Bollinger/Keltner squeezelongResultados de Backtest @ BTCUSD • 10 Minutes
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 69 days de datos BTCUSD • 10 Minutes (Bitcoin vs USD, Coinbase Pro (GDAX)), desde May 5, 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 69 days de velas BTCUSD • 10 Minutes. Este backtest resultó en 165 posiciones, con una tasa de ganancia promedio de 35% y una relación riesgo-recompensa de 1.94. Si asumes que la relación riesgo-recompensa de 1.94 se mantiene, necesitas una tasa de ganancia mínima de 34.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 1.00% vs 27.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -6.30% vs -12.10% para el activo
- Exposición: Exposición: 18.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 35.0%, vs 34.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.94
Con esa exposición en mente, puedes ver que para 19% tiempo-en-mercado, obtienes 3.68% del potencial alcista del activo, y 52.07% del potencial bajista del activo.
Bollinger/Keltner squeeze: entrar en una posición cuando
All of the following: # Whiskey 10min Chart(close) (2 candles ago) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 10min Chart(close) (1 candles ago) > 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 10min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 10min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 10min BB (20, 2, 2, 0, close) (1 candles ago) > 10min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: salir de una posición cuando
Any of the following: # Papa 10min Chart(close) < 10min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • 10 Minutes (1.0%) explicado por Mike
Mike
AutorYo fam, let me break down this squeeze play for you! 🚀
This strategy is giving me mixed vibes tbh. The Win/Loss ratio looks pretty decent at 1.94 (meaning winners are almost twice as big as losers), and we're running at 35% win rate which is actually above the minimal required 34% - that's technically profitable! 💪 The fact we're getting 4-5 trades per day is sweet too, lots of action to work with.
But here's where it gets a bit sus my dudes - we're only up 1% total while BTC itself pumped 27.2% in the same period. That's leaving a lot of gains on the table. The market exposure is pretty low at 18.6%, which means we're missing out on a lot of the action. Those drawdowns aren't too scary (-6.3% max), but those negative Sharpe and Sortino ratios are giving me pause. 📉
Overall, I'd say this strategy has potential as a base but needs some tweaking. Maybe we could adjust those Bollinger/Keltner parameters to catch more of the trend? I'm still stacking my Wendy's checks to trade this kind of setup, but I'd probably paper trade it for a bit first before going full send. Remember, small accounts need careful position sizing! 🎯
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en BTCUSD • 10 Minutes
| Total de Operaciones | 165 | Beneficio Neto | 1.0% | Beneficio Compra y Mantén | 27.2% |
| Tasa de Ganancia | 35% | Ratio Riesgo/Recompensa | 1.94 | Máximo Drawdown | -6.3% |
| Máximo Drawdown del Activo | -12.1% | Exposición | 18.6% | Promedio de Velas en Posición | 10.2 |
| Ratio de Sharpe | -0.56 | Ratio de Sortino | -1.02 | Volatilidad Realizada | 14.18% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.7 | Promedio de Operaciones por Mes | 143.5 | Promedio de Operaciones por Día | 4.8 |
| Desv. Est. del Retorno | 0.4 | Desv. Est. de la Pérdida | 0.2 | Desv. Est. de la Ganancia | 0.5 |
| Expectativa | 0.0 | Beta | 0.17 |
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 |