Bollinger Breakouts with MACD Filters and Volatility-Based Stops
Summary
This strategy combines Bollinger Bands with MACD to enter long or short positions when price crosses an outer band and MACD points in the same direction. It calculates bands from closing prices, uses a rolling standard deviation to size positions against a configured cash risk amount, and uses ATR to update trailing exits as a trade moves favorably. An initial stop is also set from the standard deviation. The code targets a BTCUSDT symbol by default and includes order handling, position updates, and persistence of strategy state across restarts.
The document provides implementation details but no backtest, performance data, or evidence that the signals are profitable. It does not specify a chart interval or transaction cost assumptions. Its risk sizing depends on volatility estimates and configured minimum order increments, while order and position synchronization logic may affect live behavior. The described rules should therefore be evaluated with realistic execution and risk assumptions before use.
Key ideas
- Long entries require price at or above the upper Bollinger Band and positive MACD and histogram values.
- Short entries require price at or below the lower band and negative MACD and histogram values.
- Position size is derived from a configured risk amount divided by rolling standard deviation and a risk multiplier.
- Initial stops use standard deviation, while open positions also update ATR-based trailing stops.
- The document supplies strategy code but no performance evaluation or transaction cost analysis.
Tags
Cited by
- Strategies ETH Deribit Long-Premium Directional Trend-Rider (Cross-Venue: BINANCE Daily Momentum Signal -> Buy 20-Delta ~3-Week Deribit CALL in Confirmed Uptrends / PUT in Confirmed Downtrends, Convex Long-Vol Expression of the Proven Momentum Edge, Single-Leg Defined-Risk, 3-Parameter)
- Hypotheses ETH Deribit Long-Premium Directional Trend-Rider (Cross-Venue: BINANCE Daily Momentum Signal -> Buy 20-Delta ~3-Week Deribit CALL in Confirmed Uptrends / PUT in Confirmed Downtrends, Convex Long-Vol Expression of the Proven Momentum Edge, Single-Leg Defined-Risk, 3-Parameter)
From a private course collection; the original is not published.