A Bollinger Breakout and Reversal Strategy for Multiple Markets

Summary

This strategy combines volatility bands, a long moving average, a short-period RSI, and a trading-hours filter to take both breakout and reversal trades. It calculates bands from an exponentially weighted mean and variance of log prices. Signals use price relative to the bands and moving average, RSI thresholds, and changes in opening prices; exits include extreme RSI readings paired with an adverse move exceeding a short-period average true range. The author presents it as a market-neutral proof of concept intended to work across instruments without optimizing strategy variables, while allowing trading hours and spread to differ by market.

The supporting evidence is limited to the author’s report that the same hourly setup outperformed buy-and-hold on two markets, with different spreads; the screenshots cited are not included in the text. There are no sample dates, risk-adjusted statistics, transaction-cost analysis, or out-of-sample results. The document acknowledges that market-specific optimization could improve results, and its broad applicability claim should therefore be treated cautiously.

Key ideas

• The strategy pairs volatility-band breakouts and reversals with a long moving-average filter and short-period RSI conditions.
• Its bands use an exponentially weighted mean and variance of log prices.
• A trading-hours filter sets when positions may be opened, with hours adjusted by market.
• The author reports outperformance versus buy-and-hold on two markets, but provides no detailed test statistics or evaluation period.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.