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
Go to My DataSets to define your own DataSets (subscribers only!)
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 Determines how much simulated capital your backtest starts with
Benchmark Symbol Your strategy results will be compared with a buy and hold of this symbol
Margin Factor Controls how much leverage to use in the simulated trading account
Sizing Method Controls how many shares each simulated trade will have
Percent Each trade will use this percentage of the current simulated account equity
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 %
Signals are available to subscribers only. Click here to learn more about Wealth-Lab subscription options!