Bollinger Band Entries with Rolling-Extreme Stop Levels

Summary

This BTC futures strategy uses Bollinger Band crossings to trigger long and short entries. It calculates bands from a 20-period simple moving average and twice the standard deviation. A move across the lower band signals a long entry, while a move across the upper band signals a short entry.

At entry, the stop level is set to the lowest low or highest high over the same lookback; the script leaves its take-profit variable unset and resets it on new signals. The document provides rules and source code, plus published backtest settings for BTC/USDT futures over April 2024, but reports no performance results. The code's entry orders pass the stop and unset limit as order parameters, so the described levels should not be assumed to operate as conventional protective stops and profit targets without checking platform semantics. The text also notes that range-bound conditions may cause repeated signals and that historical extremes may not suit future conditions.

Key ideas

• Lower-band crossings trigger long entries, and upper-band crossings trigger short entries.
• The band width is based on twice the standard deviation around a 20-period average.
• Stop levels use the recent rolling low for longs and rolling high for shorts.
• The take-profit variable is left unset and reset when a new signal appears.
• The published example gives BTC/USDT futures backtest settings but no performance results.

Tags

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