Bollinger Breakout Entries with an Adaptive Moving Average Exit

Summary

This Chinese strategy example applies a breakout system to a CSI 300 index ETF. It calculates a 50-day average as the middle band and sets an upper band one standard deviation above it. Entry requires the prior close to exceed that upper band and the highest close from the preceding 30 sessions. The system then invests the full target allocation in the ETF.

For the exit, it compares the prior close with an adaptive average. That average begins as a 50-session mean and its lookback shortens by one session on each held day, down to a floor of 10. The position closes when the close falls below this adaptive mean and the mean is below the upper band; after exit, the lookback resets. The document provides code but no backtest, performance figures, transaction-cost analysis, or rationale for the thresholds. It also describes the upper band and lookback mechanically, without showing that the rules improve returns or control risk across other instruments or periods.

Key ideas

• Entry combines an upper Bollinger-style band break with a close above the prior 30-session closing high.
• The example targets a full allocation to a CSI 300 ETF when its entry conditions are met.
• The exit uses a moving average whose lookback shortens during a position, subject to a minimum of 10 sessions.
• The exit condition also requires the adaptive average to be below the upper band.
• The document gives implementation code but no performance or robustness evidence.

Tags

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