Bollinger Band Breakouts Filtered by a Moving Average

Summary

This strategy combines Bollinger Bands with a moving average to trade price crossings of the bands. Its stated rules go long when price crosses upward through the lower band, and short when it crosses downward through the upper band. A position is closed when price returns inside the bands; an optional setting instead closes it at the middle band. A moving average filter can also be enabled to screen entries.

The document explains the indicators and lists adjustable band length, standard deviation multiplier, average period, and signal settings. It includes a published BTC/USDT futures backtest configuration spanning late 2022 to early 2024, but provides no performance results, so it does not establish profitability. The rules described in the prose and the supplied script are not fully aligned: the prose describes the average as part of the signal, while the script makes its filter optional and uses different crossing conditions for short entries. The document also warns of lag, parameter sensitivity, and losses during pullbacks, and suggests testing parameters and adding stop-loss rules.

Key ideas

• The basic long entry is an upward price crossing of the lower Bollinger Band.
• The basic short entry is a downward price crossing of the upper band in the overview, while the supplied script uses a lower-band crossing for shorts.
• Positions close when price crosses back into the band range, or optionally at the basis line.
• The moving average filter is configurable and disabled by default in the listed settings.
• The document gives a BTC/USDT futures test period but reports no measured results.

Tags

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