Bollinger/Keltner squeezelongResultados de Backtest @ GLD • 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 20.7 years de datos GLD • Daily (SPDR Gold Trust), desde November 18, 2004 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 20.7 years de velas GLD • Daily. Este backtest resultó en 59 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.95. Si asumes que la relación riesgo-recompensa de 1.95 se mantiene, necesitas una tasa de ganancia mínima de 33.9 para ser rentable. Así que vas bien hasta ahora. Sin embargo, 59 posiciones es una muestra pequeña, así que toma los resultados con mucha cautela. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 13.20% vs 595.10% para el activo
- Máximo Drawdown: Máximo Drawdown: -21.10% vs -45.30% para el activo
- Exposición: Exposición: 16.80% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 33.9% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.95
Con esa exposición en mente, puedes ver que para 17% tiempo-en-mercado, obtienes 2.22% del potencial alcista del activo, y 46.58% 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 @ GLD • Daily (13.2%) explicado por Mike, Sarah
Mike
AutorYo fam, let me break down this squeeze play for you! 🚀💎
Looking at this Bollinger/Keltner strategy on GLD, it's giving some interesting vibes. The win rate is sitting at 39% which might sound low, but check this out - when we win, we're banking 3.61% compared to -1.85% on losses. That's nearly a 2:1 reward-to-risk ratio! Plus, we're actually running 5% above the minimum required win rate, which is pretty sweet for margin of safety. 🎯
The downside is we're only getting like half a trade per month, so this is definitely not a day trading strategy. And that 21.1% max drawdown is kinda rough ngl. The market exposure is super low at 16.8%, which means we're mostly sitting on the sidelines watching the market do its thing. 💤
Here's the real talk though - while we're making some gains (13.2% total), we're getting absolutely smoked by buy & hold (595.1%). But maybe that's not the whole story since we're taking way less risk by being in the market only 16.8% of the time. Could be good for someone who wants to trade gold with lower risk exposure, but probably not for us Wendy's warriors looking for those juicy tendies! 🍗
Not financial advice tho, just a dude behind the Wendy's counter dreaming big! 🚀
Sarah
AutorMadre de dios, this strategy is absolute garbage! Let me tell you why, mi amigo.
First of all, 13.2% total return over 20.7 years? That's pathetic! The buy & hold strategy made 595.1% - you're literally throwing money away here. Even putting your money under the mattress would have been better considering inflation. And look at that market exposure - only 16.8%! You're sitting out of the market most of the time, missing all the good moves.
The win rate is another disaster - 39% winners? Are you trying to lose money on purpose? Yes, yes, I see the Risk/Reward ratio is 1.95, which technically makes it matematically viable with that win rate. But why would anyone want to sit through 9 consecutive losses (your max losing streak) for such mediocre returns? That's masochistic!
The most embarassing part is the performance metrics. Negative Sharpe ratio (-0.58), negative Sortino ratio (-0.43), and a pathetic 0.15 Beta. This means you're not only underperforming, you're doing it with significant risk! The 21.1% max drawdown is just the cherry on top of this disaster sundae.
Mi consejo? Throw this strategy in the basura where it belongs. You're better off buying and holding or finding a completely different approach. This one is dead on arrival.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en GLD • Daily
| Total de Operaciones | 59 | Beneficio Neto | 13.2% | Beneficio Compra y Mantén | 595.1% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.95 | Máximo Drawdown | -21.1% |
| Máximo Drawdown del Activo | -45.3% | Exposición | 16.8% | Promedio de Velas en Posición | 13.8 |
| Ratio de Sharpe | -0.58 | Ratio de Sortino | -0.43 | Volatilidad Realizada | 5.09% |
| Racha Máxima de Ganancia | 3 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 9 |
| Racha Promedio de Pérdida | 2.6 | Promedio de Operaciones por Mes | 0.5 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 3.7 | Desv. Est. de la Pérdida | 1.3 | Desv. Est. de la Ganancia | 3.8 |
| Expectativa | 0.1 | Beta | 0.15 |
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 |