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Bollinger/Keltner squeezelong
Resultados de Backtest @ WMT • 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 WMT • 1 Minute (Walmart Inc.), 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.

Estrategia

Activo

Drawdown de Estrategia

Drawdown de Activo

Entonces, hemos hecho backtest de Bollinger/Keltner squeeze en 38 days de velas WMT • 1 Minute. Este backtest resultó en 127 posiciones, con una tasa de ganancia promedio de 31% y una relación riesgo-recompensa de 1.45. Si asumes que la relación riesgo-recompensa de 1.45 se mantiene, necesitas una tasa de ganancia mínima de 40.8 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:

Retorno Total: Retorno Total: -3.80% vs -5.40% para el activo
Máximo Drawdown: Máximo Drawdown: -3.90% vs -6.40% para el activo
Exposición: Exposición: 17.70% tiempo en el mercado
Tasa de Ganancia: Tasa de Ganancia: 31.0%, vs 40.8% mínimo
Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.45

Con esa exposición en mente, puedes ver que para 18% tiempo-en-mercado, obtienes 70.37% del potencial alcista del activo, y 60.94% 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 @ WMT • 1 Minute (-3.8%) explicado por Alex C, Mike

Alex C

Autor

The strategy shows some interesting characteristics, but I have concerns about its long-term viability. The negative expectancy of -0.2 is problematic, even though the Risk/Reward ratio of 1.45 looks not too bad.

What catches my attention is the win rate of 31% - this is quite low. Although the average win (0.18%) is larger than the average loss (-0.12%), the frequency of losses makes the strategy unprofitable in total. The maximum drawdown of -3.9% is actually not too dramatic, which suggests the risk management part works okay. But still, with 69% of trades being losers, this is mathematicly not sustainable.

The trading frequency looks reasonable with 6.7 trades per day - this gives us enough statistical significance with 127 trades over the testing period. However, the long losing streaks (maximum of 13 consecutive losses) could be psychologicly challenging for most traders. I would suggest to either improve the entry conditions to increase the win rate above the minimal sufficient win rate of 40.8%, or to abandon this strategy completely. The current metrics suggest the strategy is not viable in its current form.

Mike

Autor

Yo fam, let me break down this Bollinger/Keltner squeeze strategy on WMT! 🎯

First off, this strategy is keeping us super active with about 7 trades per day - that's some serious action! 🔥 The exposure is only 17.7% which means we're not stuck in positions forever, and that's exactly what we want for quick scalps. The Risk/Reward ratio of 1.45 is actually pretty decent too!

Here's the thing though - we're running at 31% win rate which is a bit rough, especially when we need 40.8% to break even. The max drawdown is only -3.9% which isn't too scary compared to the market's -6.4%, so we're actually controlling risk better than just holding! 💪 Even though we're down 3.8%, we're still beating buy & hold which lost 5.4%, so there's definitely potential here!

I think with some tweaking, this could be a solid strategy fam! Maybe adjust the exit conditions to catch more meat in the middle of moves, or tighten up the entry criteria to boost that win rate. The short average hold time of 13 candles shows we're catching quick moves - just need to make them more profitable! TO THE MOON! 🚀 Not financial advice though, just a Wendy's worker dreaming big! 😎

Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en WMT • 1 Minute

Total de Operaciones	127	Beneficio Neto	-3.8%	Beneficio Compra y Mantén	-5.4%
Tasa de Ganancia	31%	Ratio Riesgo/Recompensa	1.45	Máximo Drawdown	-3.9%
Máximo Drawdown del Activo	-6.4%	Exposición	17.7%	Promedio de Velas en Posición	13.0
Ratio de Sharpe		Ratio de Sortino		Volatilidad Realizada	—
Racha Máxima de Ganancia	4	Racha Promedio de Ganancia	1.6	Racha Máxima de Pérdida	13
Racha Promedio de Pérdida	3.7	Promedio de Operaciones por Mes	200.5	Promedio de Operaciones por Día	6.7
Desv. Est. del Retorno	0.2	Desv. Est. de la Pérdida	0.1	Desv. Est. de la Ganancia	0.2
Expectativa	-0.2	Beta	0.2

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

Bollinger/Keltner squeezelongResultados de Backtest @ WMT • 1 Minute