Backtesting: Volatility Squeeze
A volatility squeeze happens when Bollinger bands get confined inside a Keltner channel. When this happens a breakout is imminent. In this classic strategy a high crossing above the Upper Keltner band, when the BBUpper broke above during the last 3 bars, is a signal to go long.
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|Metric||Strategy Results||Benchmark Results (SPY)|
|APR (Annualized % Return)||0.00%||0.00%|
|Number of Positions||0.00%||0.00%|
|Average Profit %||0.00%||0.00%|
|Average Bars Held||0.00%||0.00%|
|NSF (Non-Sufficient Funds) Position Count||0.00%||0.00%|
|Maximum Drawdown %||0.00%||0.00%|
The most recent 100 Positions out of 1,234 total are presented here.
|Symbol||Position||Quantity||Entry Date||Entry Price||Exit Date||Exit Price||Bars Held||Profit||Profit %|
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