Bollinger/Keltner squeezelongResultados de Backtest @ EURUSD • 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 19.5 months de datos EURUSD • 1 Hour (Euro vs USD spot (Interactive Brokers)), desde December 6, 2023 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 19.5 months de velas EURUSD • 1 Hour. Este backtest resultó en 161 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.89. Si asumes que la relación riesgo-recompensa de 1.89 se mantiene, necesitas una tasa de ganancia mínima de 34.6 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 4.90% vs 8.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -2.80% vs -9.00% para el activo
- Exposición: Exposición: 25.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 34.6% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.89
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes 59.76% del potencial alcista del activo, y 31.11% 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 @ EURUSD • 1 Hour (4.9%) explicado por Mike, Sarah
Mike
AutorYo fam, this Bollinger/Keltner squeeze strategy is showing some interesting moves! 🚀
Looking at these numbers, we've got a pretty decent setup here. That 1.89 Risk/Reward ratio is sweet - means when we win, we win bigger than we lose! And check this out: we only need a 34.6% win rate to break even, but we're hitting 41% - that's some solid cushion right there! 💪 The fact we're 40% above the minimal win rate is straight-up fire!
The downside is we're underperforming buy & hold (4.9% vs 8.2%), but hey, we're only exposed to the market 25.8% of the time! That means we're not taking nearly as much risk as hodling. The max drawdown is only -2.8% compared to the market's -9.0% - that's the kind of protection I'm looking for when I'm trying to preserve my Wendy's checks! 🍔
I'm actually kinda hyped about this strategy, even with those losing streaks (9 losses in a row sounds rough but it's manageable with proper position sizing). The consistent growth over different time periods shows it's not just a one-hit wonder. Would I YOLO my whole account into this? Nah, but it could be a solid piece of a larger trading plan! 🎯
Sarah
AutorMadre mía, this strategy is like a broken clock - occasionally right but mostly disappointing! The 41% win rate isn't terrible by itself, but combined with that pathetic 4.9% net profit over 19.5 months? You'd have made more money keeping your cash under your mattress!
Look at those ratios - negative Sharpe and Sortino? That's embarassing! It means you're taking risks without proper compensation. And the strategy clearly can't keep up with simple buy & hold, which made 8.2% in the same period. The market exposure of 25.8% suggests you're sitting on the sidelines most of the time, watching opportunities pass by like a scared gatito.
The only remotely decent thing here is the Risk/Reward ratio of 1.89 and the fact that your win rate is above the minimal sufficient rate. But let's be honest - with those 9-trade losing streaks, you'd need nerves of steel to actually trade this. And for what? To underperform the market? No gracias!
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en EURUSD • 1 Hour
| Total de Operaciones | 161 | Beneficio Neto | 4.9% | Beneficio Compra y Mantén | 8.2% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.89 | Máximo Drawdown | -2.8% |
| Máximo Drawdown del Activo | -9.0% | Exposición | 25.8% | Promedio de Velas en Posición | 14.3 |
| Ratio de Sharpe | -0.42 | Ratio de Sortino | -0.25 | Volatilidad Realizada | 3.16% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.2 | Promedio de Operaciones por Mes | 16.5 | Promedio de Operaciones por Día | 0.6 |
| Desv. Est. del Retorno | 0.4 | Desv. Est. de la Pérdida | 0.1 | Desv. Est. de la Ganancia | 0.4 |
| Expectativa | 0.2 | 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 |