Bollinger Band Breakouts with Fixed Stops and Opposite-Band Exits

Summary

This strategy uses a simple Bollinger Band breakout rule. It calculates a moving average of closing prices and bands offset by a configurable multiple of rolling standard deviation. A close above the upper band triggers a long entry, while a close below the lower band triggers a short entry. Users can choose long trades, short trades, or both, and set the contract quantity.

Positions have a fixed stop distance from the average entry price. A long closes if price falls below the lower band, and a short closes if price rises above the upper band; the stop orders can also exit positions. The accompanying description identifies VN30F1M index futures as an intended application and describes the approach as trend following. The document supplies strategy rules and code, but no backtest results, transaction-cost assumptions, or evidence that the parameters generalize. The stop is specified in points, so its suitability depends on the instrument and contract conventions.

Key ideas

• A close above the upper Bollinger Band triggers a long entry, and a close below the lower band triggers a short entry.
• The bands use a configurable moving-average length and standard-deviation multiplier.
• Users can select trade direction and set contract quantity.
• A fixed-distance stop and an opposite-band close rule manage open positions.
• The document gives no performance evidence, and the fixed point stop may need instrument-specific calibration.

Tags

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