Strategy Backtester
Backtesting: Volatility Squeeze
Author: espodumenus
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.
DataSet
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Data Range & Scale
The Web Backtester currently uses a Data Range of 10 years of daily data. We'll offer more options here in a future update.
Scale
Position Sizing
Starting Capital
Benchmark Symbol
Margin Factor
Sizing Method
Percent
| Metric | Strategy Results | Benchmark Results (SPY) |
|---|---|---|
| Starting Capital | 0.00 | 0.00 |
| Profit | 0.00 | 0.00 |
| Profit % | 0.00% | 0.00% |
| CAGR (Annualized % Return) | 0.00% | 0.00% |
| Exposure % | 0.00% | 0.00% |
| Sharpe Ratio | 0.00% | 0.00% |
| WealthLab Score | 0.00% | 0.00% |
| Number of Positions | 0.00% | 0.00% |
| Average Profit % | 0.00% | 0.00% |
| Profit Factor | 0.00% | 0.00% |
| Payoff Ratio | 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% |
| Maximum Drawdown % | 0.00% | 0.00% |
| Recovery Factor | 0.00% | 0.00% |
| Win % | 0.00% | 0.00% |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|
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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