Bollinger–Keltner Squeeze Breakouts with Trend and Momentum Filters
Summary
This long-only breakout strategy looks for price expansion after a volatility squeeze. It marks a squeeze when Bollinger Bands fit inside Keltner Channels, then allows a long entry when price crosses above the upper Bollinger Band within three bars of a squeeze. The entry also requires positive bar-range bias, a close above the 200-period EMA, positive three-bar rate of change, and a 15-bar gap from the previous signal. A close below the lower band after a recent squeeze, together with nonpositive bias, triggers an exit.
The document explains the indicator logic and provides an open-source script, but it gives no backtest results or quantitative evidence that the filters improve performance. It describes a one-hour use case and several liquid asset types, while warning that these are suggestions rather than demonstrated results. The script’s default strategy sizing uses 100% of equity, so its simulated exposure may not suit live trading; users would need to assess sizing, costs, and robustness across assets and market conditions.
Key ideas
- A squeeze is identified when Bollinger Bands sit inside Keltner Channels.
- Long entries require an upper-band cross shortly after a squeeze, positive bar-range bias, a close above the 200-period EMA, and positive short-term rate of change.
- Long exits use a lower-band cross after a recent squeeze with nonpositive bias.
- A 15-bar cooldown limits how often new entry or exit signals can occur.
- The document provides no performance study to validate the strategy’s claimed ability to avoid false breakouts.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.