Bollinger Band Trailing-Stop Reversals for CAC 40 Spreads

Summary

This ProOrder strategy is designed for three-minute CAC 40 spread data. It builds upper and lower bands from a moving average and standard deviation, then tracks a trend state. A band break sets the initial direction and trailing-stop level; the stop follows the relevant band and a crossing can trigger a reversal. The code also applies time and day filters and sets a profit target and stop loss.

The document provides configuration values and code, but no backtest results or evidence of profitability. It flags a potential entry-condition mismatch: its prose says the short-entry flag is never set, though the displayed code sets a variable named “vente” before checking that same variable for the short order. The long-side variable is named “achat.” The strategy’s actual behavior therefore depends on the code version used and should be checked in the platform. The time filters, spread costs, instrument units, and risk settings also limit how directly the example transfers to other markets.

Key ideas

• The strategy calculates volatility bands around a moving average using standard deviation.
• A band break establishes a trend state and a trailing stop that follows the opposite band.
• Crossings of the trailing stop can signal a reversal, subject to day and time filters.
• The example specifies a profit target and stop loss but gives no performance results.
• Check the entry flags and order conditions in the actual code before evaluating the strategy.

Tags

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