Bollinger/Keltner squeezelongResultados de Backtest @ SPY • 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 SPY • 1 Hour (SPDR S&P 500), 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 SPY • 1 Hour. Este backtest resultó en 128 posiciones, con una tasa de ganancia promedio de 41% y una relación riesgo-recompensa de 1.71. Si asumes que la relación riesgo-recompensa de 1.71 se mantiene, necesitas una tasa de ganancia mínima de 36.9 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 8.90% vs 106.70% para el activo
- Máximo Drawdown: Máximo Drawdown: -12.40% vs -35.10% para el activo
- Exposición: Exposición: 22.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 41.0%, vs 36.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.71
Con esa exposición en mente, puedes ver que para 22% tiempo-en-mercado, obtienes 8.34% del potencial alcista del activo, y 35.33% 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 @ SPY • 1 Hour (8.9%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe strategy looks mathematically valid but not particularly impressive. The win rate of 41% combined with a risk/reward ratio of 1.71 gives us positive expectancy of 0.1, which is technically profitable but quite weak. The good news is that the actual win rate is 4% above the minimal required win rate - this provides some safety margin.
However, the performance metrics are concerning. A Sharpe ratio of -0.39 and Sortino of -0.11 indicate poor risk-adjusted returns. The strategy's net profit of 8.9% over 5.7 years significantly underperforms buy & hold at 106.7%. With market exposure of only 22.1%, one could argue the strategy is too conservative, but then the max drawdown of -12.4% is still quite high for such limited exposure.
I notice the average trade frequency is quite low at 3.7 trades per month. This makes the statistical significance questionable despite having 128 total trades. The strategy also shows concerning streaks - maximum losing streak of 8 trades versus maximum winning streak of 4 trades. This asymmetry suggests the strategy might not be robust enough for real trading conditions. I would recommend either adjusting the entry/exit parameters or exploring other approaches entirely.
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy for you! 🚀
The stats are showing some interesting potential here. With a 41% win rate and a solid 1.71 risk/reward ratio, we're actually running 4063% above the minimal required win rate - that's pretty fire! 🔥 The average winner brings in 1.26% while average losses are contained at -0.74%, which isn't too shabby for a system trading SPY on the hourly.
But here's where it gets real - the strategy's total return of 8.9% over 5.7 years is kinda weak sauce compared to buy & hold's 106.7%. 😬 The market exposure is only 22.1% though, which means we're not taking on full market risk. This could be clutch during bear markets! Plus, with only 3.7 trades per month, we're not getting killed on commissions at Wendy's paycheck levels.
Listen up though - those 8-trade losing streaks can be rough on the mental game. You gotta have diamond hands 💎🙌 to stick with it through the drawdowns. But if you can handle the volatility and use proper position sizing, this could be a decent piece of a larger trading strategy. Just don't YOLO your whole account on this one system! Keep it real and trade safe, fam! 🚀
Sarah
AutorMadre mía, this strategy is absolute garbage! The numbers are screaming "stay away" louder than my abuela when she catches someone touching her paella pan.
Look at that pathetic 8.9% total return over 5.7 years while the market gave 106.7%! You would have made more money putting your cash under your mattress, por dios! The win rate of 41% is technically above the minimal required 36.9%, but that's like being proud of passing an exam with D-. And that -12.4% drawdown? Absolutamente terrible for such mediocre returns!
The market exposure is only 22.1%, which means you're sitting out most of the time like a scared gatito, and when you do trade, you're doing it wrong. The negative Sharpe and Sortino ratios are just embarassing - it means you're taking stupid risks for subpar returns. This is like trying to make tortilla española without eggs!
If you're actually considering trading this strategy, you should probably also consider buying lottery tickets - at least those are more entertaining ways to lose money. The only positive thing I can say is that with only 3.7 trades per month, you won't lose your money very quickly.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en SPY • 1 Hour
| Total de Operaciones | 128 | Beneficio Neto | 8.9% | Beneficio Compra y Mantén | 106.7% |
| Tasa de Ganancia | 41% | Ratio Riesgo/Recompensa | 1.71 | Máximo Drawdown | -12.4% |
| Máximo Drawdown del Activo | -35.1% | Exposición | 22.1% | Promedio de Velas en Posición | 16.3 |
| Ratio de Sharpe | -0.39 | Ratio de Sortino | -0.11 | Volatilidad Realizada | 5.22% |
| Racha Máxima de Ganancia | 4 | Racha Promedio de Ganancia | 1.7 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 3.7 | Promedio de Operaciones por Día | 0.1 |
| Desv. Est. del Retorno | 1.4 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 1.2 |
| Expectativa | 0.1 | Beta | 0.1 |
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 |