Bollinger Mean Reversion with an EMA Filter and ATR Exits

Summary

The strategy combines Bollinger Bands with a medium-term EMA filter to trade price moves back toward the mean. It uses 20-period bands set two standard deviations from the average, a 50-period EMA to filter direction, and 14-period ATR to size stop-loss and profit levels. Long entries follow a move back above the lower band when price is above the EMA; short entries follow a move back below the upper band when price is below it. The stated exit distances are one ATR for the stop and two ATR for the target.

The document describes the rules and their rationale but supplies no performance statistics. It identifies possible missed moves in strong trends, frequent trades in narrow ranges, slippage during sudden market moves, and the effect of trading costs. The published backtest settings specify daily BTC/USDT futures data over a multi-year period, but no results are reported. The source also leaves unclear how the ATR-based exit prices are anchored to an entry, so the stated risk-reward ratio should not be assumed to be validated.

Key ideas

• The strategy seeks mean reversion at Bollinger Band extremes while filtering trades by price relative to a 50-period EMA.
• The bands use a 20-period lookback and a two-standard-deviation multiplier.
• A 14-period ATR sets a stated stop distance of one ATR and a target distance of two ATR.
• The document warns that trends, tight ranges, slippage, and trading costs can undermine performance.
• Published backtest settings are provided, but no performance results are included.

Tags

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