Bollinger Band Breakouts with ATR Trailing Stops on 15-Minute Bars

Summary

This strategy combines Bollinger bands with an average true range stop on fifteen-minute bars. When flat, it places stop-entry orders at the upper and lower bands, aiming to enter on a move beyond the recent range. The band window, band deviation, ATR window, stop multiplier, and fixed order size are configurable. Each bar first cancels outstanding orders and updates the indicators after the bar history is initialized.

For a long position, the strategy tracks the highest price since entry and sets a trailing stop below it by a multiple of ATR; it also submits an exit if the close reaches the Bollinger middle band. The short side mirrors this with a low-based trailing stop and a middle-band exit. The document supplies implementation logic but no backtest, transaction-cost assumptions, or performance evidence. It does not discuss gap risk, parameter selection, sizing beyond a fixed quantity, or how the two exit rules interact in live execution.

Key ideas

• The strategy uses upper and lower Bollinger bands as stop-entry levels while flat.
• It updates the indicators from fifteen-minute bars after sufficient history is available.
• A trailing stop follows the favorable price extreme by a multiple of ATR.
• A close across the Bollinger middle band also triggers a position exit.
• The implementation provides no performance results or parameter validation.

Tags

From a private course collection; the original is not published.