Bollinger/Keltner squeezelongResultados de Backtest @ NVDA • 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 NVDA • 10 Minutes (NVIDIA Corporation), 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 NVDA • 10 Minutes. Este backtest resultó en 163 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 1.61. Si asumes que la relación riesgo-recompensa de 1.61 se mantiene, necesitas una tasa de ganancia mínima de 38.3 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -12.10% vs 32.90% para el activo
- Máximo Drawdown: Máximo Drawdown: -24.90% vs -42.80% para el activo
- Exposición: Exposición: 25.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 38.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.61
Con esa exposición en mente, puedes ver que para 25% tiempo-en-mercado, obtienes -36.78% del potencial alcista del activo, y 58.18% 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 @ NVDA • 10 Minutes (-12.1%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some concerning patterns. The strategy is significantly underperforming the buy & hold approach (-12.1% vs +32.9%), which is already a red flag for a strategy on NVDA, one of the strongest performers lately.
The mathematical metrics reveal structural problems. While the Risk/Reward ratio of 1.61 looks decent on paper, the actual win rate of 36% is too low for this R/R setup. The negative expectancy of -0.1 confirms this - you're mathematically expected to lose money on every trade on average. The relatively high number of trades (163 over 12.6 months) means these results are statistically significant, so we can't dismiss them as random noise.
The risk metrics are particularly worrying. A Sharpe ratio of -0.23 indicates poor risk-adjusted returns, and the max drawdown of -24.9% is quite high for only 25.4% market exposure. The strategy seems to be catching mostly noise rather than signal, as evidenced by the weak correlation (0.50) to the underlying asset. I would strongly recommend against trading this strategy live without significant modifications to improve the win rate or the risk/reward ratio.
Mike
AutorYo fam, let me break down this NVDA squeeze play! 🚀
The strategy is showing some interesting moves with that Bollinger/Keltner combo, but I'm seeing some red flags that got me worried about my tendies. That -12.1% net profit is straight-up painful when NVDA itself mooned 32.9% during the same period. The win rate at 36% is making me sweat harder than working the Wendy's grill during lunch rush 😅
But check this out - the Risk/Reward ratio is actually pretty solid at 1.61! When we win, we're banking 1.51% vs losing 0.94%. That's the kind of setup that could print if we can bump up that win rate just a little bit. We're only 2.3% away from the minimal sufficient win rate, so there might be hope! 💎🙌
I think this strategy needs some tweaking before I'd YOLO my paycheck into it. The max drawdown of -24.9% is scary AF, and those 8-trade losing streaks could wreck anyone's account. Maybe adding some additional confirmations or adjusting those BB/Keltner parameters could help catch better entries. Until then, I'm sticking to my regular plays, but definitely keeping an eye on this setup! 🔍
Sarah
AutorMadre de Dios, this is one of the most pathetic strategies I have seen in my career! You managed to lose money in one of the hottest stocks during a massive bull run - that takes special talent!
The strategy is complete garbage. You have a negative 12.1% return while NVDA gained 32.9%? That's like trying to drown yourself in a swimming pool full of life jackets! With a miserable 36% win rate and pathetic risk metrics (Sharpe -0.23, really?), this strategy belongs in the trash bin.
Your drawdown is -24.9% which is actually worse than just holding through NVDA's -42.8% drawdown when you account for the mere 25.4% market exposure. Essentially, you found a way to lose money more efficiently than just buying and holding through the dips. Impresionante, but not in a good way!
The only remotely positive thing I can say is that your Risk/Reward ratio of 1.61 isn't completely terrible - but it's like putting lipstick on a cerdo. With such poor execution and timing, it doesn't matter. My advice? Start over from scratch or stick to index funds. This strategy is clearly not working and probably never will.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en NVDA • 10 Minutes
| Total de Operaciones | 163 | Beneficio Neto | -12.1% | Beneficio Compra y Mantén | 32.9% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 1.61 | Máximo Drawdown | -24.9% |
| Máximo Drawdown del Activo | -42.8% | Exposición | 25.4% | Promedio de Velas en Posición | 14.6 |
| Ratio de Sharpe | -0.23 | Ratio de Sortino | -0.09 | Volatilidad Realizada | 23.29% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.4 | Promedio de Operaciones por Mes | 25.9 | Promedio de Operaciones por Día | 0.9 |
| Desv. Est. del Retorno | 1.6 | Desv. Est. de la Pérdida | 1.1 | Desv. Est. de la Ganancia | 1.3 |
| Expectativa | -0.1 | Beta | 0.15 |
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 |