Bollinger Bandit Entries with a Trend Filter and Adaptive Exit

Summary

The Bollinger Bandit combines moving-average bands with a directional filter. It considers long entries when price is below the upper band and the close is higher than it was 30 days earlier; short entries use the corresponding lower-band condition and a lower close than 30 days earlier. The bands are set 1.25 standard deviations from a 50-day average in the supplied code, while the prose describes the levels more generally as one standard deviation.

The method places a protective stop at the moving average and shortens the average’s lookback by one day for each day in a position, down to a floor of 10 days. It also describes an exit condition based on the average’s relation to the relevant band. The text explains the rules but gives no performance data or market-specific evidence. The code is an indicator-style sketch and does not show complete order handling or establish that the approach is profitable; its prose and code also differ in their band-width description.

Key ideas

• The strategy uses a moving average and standard-deviation bands to define potential trade areas.
• A 30-day close comparison acts as a directional filter for long and short signals.
• The protective stop is set at the moving average when a position begins.
• The moving-average lookback contracts during a trade, with a stated minimum of 10 days.
• The document gives rules but no empirical performance results.

Tags

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