Bollinger Breakouts with a Directional Filter and Adaptive Exits

Summary

This strategy uses Bollinger-style price bands to enter long or short positions when a bar reaches beyond the upper or lower band. It adds a directional filter based on the difference between the latest close and a close from an earlier lookback: positive values allow long entries, while negative values allow shorts. Entry sizing is calculated from available account equity, the band price, and the contract value.

Positions can be closed at the middle band as a protective stop or at an adaptive moving average. The moving-average period starts near the band lookback length and decreases toward a stated minimum as bars update. A per-bar counter prevents an entry from being closed on the same bar in backtests and limits repeated orders before a bar update. The document supplies implementation details but no backtest results or risk evaluation. The short-side sizing calculation also references the upper band, and actual behavior depends on the exchange interface and execution assumptions.

Key ideas

• Entries require a band breakout and a directional price-change filter.
• The strategy can open long or short positions and sizes them using account equity and contract value.
• The middle band acts as a protective exit, while an adaptive moving average provides another exit condition.
• The moving-average exit period shortens as bars update until it reaches its minimum.
• A bar counter is used to prevent same-bar exits and repeated entries.
• No performance evidence is given, and short sizing uses the upper band price.

Tags

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