Bollinger Breakout Strategy with CCI Confirmation and ATR Stops

Summary

This strategy seeks directional breakouts on one-hour bars. A long entry requires positive CCI and an intraday bid above the upper Bollinger Band and the previous bar’s high; a short entry requires negative CCI and an ask below the lower band and previous low. The code calculates Bollinger Bands, CCI, and ATR from historical bars, then uses market quotes to submit entries and exits.

Initial stops are set using a multiple of the Bollinger Band width-derived standard deviation, while later stop levels trail favorable price extremes by a multiple of ATR. Position size is estimated from a fixed money-risk allowance divided by the initial stop distance, then converted to contract units. A timer also compares target and actual positions, cancels outstanding orders, and attempts to reconcile them. The document provides implementation logic but no backtest or performance evidence; quote timing, contract sizing, fills, and differing initial versus trailing stop rules need careful validation.

Key ideas

• Long and short entries combine CCI direction with a Bollinger Band and prior-bar breakout condition.
• The initial protective stop uses a multiple of estimated price standard deviation.
• Trailing exits move with favorable trade extremes by a multiple of ATR.
• The sizing calculation converts a fixed risk budget and stop distance into contract quantity.
• A periodic reconciliation routine compares the intended position with the reported position and reissues orders.

Tags

From a private course collection; the original is not published.