Bollinger Band Reversals Filtered by a Long-Term Moving Average

Summary

This strategy uses a 20-period exponential moving average and bands set 2.3 standard deviations away, alongside a 200-period simple moving average as a long-term trend filter. It labels the market bullish when the bands and centerline sit above the long-term average, and bearish when they sit below it. In a bullish state, a move back above the lower band triggers a long; in a bearish state, a move above the upper band triggers a short. Long exits occur when the high crosses the upper band, while short exits use a centerline cross or a move above a separate 230-period average.

The document publishes BTC/USDT futures test settings on hourly bars over about one month, but gives no performance statistics. It warns about slippage, sensitivity to parameter choices, and large losses from breakout-style signals, and suggests stops and volume filters. The prose describes some triggers as band breaks, while the source uses crossovers back through the bands, so implementation details should be checked before evaluating the method.

Key ideas

• The system combines 20-period Bollinger Bands with a 200-period simple moving average to classify trend direction.
• It enters long on a cross back above the lower band in an uptrend and short on a cross above the upper band in a downtrend.
• Long exits use the upper band, while short exits use the centerline or a 230-period average.
• The published BTC/USDT futures test settings specify hourly bars but report no performance results.
• Slippage, parameter sensitivity, and large losses are identified risks, and the prose does not fully match the source entry rules.

Tags

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