Bollinger/Keltner squeezelongResultados de Backtest @ SPY • 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 32.5 years de datos SPY • Daily (SPDR S&P 500), desde January 29, 1993 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 32.5 years de velas SPY • Daily. Este backtest resultó en 108 posiciones, con una tasa de ganancia promedio de 39% y una relación riesgo-recompensa de 1.86. Si asumes que la relación riesgo-recompensa de 1.86 se mantiene, necesitas una tasa de ganancia mínima de 35.0 para ser rentable. Así que vas bien hasta ahora. Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: 14.10% vs 1316.30% para el activo
- Máximo Drawdown: Máximo Drawdown: -39.40% vs -56.70% para el activo
- Exposición: Exposición: 22.40% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 39.0%, vs 35.0% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.86
Con esa exposición en mente, puedes ver que para 22% tiempo-en-mercado, obtienes 1.07% del potencial alcista del activo, y 69.49% 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 @ SPY • Daily (14.1%) explicado por Mike, Sarah
Mike
AutorYo fam, this squeeze play looks kinda sus tbh 🤔 The win rate's only 39% which ain't great, but check this out - when it wins, it wins BIG with 2.62% average gains vs 1.41% losses. That's some thicc risk/reward ratio right there! 💪
The strategy's only got us in the market 22.4% of the time which is pretty conservative, and it's only doing like 0.5 trades per month. That's not exactly YOLO material my dudes, but maybe that's not so bad considering the market's been acting crazier than my Wendy's manager lately 😅 The max drawdown of -39.4% is kinda scary though ngl, that's some serious diamond hands territory. 💎🙌
Overall, this strategy's giving me more red flags than my ex's Instagram. The total return of 14.1% over 32 years vs buy & hold's 1316.3% is straight up depressing fam. But hey, if you're looking for a super selective strategy with decent R/R when it hits, this might be worth paper trading. Just don't bet your entire Wendy's paycheck on it! 🍔 DYOR and maybe consider some modifications to boost that win rate. Not financial advice, just a fellow degen's thoughts! 🚀
Sarah
AutorMadre mía, this strategy is complete garbage! Only an idiota would consider trading this. Let me tell you why I'm being so harsh.
First, look at that pathetic 14.1% total return over 32.5 years when buy & hold gave 1316.3%! You would have done better putting your money under your mattress, coño! The strategy shows negative Sharpe and Sortino ratios - it's literally worse than doing nothing. And that 39.4% maximum drawdown? Absolutamente terrible!
The only slightly positive thing I see is the Risk/Reward ratio of 1.86 and the fact that the win rate is above the minimal sufficient rate. But mira, with only 108 trades over 32 years (that's like 3 trades per year!), these numbers are barely meaningful. You're basically sitting out most of the market moves like a scared gatito.
My professional advice? Throw this strategy in la basura where it belongs. It's clear whoever designed this doesn't understand basic market mechanics. The entry conditions are overly complicated for such poor results. Go back to the drawing board and stop wasting time with such mediocre strategies.
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en SPY • Daily
| Total de Operaciones | 108 | Beneficio Neto | 14.1% | Beneficio Compra y Mantén | 1316.3% |
| Tasa de Ganancia | 39% | Ratio Riesgo/Recompensa | 1.86 | Máximo Drawdown | -39.4% |
| Máximo Drawdown del Activo | -56.7% | Exposición | 22.4% | Promedio de Velas en Posición | 15.9 |
| Ratio de Sharpe | -0.59 | Ratio de Sortino | -0.53 | Volatilidad Realizada | 4.60% |
| Racha Máxima de Ganancia | 6 | Racha Promedio de Ganancia | 1.6 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 0.5 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 2.7 | Desv. Est. de la Pérdida | 1.0 | Desv. Est. de la Ganancia | 2.8 |
| 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 |