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Bollinger/Keltner squeezelong
Resultados de Backtest @ GLD • 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 5.7 years de datos GLD • 1 Hour (SPDR Gold Trust), desde October 25, 2019 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.

Estrategia

Activo

Drawdown de Estrategia

Drawdown de Activo

Entonces, hemos hecho backtest de Bollinger/Keltner squeeze en 5.7 years de velas GLD • 1 Hour. Este backtest resultó en 98 posiciones, con una tasa de ganancia promedio de 42% 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 vas bien hasta ahora. Sin embargo, 98 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:

Retorno Total: Retorno Total: 6.20% vs 117.60% para el activo
Máximo Drawdown: Máximo Drawdown: -18.60% vs -22.20% para el activo
Exposición: Exposición: 15.80% tiempo en el mercado
Tasa de Ganancia: Tasa de Ganancia: 42.0%, vs 38.3% mínimo
Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.61

Con esa exposición en mente, puedes ver que para 16% tiempo-en-mercado, obtienes 5.27% del potencial alcista del activo, y 83.78% 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 @ GLD • 1 Hour (6.2%) explicado por Alex C, Sarah

Alex C

Autor

The numbers look not convincing to me. The strategy shows significant underperformance compared to buy and hold, which delivered 117.6% while the strategy only made 6.2%. This is a red flag already.

The win rate of 42% combined with a risk/reward ratio of 1.61 mathematically makes sense - the minimal required win rate is 38.3% and we are above that. However, the maximum drawdown of 18.6% is quite high for such low returns. The negative Sharpe and Sortino ratios (-0.66 and -0.62) confirm that the risk-adjusted returns are poor. This suggests the strategy is taking too much risk for the returns it generates.

Looking at the longer timeframe performance, the strategy shows deteriorating results - from +7% over 2 years to -8.6% over 5 years. This pattern makes me worried about the robustness of the strategy. The low trading frequency (2.8 trades per month) also means we don't have enough statistical significance to make strong conclusions about the strategy's true characteristics. In my experience, we need at minimum 200-300 trades to have meaningful statistics.

Sarah

Autor

This strategy is pure garbage, amigo. Let me tell you why, and please don't take it personal - I just hate seeing people waste their time on broken strategies.

First of all, your strategy is making only 6.2% over 5.7 years while the asset itself made 117.6%. That's embarrasingly bad - you would have made almost 20 times more money by simply buying and holding! Even my abuela could do better than that by throwing darts at a chart.

The win rate is pathetic at 42% - you're losing more often than winning. Si, si, I know you have a positive R/R ratio of 1.61, but with that market exposure of only 15.8%, you're basically sitting on your hands most of the time while the market runs away without you. Your Sharpe and Sortino ratios are negative (-0.66 and -0.62), which means you're not even being compensated for the risk you're taking.

The only slightly positive thing I see is the win rate leeway being above the minimal required win rate. But that's like saying "hey, at least my car that doesn't move has good tires!"

My honest advice? Throw this strategy in la basura and start over. You're trying to catch specific squeeze conditions but missing the bigger picture. The market is giving you clear signals that this approach doesn't work.

Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en GLD • 1 Hour

Total de Operaciones	98	Beneficio Neto	6.2%	Beneficio Compra y Mantén	117.6%
Tasa de Ganancia	42%	Ratio Riesgo/Recompensa	1.61	Máximo Drawdown	-18.6%
Máximo Drawdown del Activo	-22.2%	Exposición	15.8%	Promedio de Velas en Posición	15.1
Ratio de Sharpe	-0.66	Ratio de Sortino	-0.62	Volatilidad Realizada	5.61%
Racha Máxima de Ganancia	8	Racha Promedio de Ganancia	1.7	Racha Máxima de Pérdida	6
Racha Promedio de Pérdida	2.4	Promedio de Operaciones por Mes	2.8	Promedio de Operaciones por Día	0.1
Desv. Est. del Retorno	1.4	Desv. Est. de la Pérdida	0.6	Desv. Est. de la Ganancia	1.4
Expectativa	0.1	Beta	0.18

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

Bollinger/Keltner squeezelongResultados de Backtest @ GLD • 1 Hour