Bollinger Band Breakout Signals with Percentage Exits

Summary

This strategy uses a moving average and standard deviation to form upper and lower Bollinger Bands. Its implemented rules enter long when price crosses below the upper band and enter short when price crosses above the lower band, with percentage-based profit and loss exits attached to each position. This is a counterintuitive detail relative to the accompanying prose, which describes buying a lower-band break and selling an upper-band break; the supplied code conditions should therefore be distinguished from that narrative description.

The published parameters use a 51-period average, a 3.01 standard-deviation multiplier, a 14.2 percent profit setting, and a 99 percent stop setting. Backtest settings identify BTC/USDT futures at an hourly interval over roughly one month, but no outcomes or evidence of profitability are reported. The document recommends tuning band and stop parameters and cautions that poorly chosen stops can either truncate gains or permit excessive risk. Frequent trading is another stated concern.

Key ideas

• The bands are formed from a moving average plus and minus a multiple of price standard deviation.
• The source enters long on a cross below the upper band and short on a cross above the lower band.
• Those source conditions differ from the prose description of the breakout directions.
• Percentage-based profit and loss exits are included, but no test results are given.
• Band settings, stop sizes, and trading frequency are identified as risks to manage.

Tags

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