Bollinger Band and RSI Mean Reversion with ATR Exits
Summary
This mean-reversion system looks for prices outside Bollinger Bands alongside an RSI extreme. It enters long when price falls below the lower band while RSI is oversold, and short when price rises above the upper band while RSI is overbought. The middle band and an RSI reversal condition can trigger exits. The document describes a 20-period band with a two-standard-deviation width, a 14-period RSI with thresholds of 30 and 70, and ATR-based stops and targets set at two and three ATR respectively.
The published backtest uses BTC/USDT futures on a 15-minute chart for a one-week period, but gives no performance results. The document cautions that strong trends can cause repeated losses for a mean-reversion approach, that indicator settings affect behavior, and that middle-band exits may cut favorable trades short. It suggests trend and volume filters, trailing or scaled exits, and adaptive parameters as possible refinements; these are proposals, not demonstrated improvements.
Key ideas
- A long entry requires price below the lower Bollinger Band and RSI below its oversold threshold.
- A short entry requires price above the upper band and RSI above its overbought threshold.
- The middle band and RSI reversals inform exits, with ATR used for separate stop and target levels.
- Strong trends and parameter sensitivity are stated risks for the mean-reversion method.
- The short BTC/USDT futures backtest configuration includes no reported performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.