Bollinger Band Mean Reversion with Intraday Intensity Confirmation
Summary
This mean-reversion strategy pairs Bollinger Bands with the Intraday Intensity Index, a measure combining price location within the bar and trading volume. It looks for price to cross back inside a band after moving outside it: a move back above the lower band can trigger a long when the index is positive, while a move back below the upper band can trigger a short when the index is negative. The bands use a moving-average basis and a standard-deviation width. Exits can occur at the middle band, after a time limit, or under additional profit-related conditions described in the source logic.
The document presents volume confirmation as a way to filter price signals, while warning that mean reversion can fail, trades may tie up capital for a long time, and drawdowns can be substantial. It lists configurable band and index settings and gives BTC-USDT futures backtest dates from January to February 2024, but no return or risk results. The brief setup does not demonstrate robustness across assets or market regimes.
Key ideas
- The strategy combines Bollinger Band reversals with a price-and-volume index filter.
- A cross back above the lower band can open a long when the index is positive.
- A cross back below the upper band can open a short when the index is negative.
- Exits include a return to the band midpoint and time-based conditions.
- Mean reversion can fail and hold capital for extended periods; the document reports no backtest results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.