Bollinger Band Entries with Candle-Move Filters and Drawdown Exits

Summary

This BTC/USDT futures strategy uses 20-period Bollinger Bands with a two-standard-deviation width. It opens a long after price falls sufficiently below the lower band or a short after price rises beyond the upper band, subject to a trade-direction setting. It exits longs near the upper band and shorts near the lower band, and closes a position if its unrealized loss reaches a configured drawdown threshold. The intended volatility filter checks recent candle moves before permitting new entries.

The supplied source and description do not fully agree: the code only checks whether the current candle’s close-to-open change exceeds the threshold, rather than filtering on two consecutive large moves as described. The stated long and short breakout percentages and take-profit offsets are parameters, but no performance results are reported for the one-minute backtest configuration. The document warns that fixed thresholds may not suit different market conditions, gaps can worsen stop execution, and profits may be given back without trailing exits.

Key ideas

• The strategy enters long below the lower band and short above the upper band, with configurable breakout distances.
• It takes profit near the opposite Bollinger Band and exits when losses exceed a drawdown limit.
• The prose describes a two-candle volatility filter, but the source checks only the current candle’s move.
• Its one-minute BTC/USDT futures setup is provided without reported results.
• Fixed parameters, price gaps, and the lack of trailing stops are identified as limitations.

Tags

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