Bollinger Band Breakouts with Slippage and Price Impact Adjustments

Summary

This strategy enters long when price crosses above the upper Bollinger Band and short when it crosses below the lower band. The bands use a 20-period simple moving average and a two-standard-deviation width. Opposite signals close existing positions, making the method a band-breakout approach rather than a clearly defined mean-reversion system.

The document describes adjusting entry prices for slippage and price impact, and lists both adjustments at 40%. However, the source applies these as fractions of the full price, producing extreme adjusted prices; it does not present evidence that these settings model realistic costs or that the strategy is profitable. It warns about false breakouts, lag, and excessive trading in ranges, and proposes trend or volume filters, dynamic stops, and parameter testing. Backtest settings identify BTC/USDT futures and a date interval, but no performance statistics are supplied.

Key ideas

• The method uses a 20-period moving average and bands set two standard deviations away.
• A close crossing above the upper band opens a long, while a cross below the lower band opens a short.
• The strategy closes a position when the opposite band signal appears.
• Its 40% slippage and price-impact adjustments are applied to the full price in the source, raising serious realism concerns.
• No backtest performance results are provided, and range-bound markets may generate repeated false signals.

Tags

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