Bollinger Band Breakout Trend Following with Staged Entries

Summary

This strategy seeks long entries after price breaks above the upper Bollinger Band, with price above Parabolic SAR and an exponential moving average. It also requires ATR to exceed its own long-term average, filtering out quieter conditions. Positions are added up to a configured cap, and the strategy exits when price crosses below the middle band or SAR.

Position size is calculated from account equity, a per-trade risk setting, and a fixed percentage stop. The document describes the indicators, entry and exit rules, and possible refinements such as regime filters, trailing stops, time filters, and correlation controls. It warns that choppy markets can trigger false breakouts, while slippage, parameter sensitivity, correlated holdings, and drawdowns remain risks. A backtest configuration is provided for Bitcoin futures over a limited historical period, but no performance results are reported; the described benefits are not supported by quantified evidence.

Key ideas

• The long entry requires an upper-band breakout confirmed by SAR, EMA, and an ATR filter.
• The strategy permits repeated entries during a trend, subject to a maximum position count.
• Exits are triggered by a cross below the Bollinger middle band or SAR.
• Position size uses account equity and a fixed percentage stop, while correlated positions and false breakouts remain risks.

Tags

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