only remotely positive thing here is the Risk/Reward ratio of 2.44, but what good is that when you're losing 2 out of 3 trades? Even with the "healthy" win rate leeway, this strategy is like trying to cross a highway blindfolded - technically possible but incredibly stupid.
My profesional advice? Delete this strategy and never look at it again. It's a complete waste of time that will only make your broker rich. If you want to lose money this badly, at least do it in a more entertaining way!
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en SPY • 1 Minute
| Total de Operaciones | 146 | Beneficio Neto | 1.0% | Beneficio Compra y Mantén | 4.6% |
| Tasa de Ganancia | 33% | Ratio Riesgo/Recompensa | 2.44 | Máximo Drawdown | -1.6% |
| Máximo Drawdown del Activo | -2.1% | Exposición | 23.4% | Promedio de Velas en Posición | 15.0 |
| Ratio de Sharpe | Ratio de Sortino | Volatilidad Realizada | — | ||
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 12 |
| Racha Promedio de Pérdida | 3.2 | Promedio de Operaciones por Mes | 230.5 | Promedio de Operaciones por Día | 7.7 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.2 |
| Expectativa | 0.1 | 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 |