Bollinger Channel Breakouts with CCI and ATR Trailing Stops

Summary

This strategy combines Bollinger-style price bands with the Commodity Channel Index (CCI) to generate directional entries on 15-minute bars. It calculates a simple moving average and standard deviation over a configurable lookback, then places a stop entry above the upper band when CCI is positive or below the lower band when CCI is negative. Position size is fixed by a configurable setting.

For an open long position, the strategy tracks the highest price reached and sets an exit stop a multiple of the Average True Range (ATR) below that high. For a short position, it tracks the lowest price and places the stop the same ATR-based distance above that low. The document gives implementation logic but no backtest, performance figures, market selection, or rationale for its parameter values. It therefore describes a rule set rather than evidence of profitability; results would depend on data, execution, and parameter choices.

Key ideas

• CCI sign selects whether to seek an upside or downside band breakout.
• The entry levels are based on a moving average shifted by a multiple of standard deviation.
• Open positions use a trailing stop whose distance is scaled by ATR.
• The strategy runs its signal and stop logic on 15-minute bars with configurable parameters.
• No empirical performance evidence or market-specific validation is provided.

Tags

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