Bollinger Band Entries Filtered by a Long-Term Moving Average

Summary

This strategy combines Bollinger Bands with a long-term simple moving average to define a trend regime and identify entries. It treats the market as bullish when the bands and their basis are above the trend average, then enters long when price crosses up through the lower band. In a bearish regime, it enters short when price crosses up through the upper band. Long exits are tied to an upper-band cross or a moving-average break; short exits use a lower-band cross or a separate average condition. The stated band defaults are a 20-period length and a multiplier of 2.3, with a 200-period trend average.

The document provides rules and parameter settings but no reported performance evidence. It notes sensitivity to band and average settings, sudden market moves, and the need for stop-loss controls. The exit conditions use different moving-average lengths for long and short trades, and the text’s exit descriptions do not fully match the source logic. Suggested improvements include testing parameters and adding confirmation filters.

Key ideas

• Bollinger Bands and a long-term average are used together to classify bullish and bearish regimes.
• In a bullish regime, a move up through the lower band triggers a long entry; in a bearish regime, a move up through the upper band triggers a short entry.
• Band crosses and moving-average conditions provide exits, with different average lengths for long and short positions.
• The document reports no performance results and identifies parameter choice and sudden volatility as concerns.

Tags

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