Bollinger Band Pullbacks Filtered by Bandwidth

Summary

This strategy combines Bollinger Bands with a bandwidth filter. The bands use a simple moving average and standard deviation; the stated defaults are a 16-period average and a multiplier of 3. Bandwidth is calculated from the distance between the outer bands relative to the middle band, scaled by 1,000. The method looks for a long entry when price crosses below the lower band while bandwidth lies between 20 and 50. It exits at a profit target set 8% above entry or when price crosses above the upper band or falls below the lower band.

The document reports a claimed one-year backtest profitability rate of 78.95% and maximum drawdown of 4.02%, but gives no supporting trade details. Its published BTC/USDT futures settings cover only a week and do not align with the claimed one-year period, so the reported figures cannot be assessed from the provided settings. The author flags parameter sensitivity, costs, extreme moves, and limited testing as risks, and suggests broader validation and added filters.

Key ideas

• The strategy uses Bollinger Band width to filter volatility conditions for entries.
• A long entry requires a lower-band cross while bandwidth is between the stated thresholds.
• The stated exits are a fixed profit target, an upper-band cross, or a further decline below the lower band.
• The document claims favorable one-year results but does not provide supporting evidence, and its published test settings cover a different, much shorter span.
• Parameter choice, transaction costs, and market extremes may change real-world results.

Tags

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