COMBO-01 · Volatility

Bollinger-Keltner Squeeze

When Bollinger Bands contract inside Keltner Channel, volatility is compressed (squeeze). When squeeze releases, trade in direction of momentum. Captures explosive moves.

VolatilityBreakoutTechnical

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At a glance

Best onMarkets with volatility clustering

Signal frequencyDaily

Typical holding periodDays

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 2 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 10 of 10 markets.
Best market by Sharpe ratio: GLD (Sharpe 0.90, CAGR 8.0%).
Weakest market: UNG (Sharpe -0.40, CAGR -16.3%).

Equity curve

Bollinger-Keltner Squeeze Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 22.1SPY, 5 years

Return quality · 30%7

Drawdown control · 25%28

Consistency · 20%18

Robustness · 15%28

Significance · 10%52

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market26%

Ulcer index6.1%

Longest drawdown775 days

Daily VaR (95%)-0.54%

Probability Sharpe > 052%

Beta vs buy & hold0.15

Alpha (annual)-1.7%

Positive months33%

CAGR after 10 bp costs-1.8%

Deflated Sharpe (luck-adjusted)8%

CAGR, 90% bootstrap range-4.9% to 5.2%

Max drawdown, 90% bootstrap range-28.2% to -8.4%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-1.1%	-19.2%
COVID crash (Feb–Mar 2020)	-1.4%	-33.7%
2022 bear market	-5.1%	-24.5%
Market above its 200-day average (annualized) · 81%	+0.5%	+12.5%
Market below its 200-day average (annualized) · 19%	+1.0%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.50
Same parameters in the following 6 months, when traded (Sharpe)	0.13
Default parameters over the same months (Sharpe)	0.27
Parameter re-selections / changes	28 / 11
Parameter settings with a positive Sharpe (full history)	7 of 9
Sharpe across settings: worst / median / best	-0.23 / 0.08 / 0.35

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
GLDSPDR Gold Shares	8.0%	16.4%	0.90	-9.6%	-28.3%	9.3%	64
DBAInvesco DB Agriculture	2.7%	8.8%	0.45	-9.2%	-15.9%	6.2%	59
SLViShares Silver Trust	2.4%	15.2%	0.22	-25.3%	-57.8%	16.9%	41
DBCInvesco DB Commodity Index	0.8%	10.8%	0.13	-22.7%	-27.3%	10.3%	28
ETH-USDEthereum	-2.7%	-15.1%	0.05	-40.3%	-79.0%	24.9%	43
SPYSPDR S&P 500	-0.0%	11.6%	0.03	-15.7%	-24.5%	6.7%	22
USOUnited States Oil Fund	-1.4%	20.2%	0.02	-30.0%	-36.2%	18.7%	32
BTC-USDBitcoin	-5.8%	2.6%	-0.15	-41.6%	-75.9%	17.4%	21
EURUSD=XEUR/USD	-0.9%	-0.7%	-0.22	-10.8%	-17.2%	3.8%	30
UNGUnited States Natural Gas	-16.3%	-30.7%	-0.40	-66.9%	-93.3%	31.8%	33

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+5.3%	5.3%	0.96	0.87	-3.3%	9%	14
3 years	+6.4%	2.1%	0.49	0.35	-8.3%	14%	51
5 years	-0.2%	-0.0%	0.03	0.02	-15.7%	13%	88
Full history	+10.3%	0.6%	0.13	0.08	-18.3%	13%	260

Rules

Entry

Squeeze releases (BB outside KC)
Buy if momentum positive, sell if negative

Exit

Opposite signal or momentum fades

Indicators

Bollinger Bands = SMA ± 2*StdDev
Keltner Channel = EMA ± 1.5*ATR
Squeeze = BB inside KC
Momentum = Price - Average(High+Low+Close)/3

Inputs

BB_Period = 20
BB_Std = 2.0
KC_Period = 20
KC_Mult = 1.5

Position sizing

Fixed 100% allocation

Risk controls

Wait for confirmed squeeze release

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

John Carter's TTM Squeeze concept
Low volatility precedes high volatility
Squeeze duration indicates potential move size

Related strategies

VOL-01 · USO 5Y Sharpe 0.54Volatility Breakout COMBO-02 · SPY 5Y Sharpe 0.51MACD + RSI Filter CS-02 · CS-UNIV 5Y Sharpe 0.97Low Volatility Rotation KC-01 · SPY 5Y Sharpe 0.67Keltner Channel Breakout MOM-03 · SPY 5Y Sharpe 0.6152-Week High Momentum MR-02 · SPY 5Y Sharpe 0.39Bollinger Band Reversion

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.