Bollinger/Keltner squeezelongResultados de Backtest @ BTCUSD • 1 Hour
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 13.9 months de datos BTCUSD • 1 Hour (Bitcoin vs USD, Coinbase Pro (GDAX)), desde May 23, 2024 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 13.9 months de velas BTCUSD • 1 Hour. Este backtest resultó en 161 posiciones, con una tasa de ganancia promedio de 42% y una relación riesgo-recompensa de 1.72. Si asumes que la relación riesgo-recompensa de 1.72 se mantiene, necesitas una tasa de ganancia mínima de 36.8 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 19.10% vs 71.40% para el activo
- Máximo Drawdown: Máximo Drawdown: -21.50% vs -31.00% para el activo
- Exposición: Exposición: 24.60% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 36.8% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.72
Con esa exposición en mente, puedes ver que para 25% tiempo-en-mercado, obtienes 26.75% del potencial alcista del activo, y 69.35% del potencial bajista del activo.
Bollinger/Keltner squeeze: entrar en una posición cuando
All of the following: # Whiskey 60min Chart(close) (2 candles ago) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) 60min Chart(close) (1 candles ago) > 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) 60min Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < 60min Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) 60min BB (20, 2, 2, 0, close) (1 candles ago) > 60min Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: salir de una posición cuando
Any of the following: # Papa 60min Chart(close) < 60min Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • 1 Hour (19.1%) explicado por Mike, Sarah
Mike
AutorYo fam, this squeeze strategy is looking pretty interesting! 🚀 The numbers are giving us some mixed signals but there's definitely potential here.
Looking at the core stats, we're working with a decent sample size of 161 trades over 13.9 months, which is solid for getting reliable data. The 42% win rate might look a bit low at first, but check this out - our R/R ratio is 1.72 which means we're actually making more on our winners than we're losing on our losers! That's why we're still profitable despite fewer winning trades. Plus, we've got a healthy 41.63% cushion above the minimum required win rate, which is straight fire! 🔥
The downside is we're underperforming buy & hold (19.1% vs 71.4%), but hey, we're only exposed to the market 24.6% of the time, which means way less risk and stress. That -21.5% max drawdown is a bit scary though - might need to tighten up those stop losses. The monthly trade frequency of 23.2 trades seems pretty sweet for us part-time traders juggling Wendy's shifts! 💪
All in all, I'd say this strategy has potential but might need some tweaking. Maybe we could work on reducing that drawdown while keeping the solid R/R ratio. Not financial advice though, just a fellow degen sharing thoughts! 🍗📈
Sarah
AutorMadre mía, this strategy is a complete disaster! The only reason it shows any profit at all is because we're in a bull market - just look at that pathetic 19.1% return when buy & hold gave 71.4%! You're basically throwing money away.
The win rate is absolutely terrible - 42%? Are you kidding me? Even with a decent risk/reward ratio of 1.72, you're still underperforming the market by a massive margin. And that drawdown of -21.5% is just waiting to wipe out your account. The Sharpe and Sortino ratios are embarassing - basically telling you there's no skill here, just random luck.
Look at those streaks - 8 losses in a row! ¡Dios mío! You would need nerves of steel to trade this garbage, and for what? To make less money than if you just bought and held? The market exposure of 24.6% shows you're missing most of the upward moves while still managing to catch the downturns. ¡Qué desastre!
I suggest you either completely rebuild this strategy from scratch or save yourself the trouble and just buy and hold. This is not a strategy - it's a recipe for frustration and lost money.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en BTCUSD • 1 Hour
| Total de Operaciones | 161 | Beneficio Neto | 19.1% | Beneficio Compra y Mantén | 71.4% |
| Tasa de Ganancia | 42% | Ratio Riesgo/Recompensa | 1.72 | Máximo Drawdown | -21.5% |
| Máximo Drawdown del Activo | -31.0% | Exposición | 24.6% | Promedio de Velas en Posición | 14.3 |
| Ratio de Sharpe | 0.20 | Ratio de Sortino | -0.19 | Volatilidad Realizada | 22.75% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 23.2 | Promedio de Operaciones por Día | 0.8 |
| Desv. Est. del Retorno | 1.8 | Desv. Est. de la Pérdida | 0.9 | Desv. Est. de la Ganancia | 1.7 |
| Expectativa | 0.1 | Beta | 0.19 |
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 |