Bollinger/Keltner squeezelongResultados de Backtest @ EURUSD • 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 97 days de datos EURUSD • 10 Minutes (Euro vs USD spot (Interactive Brokers)), desde April 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 97 days de velas EURUSD • 10 Minutes. Este backtest resultó en 168 posiciones, con una tasa de ganancia promedio de 30% y una relación riesgo-recompensa de 2.31. Si asumes que la relación riesgo-recompensa de 2.31 se mantiene, necesitas una tasa de ganancia mínima de 30.2 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -0.30% vs 6.50% para el activo
- Máximo Drawdown: Máximo Drawdown: -4.30% vs -4.30% para el activo
- Exposición: Exposición: 24.30% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 30.0%, vs 30.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.31
Con esa exposición en mente, puedes ver que para 24% tiempo-en-mercado, obtienes -4.62% del potencial alcista del activo, y 100.00% 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 @ EURUSD • 10 Minutes (-0.3%) explicado por Alex C, Mike, Sarah
Alex C
AutorZe numbers look quite problematic to me. First thing that catches my eye is ze terrible win rate of only 30%. Even though ze Risk/Reward ratio of 2.31 mathematically compensates for zis low win rate, it is still concerning from practical perspective.
Ze strategy produces about 3.5 trades per day, which is quite active. However, ze market exposure is only 24.3%, meaning ze strategy stays out of ze market most of ze time. Zis could be good for risk management, but ze negative net profit of -0.3% versus buy & hold profit of 6.5% shows ze strategy is not effective at capturing market moves. Ze average position duration of 13.3 candles suggests zese are relatively short-term trades.
What really worries me is ze maximum losing streak of 12 trades in a row. With such poor win rate, zis kind of drawdown sequence is statistically expected, but psychologically very difficult to handle in real trading. Ze positive Sharpe and Sortino ratios are ze only bright spots, but zey are not impressive enough to justify trading zis strategy. I would recommend either significant modifications to ze entry conditions or abandoning zis approach altogether.
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy! 🚀
The numbers are kinda mixed here. We're seeing some decent activity with 3.5 trades per day, which is pretty sweet for scalping. The Risk/Reward ratio at 2.31 is actually fire 🔥, meaning when we win, we win bigger than we lose. Plus that Sortino ratio at 2.23 shows we're handling downside risk like a boss!
But here's where it gets a bit sus - that 30% win rate is hurting us, fam. Even though we're getting bigger wins than losses, we're still ending up with a -0.3% net profit while the market itself went up 6.5%. That max losing streak of 12 trades would be rough on the mental game too. 😅
Not gonna lie though, I'm kinda vibing with the low drawdown (-4.3%) and the fact we're only exposed to the market 24.3% of the time. Could be a solid foundation to build on if we can bump up that win rate a bit. Maybe adding some confirmation signals or tweaking the exit strategy could turn this into a proper tendies machine! 💎🙌
Sarah
Autor*Sigh* Another disaster waiting to happen. Let me tell you why this is a complete mess.
First of all, your win rate is atrocious - only 30%! Even though you have a decent reward/risk ratio of 2.31, you're still losing money with a -0.3% net profit while the market went up 6.5%. That's embarassing! You're basically paying the market to take your money. And don't get me excited about that 12 trades losing streak - that would destroy most traders mentally.
Your strategy is clearly overcomplicating things with all those Bollinger and Keltner conditions. You're trying to be too clever mixing them up, but the market is laughing at your face. The proof? You're getting absolutely destroyed compared to simple buy & hold. Even my grandmother could make more money just buying and forgetting about it!
The only slightly positive thing I see is the good win rate leeway, but that's like having a nice paint job on a car with no engine. Also, 3.5 trades per day seems excesive - you're probably getting chopped up by fees and spreads.
My recomendation? Go back to the drawing board and stop trying to reinvent the wheel with fancy indicators. Sometimes the most simple solution is the best one. This strategy is going nowere fast.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en EURUSD • 10 Minutes
| Total de Operaciones | 168 | Beneficio Neto | -0.3% | Beneficio Compra y Mantén | 6.5% |
| Tasa de Ganancia | 30% | Ratio Riesgo/Recompensa | 2.31 | Máximo Drawdown | -4.3% |
| Máximo Drawdown del Activo | -4.3% | Exposición | 24.3% | Promedio de Velas en Posición | 13.3 |
| Ratio de Sharpe | 0.23 | Ratio de Sortino | 2.23 | Volatilidad Realizada | 3.46% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.3 | Racha Máxima de Pérdida | 12 |
| Racha Promedio de Pérdida | 3.0 | Promedio de Operaciones por Mes | 103.9 | Promedio de Operaciones por Día | 3.5 |
| Desv. Est. del Retorno | 0.2 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | -0.0 | Beta | 0.21 |
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 |