Bollinger/Keltner squeezelongResultados de Backtest @ EURUSD • 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 9.6 years de datos EURUSD • Daily (Euro vs USD spot (Interactive Brokers)), desde December 2, 2015 hasta July 10, 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 9.6 years de velas EURUSD • Daily. Este backtest resultó en 38 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.93. Si asumes que la relación riesgo-recompensa de 1.93 se mantiene, necesitas una tasa de ganancia mínima de 34.1 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 38 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 5.20% vs 10.80% para el activo
- Máximo Drawdown: Máximo Drawdown: -9.10% vs -23.30% para el activo
- Exposición: Exposición: 25.10% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 34.1% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.93
Con esa exposición en mente, puedes ver que para 25% tiempo-en-mercado, obtienes 48.15% del potencial alcista del activo, y 39.06% 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 @ EURUSD • Daily (5.2%) explicado por Mike, Sarah
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy for you! 🚀
The strategy is giving some interesting vibes with that 39% win rate and a solid 1.93 risk/reward ratio. What's really catching my eye is that win rate leeway - we're crushing the minimal required win rate by like 3800%! That's some serious breathing room right there 💪 The average winner is pulling in 1.92% while average losses are contained at -0.99%, which isn't too shabby for forex.
However, keeping it real, that 25% market exposure and only 38 trades over 9.6 years is pretty low-key - we're talking less than one trade per month 😴 The max drawdown of -9.1% isn't terrible for forex, but that -1.27 Sharpe ratio is giving me some pause. Also worth noting that buy & hold actually outperformed this strategy (10.8% vs 5.2%).
Listen up though - this could be a decent base to build on! The risk management looks solid, and those winning trades are nearly double the size of losing ones. Maybe we could juice it up by finding more trade opportunities or combining it with other indicators? Just remember, this is Wendy's money we're playing with, so always gotta keep that risk in check! 🍔💎🙌
Sarah
AutorThis strategy is absolute garbage and anyone suggesting to trade it should be ashamed. Let me tell you why.
First, 38 trades in 9.6 years? That's not even 4 trades per year! You're basically sitting on your hands doing nothing most of the time. And when you finally do trade, you lose 61% of the time. Brilliant plan to lose money slowly!
The strategy underperforms buy & hold by more than 50% (5.2% vs 10.8%). Why would anyone waste their time with this? And look at those pathetic ratios - Sharpe at -1.27 and Sortino at -1.12. These are not just bad, they're embarrassingly bad.
The only remotely positive thing is the Risk/Reward ratio of 1.93, but what good is that when you're losing most trades and barely trading at all? The 8-trade losing streak is particularly concerning - imagine explaining that to your boss or clients.
My honest advice? Delete this strategy and start over. This is not even worth trying to fix. It's like trying to save the Titanic with a bucket - pointless and waste of time.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en EURUSD • Daily
| Total de Operaciones | 38 | Beneficio Neto | 5.2% | Beneficio Compra y Mantén | 10.8% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.93 | Máximo Drawdown | -9.1% |
| Máximo Drawdown del Activo | -23.3% | Exposición | 25.1% | Promedio de Velas en Posición | 14.5 |
| Ratio de Sharpe | -1.27 | Ratio de Sortino | -1.12 | Volatilidad Realizada | 3.09% |
| Racha Máxima de Ganancia | 5 | Racha Promedio de Ganancia | 1.9 | Racha Máxima de Pérdida | 8 |
| Racha Promedio de Pérdida | 2.9 | Promedio de Operaciones por Mes | 0.6 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 2.1 | Desv. Est. de la Pérdida | 0.7 | Desv. Est. de la Ganancia | 2.4 |
| Expectativa | 0.2 | Beta | 0.24 |
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 |