Bollinger/Keltner squeezelongResultados de Backtest @ TSLA • 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 TSLA • 10 Minutes (Tesla, Inc.), 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 TSLA • 10 Minutes. Este backtest resultó en 154 posiciones, con una tasa de ganancia promedio de 40% y una relación riesgo-recompensa de 1.64. Si asumes que la relación riesgo-recompensa de 1.64 se mantiene, necesitas una tasa de ganancia mínima de 37.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 4.70% vs 59.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -32.80% vs -55.30% para el activo
- Exposición: Exposición: 23.50% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 40.0%, vs 37.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.64
Con esa exposición en mente, puedes ver que para 24% tiempo-en-mercado, obtienes 7.97% del potencial alcista del activo, y 59.31% 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 @ TSLA • 10 Minutes (4.7%) explicado por Alex C
Alex C
AutorThe numbers show some serious problems with this strategy. First, the win rate of 40% combined with a risk/reward of 1.64 looks mathematically ok - the minimal sufficient win rate of 37.9% confirms this. But the actual performance tells a different story.
The strategy is clearly underperforming the market significantly - while TSLA made 59% during the period, the strategy only made 4.7%. This is not good at all. The market exposure of 23.5% suggests the strategy misses lot of the upside moves. Also concerning is the maximum drawdown of 32.8% - this is too high for the small returns it generates.
What really makes me worried is the inconsistency in the time period results. While it shows amazing 107.1% CAGR for 3 months, it performs terrible in other periods. This hints at curve fitting and lack of robustness. The negative Sharpe ratio of -0.52 confirms that the risk-adjusted returns are poor. I would definetely not trade this strategy with real money.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en TSLA • 10 Minutes
| Total de Operaciones | 154 | Beneficio Neto | 4.7% | Beneficio Compra y Mantén | 59.0% |
| Tasa de Ganancia | 40% | Ratio Riesgo/Recompensa | 1.64 | Máximo Drawdown | -32.8% |
| Máximo Drawdown del Activo | -55.3% | Exposición | 23.5% | Promedio de Velas en Posición | 14.3 |
| Ratio de Sharpe | -0.52 | Ratio de Sortino | -0.11 | Volatilidad Realizada | 28.34% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.5 | Racha Máxima de Pérdida | 10 |
| Racha Promedio de Pérdida | 2.3 | Promedio de Operaciones por Mes | 24.4 | Promedio de Operaciones por Día | 0.8 |
| Desv. Est. del Retorno | 2.5 | Desv. Est. de la Pérdida | 1.6 | Desv. Est. de la Ganancia | 2.2 |
| Expectativa | 0.0 | Beta | 0.2 |
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 |