Bollinger/Keltner squeezelongResultados de Backtest @ WMT • 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 38.7 years de datos WMT • Daily (Walmart Inc.), desde November 10, 1986 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 38.7 years de velas WMT • Daily. Este backtest resultó en 169 posiciones, con una tasa de ganancia promedio de 36% y una relación riesgo-recompensa de 1.60. Si asumes que la relación riesgo-recompensa de 1.60 se mantiene, necesitas una tasa de ganancia mínima de 38.5 para ser rentable. ¡Así que estás jodido! Las métricas clave son las siguientes:
- Retorno Total: Retorno Total: -44.00% vs 9978.00% para el activo
- Máximo Drawdown: Máximo Drawdown: -74.70% vs -50.60% para el activo
- Exposición: Exposición: 26.00% tiempo en el mercado
- Tasa de Ganancia: Tasa de Ganancia: 36.0%, vs 38.5% mínimo
- Relación Riesgo/Recompensa: Relación Riesgo/Recompensa: 1.60
Con esa exposición en mente, puedes ver que para 26% tiempo-en-mercado, obtienes -0.44% del potencial alcista del activo, y 147.63% 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 @ WMT • Daily (-44.0%) explicado por Mike
Mike
AutorYo fam, let me break down this Bollinger/Keltner squeeze strategy on WMT! 🎯
This one's giving me mixed vibes tbh. The win rate is sitting at 36% which isn't great, but check this out - when we win, we're winning bigger than we're losing (4.64% vs -2.91% losses) 📈. That's actually a decent risk/reward ratio of 1.6! The strategy has a healthy win rate leeway too, which is pretty sweet.
But here's where it gets rough my dudes - that -74.7% max drawdown is SCARY AF 😱. Like, that's the kind of number that'll have you living off ramen for months (and not the fancy kind either). Plus, being right only 36% of the time might mess with your mental game. The overall market exposure is pretty low at 26%, which means we're mostly sitting on the sidelines while WMT has been absolutely mooning (that 9978% buy & hold return tho! 🚀).
Looking at the recent performance though, it's actually not too shabby - we're up 8.4% in the last year and 12.5% over two years. But real talk, if you're gonna YOLO on this one, you better have diamond hands 💎🙌 and be ready for some wild rides. Might need to tweak those entry/exit conditions to pump those rookie numbers up! 🔧
Métricas tabulares de Bollinger/Keltner squeeze sometido a backtest en WMT • Daily
| Total de Operaciones | 169 | Beneficio Neto | -44.0% | Beneficio Compra y Mantén | 9978.0% |
| Tasa de Ganancia | 36% | Ratio Riesgo/Recompensa | 1.60 | Máximo Drawdown | -74.7% |
| Máximo Drawdown del Activo | -50.6% | Exposición | 26.0% | Promedio de Velas en Posición | 14.0 |
| Ratio de Sharpe | -0.60 | Ratio de Sortino | -0.44 | Volatilidad Realizada | 9.91% |
| Racha Máxima de Ganancia | 7 | Racha Promedio de Ganancia | 1.4 | Racha Máxima de Pérdida | 7 |
| Racha Promedio de Pérdida | 2.5 | Promedio de Operaciones por Mes | 0.7 | Promedio de Operaciones por Día | 0.0 |
| Desv. Est. del Retorno | 4.9 | Desv. Est. de la Pérdida | 2.2 | Desv. Est. de la Ganancia | 4.7 |
| Expectativa | -0.1 | Beta | 0.19 |
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 |