Bollinger Band Trend Entries Above a Long-Term Average

Summary

This strategy combines a long-term average with Bollinger Bands to restrict trades to an apparent uptrend. It enters long when price crosses above the band midpoint while both bands sit above the long-term filter. The documented exits include a partial reduction after price advances and the lower band crosses below that filter, a full exit after a fixed percentage loss, and a full exit if the band midpoint crosses below the filter. Position size is tied to account capital and a stated risk percentage.

The published settings describe BTC/USDT futures on daily bars, with hourly base data, from late 2022 to late 2023; no performance results are reported. There is an inconsistency between the title and the prose: the title suggests an upper-band breakout, while the described and coded entry uses a crossover of the middle band. The code also uses an exponential average despite calling it an SMA. The document flags false breakouts, stop placement, parameter sensitivity, position sizing, and trading costs as concerns for further testing.

Key ideas

• The strategy filters for long entries when Bollinger Bands are above a long-term average.
• Its coded entry uses a price crossover above the band midpoint, although the title refers to the upper band.
• Exits combine a partial reduction, a percentage-based loss threshold, and a trend-filter crossover.
• Position size is calculated from capital, a risk percentage, and the stop distance.
• The BTC/USDT futures backtest settings are stated, but no performance evidence is provided.

Tags

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