Bollinger Band Breakout Reversion with Timed Entries and Fixed Risk

Summary

This mean-reversion setup looks for a candle fully outside a Bollinger Band, then waits for price to break that candle’s opposite extreme within the next four candles. A move back below the low of a candle above the upper band triggers a short; a move above the high of a candle below the lower band triggers a long. The bands use a 20-period simple moving average and 1.5 standard deviations. The signal candle’s far extreme defines the stop, and position size is calculated from the stop distance to target a fixed risk of 4,000 Indian rupees. The plan moves the stop to entry after a two-risk gain and closes at three times risk.

The document describes the rules and risks, including poor performance in strong trends, slippage in illiquid markets, parameter overfitting, gaps, and transaction costs. It suggests filters and adaptive sizing as possible refinements. Although the title says multi-timeframe, the provided rules and visible code do not show higher-timeframe confirmation. Published backtest details are incomplete, and no performance figures are supplied; the stated risk and reward targets therefore are not evidence of realized outcomes.

Key ideas

• A candle must sit fully outside a Bollinger Band before a reversal through its opposite extreme can trigger an entry.
• The entry must occur within four candles of the outside-band signal or the setup expires.
• The signal candle sets the stop, and position size is based on a stated fixed cash risk.
• The plan moves the stop to breakeven at two times risk and targets three times risk.
• The document provides no backtest performance results, and the visible implementation does not establish multi-timeframe confirmation.

Tags

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