Bollinger Band Reversion Entries with Dynamic ATR Stops

Summary

This strategy enters long when a candle closes below the lower Bollinger Band and short when it closes above the upper band, provided there is no existing position. It uses a 20-period simple moving average as the band center and scales the standard deviation by an adjustable multiplier. The approach treats an excursion beyond either band as a move that may revert toward the center line, which is used as the take-profit target.

Stops are recalculated each bar using the recent swing low for longs or swing high for shorts, buffered by a multiple of ATR. The source sets a swing lookback and ATR period, uses close-based order processing, and specifies position sizing as a percentage of equity alongside commission and no pyramiding. The displayed script does not include a market, test interval, or strategy report, so it provides no evidence of returns or risk-adjusted performance. Because both the stop and target move as new bars arrive, realized exits may differ from levels at entry; band breaks can also persist instead of reverting.

Key ideas

• The strategy enters long below the lower Bollinger Band and short above the upper band when flat.
• The Bollinger center line serves as a moving target for both long and short positions.
• Stops trail from recent swing extremes with an ATR-based buffer.
• The script specifies close-based order processing, percentage-of-equity sizing, commission, and no pyramiding.
• No market-specific backtest or performance results are provided.

Tags

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