Adaptive Trend Channel Using Bollinger Bandwidth and ATR

Summary

This strategy adjusts a trend channel using Bollinger Bandwidth and Average True Range. The documented method calculates a Bollinger basis and standard-deviation bands, scales their relative width into a bounded strength factor, then multiplies that factor by ATR to set the channel distance. A change in trend state produces a long or short entry when price crosses the adaptive channel. The source also tracks the entry price as a loss-cut reference, closes a position after an adverse move through that reference, and permits re-entry in the direction of the prevailing trend.

The description gives a 20-period Bollinger calculation with a two-standard-deviation width, while the code exposes separate period and bandwidth inputs for the ATR channel. Its parameter examples include a 2-period ATR and bounds on the strength factor. The published test configuration is BTC/USDT futures on four-hour bars with 15-minute base data for about a month, but no performance evidence is provided. Risks include parameter sensitivity, false signals, expanding bands during sharp moves, and a simple loss rule that may be too tight or too loose.

Key ideas

• Relative Bollinger Bandwidth is scaled and bounded to form a trend strength factor.
• The factor multiplies ATR to set an adaptive channel around price.
• Trend-state changes produce long or short entries, with an adverse move through the entry reference triggering a loss cut.
• The strategy can re-enter in the direction of the current trend after a loss cut.
• The document reports test settings but no performance results, and flags parameter sensitivity and imperfect stops.

Tags

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