Bollinger/Keltner squeezelongResultados de Backtest @ GLD • 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 12.6 months de datos GLD • 10 Minutes (SPDR Gold Trust), desde June 28, 2024 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 12.6 months de velas GLD • 10 Minutes. Este backtest resultó en 131 posiciones, con una tasa de ganancia promedio de 37% y una relación riesgo-recompensa de 1.41. Si asumes que la relación riesgo-recompensa de 1.41 se mantiene, necesitas una tasa de ganancia mínima de 41.5 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -4.00% vs 43.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -8.00% vs -8.30% para el activo
- Exposición: Exposición: 18.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 37.0%, vs 41.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.41
Con esa exposición en mente, puedes ver que para 19% tiempo-en-mercado, obtienes -9.15% del potencial alcista del activo, y 96.39% 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 @ GLD • 10 Minutes (-4.0%) explicado por Mike
Mike
AutorYo fam, this backtest is giving me some mixed feelings tbh 😅 The strategy caught my eye with that sweet Bollinger/Keltner squeeze setup, but the numbers are making me scratch my head a bit.
Looking at the bright side, we're getting decent trading frequency with about 21 trades per month, and that 1.41 Risk/Reward ratio isn't too shabby! Plus, that win rate leeway is looking thicc - being 36.59% above what we need is pretty solid. I'm also digging that we're only exposed to the market 18.6% of the time, which means less overnight risk and more time for Wendy's shifts 🍔
But here's where it gets kinda rough bros - that -4% net profit over a year when buy & hold made 43.7% is a big oof 😬 The 37% win rate needs some work too, especially with those 9-trade losing streaks that could seriously wreck someone's account. That -8% max drawdown might not look huge, but it hits different when you're actually living through it, ya feel me?
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en GLD • 10 Minutes
| Total de Operaciones | 131 | Beneficio Neto | -4.0% | Beneficio Compra y Mantén | 43.7% |
| Tasa de Ganancia | 37% | Ratio Riesgo/Recompensa | 1.41 | Máximo Drawdown | -8.0% |
| Máximo Drawdown del Activo | -8.3% | Exposición | 18.6% | Promedio de Velas en Posición | 13.2 |
| Ratio de Sharpe | -1.75 | Ratio de Sortino | -2.00 | Volatilidad Realizada | 6.00% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 20.8 | Promedio de Operaciones por Día | 0.7 |
| Desv. Est. del Retorno | 0.6 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.6 |
| Expectativa | -0.1 | Beta | 0.16 |
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 |