Bollinger/Keltner squeezelongResultados de Backtest @ SPY • 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 SPY • 10 Minutes (SPDR S&P 500), 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 SPY • 10 Minutes. Este backtest resultó en 144 posiciones, con una tasa de ganancia promedio de 38% 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: -0.30% vs 14.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -5.60% vs -20.70% para el activo
- Exposición: Exposición: 26.20% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 38.0%, vs 38.3% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.61
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes -2.10% del potencial alcista del activo, y 27.05% 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 @ SPY • 10 Minutes (-0.3%) explicado por Alex C
Alex C
AutorThe strategy shows some concerning patterns that I must point out. The negative net profit of -0.3% compared to buy & hold profit of 14.3% is already a red flag. Even though the Risk/Reward ratio of 1.61 looks okay on paper, the low win rate of 38% makes it problematic.
What catches my attention most is the high number of trades - 144 trades in about 12 months means relatively high trading activity. This could lead to significant transaction costs in real trading, which would make the already negative performance even worse. The market exposure of 26.2% suggests the strategy is quite selective about when it enters the market, which is good, but it's not catching the major moves as evidenced by the underperformance versus buy & hold.
The negative Sharpe ratio (-0.41) and Sortino ratio (-0.11) are clear indicators that this strategy is not delivering risk-adjusted returns. While the maximum drawdown of -5.6% might seem acceptable compared to the asset's -20.7%, we must remember that this is achieved through lower market exposure, not through superior trading decisions. I would strongly suggest to either modify the entry conditions or look for a completely different approach.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en SPY • 10 Minutes
| Total de Operaciones | 144 | Beneficio Neto | -0.3% | Beneficio Compra y Mantén | 14.3% |
| Tasa de Ganancia | 38% | Ratio Riesgo/Recompensa | 1.61 | Máximo Drawdown | -5.6% |
| Máximo Drawdown del Activo | -20.7% | Exposición | 26.2% | Promedio de Velas en Posición | 17.2 |
| Ratio de Sharpe | -0.41 | Ratio de Sortino | -0.11 | Volatilidad Realizada | 6.66% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.7 | Promedio de Operaciones por Mes | 22.9 | Promedio de Operaciones por Día | 0.8 |
| Desv. Est. del Retorno | 0.5 | Desv. Est. de la Pérdida | 0.3 | Desv. Est. de la Ganancia | 0.3 |
| Expectativa | -0.0 | Beta | 0.12 |
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 |