Bollinger/Keltner squeezelongResultados de Backtest @ NVDA • 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 NVDA • 1 Hour (NVIDIA Corporation), 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.
Entonces, hemos hecho backtest de Bollinger/Keltner squeeze en 5.7 years de velas NVDA • 1 Hour. Este backtest resultó en 121 posiciones, con una tasa de ganancia promedio de 49% y una relación riesgo-recompensa de 2.45. Si asumes que la relación riesgo-recompensa de 2.45 se mantiene, necesitas una tasa de ganancia mínima de 29.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 364.40% vs 3126.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -34.20% vs -68.00% para el activo
- Exposición: Exposición: 25.70% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 49.0%, vs 29.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 2.45
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes 11.66% del potencial alcista del activo, y 50.29% 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 @ NVDA • 1 Hour (364.4%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe results look mathematically interesting, but I have some concerns about the robustness. The strategy shows a decent Win Rate of 49% with a good Risk/Reward ratio of 2.45, which explains why it's profitable despite winning less than half the trades. That's actually quite typical for trend-following strategies.
What worries me is the market exposure of only 25.7% while the buy & hold profit is significantly higher at 3126.3%. This suggests we might be missing many good opportunities. The max drawdown of -34.2% is not terrible for a stock like NVDA, but combined with the relatively low Sharpe ratio of 0.98, it indicates the strategy might not be optimal from a risk-adjusted return perspective. I would expect better numbers here.
The strategy shows good consistency with 3.5 trades per month - that's enough to be statistically significant over the 5.7 year period, but not so frequent that commission costs would kill the profits. The win rate leeway of 48.71% above the minimal required win rate is very positive - it means the strategy has room for deterioration before becoming unprofitable. However, I would want to see how sensitive these results are to small changes in the Bollinger and Keltner parameters before deploying real money.
Mike
AutorYo fam, this NVDA strategy is looking pretty interesting! 🚀 Not gonna lie, that 364% total gain over 5.7 years got me hyped, even though it's not beating the insane buy & hold returns (but who could during this NVDA bull run? 😅).
What's really catching my eye is that risk/reward setup - 2.45 R/R ratio with winners averaging 5.16% while losers only hit -2.11%. That's the kind of asymmetric betting I live for! Plus that 49% win rate is way above the 29% minimum needed, giving us almost 50% safety cushion. That's like having extra fries in your Wendy's bag! 🍟
The drawdown of -34.2% is a bit spicy 🌶️, but hey, that's still better than NVDA's own -68% drawdown. What I really dig is how it's only exposed to the market 25.7% of the time - means you're not always risking your tendies and can sleep better at night. Averaging 3.5 trades per month keeps those commission costs low too. Looking at those yearly returns getting more stable over time (from crazy 1789% monthly to a chill 34.2% 5Y CAGR) tells me this isn't just some lucky moonshot strategy.
Sarah
AutorMadre mía, what a mess of a strategy! Let me tear this disaster apart for you.
First off, you're getting absolutely destroyed by buy & hold - 364% vs 3126%? That's pathetic! You're basically throwing money away by not just buying and sitting on your hands. The market exposure of 25.7% shows you're missing most of the big moves while probably catching all the choppy nonsense.
The win rate is barely breaking even at 49% - you might as well flip a coin! Yes, your risk/reward looks decent at 2.45, but with that 7-trade losing streak lurking in there, you're going to need some serious capital to survive those drawdowns. And speaking of drawdowns - 34.2%? That's going to make you cry in your pilato at night!
The only somewhat decent thing I see is the win rate leeway being positive, but honestly, that's like celebrating that you didn't completely fail your exam - you just mostly failed it.
Those Sharpe and Sortino ratios below 1.0 are embarasing - it means you're not even getting properly compensated for the risk you're taking. You're basically working hard to underperform a simple buy & hold strategy. Felicidades, you've managed to turn a winning stock into a losing strategy!
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en NVDA • 1 Hour
| Total de Operaciones | 121 | Beneficio Neto | 364.4% | Beneficio Compra y Mantén | 3126.3% |
| Tasa de Ganancia | 49% | Ratio Riesgo/Recompensa | 2.45 | Máximo Drawdown | -34.2% |
| Máximo Drawdown del Activo | -68.0% | Exposición | 25.7% | Promedio de Velas en Posición | 20.2 |
| Ratio de Sharpe | 0.98 | Ratio de Sortino | 0.86 | Volatilidad Realizada | 19.48% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.8 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 1.9 | Promedio de Operaciones por Mes | 3.5 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 6.0 | Desv. Est. de la Pérdida | 1.7 | Desv. Est. de la Ganancia | 6.6 |
| Expectativa | 0.7 | 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 |