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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