Bollinger/Keltner squeezelongResultados de Backtest @ BTCUSD • Daily
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 10.5 years de datos BTCUSD • Daily (Bitcoin vs USD, Coinbase Pro (GDAX)), desde January 13, 2015 hasta July 12, 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 10.5 years de velas BTCUSD • Daily. Este backtest resultó en 62 posiciones, con una tasa de ganancia promedio de 45% y una relación riesgo-recompensa de 4.22. Si asumes que la relación riesgo-recompensa de 4.22 se mantiene, necesitas una tasa de ganancia mínima de 19.2 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 62 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 2515.40% vs 67440.20% para el activo
- Máximo Drawdown: Máximo Drawdown: -51.50% vs -83.80% para el activo
- Exposición: Exposición: 28.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 45.0%, vs 19.2% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 4.22
Con esa exposición en mente, puedes ver que para 28% tiempo-en-mercado, obtienes 3.73% del potencial alcista del activo, y 61.46% del potencial bajista del activo.
Bollinger/Keltner squeeze: entrar en una posición cuando
All of the following: # Whiskey D Chart(close) (2 candles ago) < D Bollinger Bands ® (20, 2, 2, 0, close), Up (2 candles ago) D Chart(close) (1 candles ago) > D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) D Bollinger Bands ® (20, 2, 2, 0, close), Up (1 candles ago) < D Keltner Channel (20, SMA, 10, 2, 0, close), Up (1 candles ago) D BB (20, 2, 2, 0, close) (1 candles ago) > D Keltner (20, SMA, 10, 2, 0, close) (1 candles ago)
Bollinger/Keltner squeeze: salir de una posición cuando
Any of the following: # Papa D Chart(close) < D Bollinger Bands ® (20, 2, 2, 0, close), Middle
Bollinger/Keltner squeeze @ BTCUSD • Daily (2515.4%) explicado por Alex C, Mike, Sarah
Alex C
AutorThe backtest results show some interesting metrics, but I have concerns about the strategy's stability. The win rate of 45% combined with a risk/reward ratio of 4.22 leads to positive expectancy of 1.4, which looks mathematicaly viable. However, the high drawdown of 51.5% is quite concerning for real trading.
The market exposure of 28.1% suggests this is not a very active strategy, which matches with the average of only 1 trade per month. This low frequency combined with only 62 total trades over 10.5 years makes the statistical significance questionable. The performance varies drasticaly across different timeframes - from -99.1% in 6 months to +1804.5% in 5 years. Such high variance indicates potential instability and dependency on specific market conditions.
While the strategy shows mathematicaly positive metrics in isolation, I would not recommend trading this without further optimization. The low Sharpe ratio of 0.23 suggests poor risk-adjusted returns, and the strategy significantly underperforms buy & hold (2515% vs 67440%). I would suggest testing with different parameter settings and analyzing more recent timeframes to check if the pattern still holds in current market conditions.
Mike
AutorYo fam, this Bollinger/Keltner squeeze strategy is showing some pretty wild numbers! 🚀 The overall 2515% net profit looks juicy, but let's keep it real - we're still way behind that insane buy & hold return of 67440%.
What's really catching my eye here is that risk/reward setup though! 🔥 We're talking about a 4.22 R/R ratio with average winners hitting 21.53% while average losses are only -5.10%. That's the kind of asymmetric betting I live for at Wendy's! The win rate at 45% might look meh at first, but with these ratios, we only need a 19.2% win rate to break even - that's a huge safety cushion!
The main downside I'm seeing is that -51.5% max drawdown - that's gonna test your diamond hands for sure 💎🙌. Also, only 1 trade per month means you gotta be patient AF. But honestly, for a strategy that's been backtested over 10 years with solid R/R ratios and good win rate leeway, this could be worth throwing some tendies at. Just gotta manage that position sizing so the drawdowns don't wreck your account! 🎯
Sarah
AutorMadre mia, this strategy is a complete disaster! The Buy & Hold return crushes your strategy by a factor of 26 - you're making 2515% while simple holding would give you 67440%. What kind of trader are you trying to be?
The risk metrics are absolutely terrible. A Sharpe ratio of 0.23? That's pathetic! You're taking on massive risk for mediocre returns. And that 51.5% drawdown - do you enjoy watching your account get cut in half?
The only somewhat decent thing here is the Risk/Reward ratio of 4.22, but with such a poor win rate of 45%, it's like having a Ferrari with no engine. Your strategy makes barely 1 trade per month - are you trading or sleeping?
Look at those time period returns - they're all over the place! -99.1% in 6 months, then magically +455% in 2 years? This is pure gambling, not trading. The strategy has no consistency whatsoever.
My advice? Throw this strategy in the garbage where it belongs. Either learn to build something more robust or just buy and hold Bitcoin. At least then you won't underperform the market by such an embarrasing margin.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en BTCUSD • Daily
| Total de Operaciones | 62 | Beneficio Neto | 2515.4% | Beneficio Compra y Mantén | 67440.2% |
| Tasa de Ganancia | 45% | Ratio Riesgo/Recompensa | 4.22 | Máximo Drawdown | -51.5% |
| Máximo Drawdown del Activo | -83.8% | Exposición | 28.1% | Promedio de Velas en Posición | 16.3 |
| Ratio de Sharpe | 0.23 | Ratio de Sortino | 0.78 | Volatilidad Realizada | 28.33% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.1 | Promedio de Operaciones por Mes | 1.0 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 20.0 | Desv. Est. de la Pérdida | 3.5 | Desv. Est. de la Ganancia | 22.0 |
| Expectativa | 1.4 | Beta | 0.25 |
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 |