Daily Futures Bollinger Band Breakout Strategy

Summary

This daily futures strategy uses Bollinger Bands to signal directional trades when the close reaches or crosses an outer band. The middle band is an N-period simple moving average of closing prices, with upper and lower bands set by adding or subtracting K times the closing-price standard deviation. The example uses a 20-period window and a multiplier of 2. Percent B expresses the close’s position within the band range: a value at or above 1 triggers a long position at the next day’s open, while a value at or below 0 triggers a short position at the next day’s open, closing the opposing position first.

The document also outlines a platform workflow: select futures contracts and dates, compute buy and sell conditions, remove records with missing values, and use those signals in a simulated trading module. Fees, slippage, leverage, and daily settlement are configurable. No backtest results or particular contracts are reported, so the strategy’s performance and sensitivity to costs remain unestablished.

Key ideas

• The strategy defines Bollinger Bands from a simple moving average and a multiple of closing-price standard deviation.
• The example uses a 20-period window and a standard deviation multiplier of 2.
• A Percent B value of at least 1 signals a long entry at the next open, after closing any short.
• A Percent B value of at most 0 signals a short entry at the next open, after closing any long.
• The backtest workflow includes configurable fees, slippage, leverage, and settlement settings.
• No performance results or contract-specific evidence are given.

Tags

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