Bollinger Breakouts with an ATR-Based Following Line

Summary

This trend-following strategy uses Bollinger Bands to identify directional breakouts and an ATR-adjusted line to track the trend. A close above the upper band signals bullish conditions, while a close below the lower band signals bearish conditions. During a signal, the following line is placed below the low by one ATR for bullish movement or above the high by one ATR for bearish movement; it is held steady when neither band is breached. Changes in the line’s direction trigger long or short entries. The listed defaults include a 21-period band, one standard-deviation offset, and a five-period ATR filter.

The document specifies a Bitcoin futures backtest on a one-hour chart with a 15-minute base period for December 2023, but gives no performance results. It describes range-bound false signals, parameter sensitivity, and possible premature exits as risks. Although the prose discusses stop loss and take profit, the source code’s stated stop and limit formulas are unusual and may not behave as intended; the material does not provide validated results to resolve that concern.

Key ideas

• Bollinger Band breaches define bullish or bearish conditions for the following line.
• The line uses the low minus ATR in bullish conditions and the high plus ATR in bearish conditions.
• A change in the line’s direction triggers a long or short entry.
• The published settings include a 21-period band, one standard-deviation offset, and a five-period ATR filter.
• The Bitcoin futures backtest settings lack performance results, and the exit formulas shown may not operate as described.

Tags

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