Daily Smoothed Bollinger %b Strategy with Trend and Risk Filters

Summary

This ProRealCode example describes a daily strategy for the US 100 that uses a smoothed Bollinger %b oscillator built from Heiken Ashi prices and repeated TEMA smoothing. It enters long positions when the oscillator is below a lower threshold and price is above a long moving average; short entries use an upper threshold and price below that average. The rules also include percentage loss and profit exits, an ATR-based trailing stop, and time-based exits when a losing position has remained open long enough.

The post presents the complete rule parameters and code, but explicitly says the strategy has not been tested in a real market. It provides no backtest period, performance statistics, transaction-cost assumptions, or robustness analysis. The author favors daily signals and combining modest strategies in a portfolio, but this is an opinion rather than evidence. The code is platform-specific, and its fixed parameters and index-market focus limit conclusions about other instruments or trading conditions.

Key ideas

• The strategy uses smoothed Bollinger %b thresholds to trigger long and short entries.
• A long moving-average filter restricts entries according to the direction of the broader price trend.
• Stops include percentage loss and profit levels plus an ATR-based trailing mechanism.
• Losing positions can also be closed after a specified number of bars.
• The author states that the rules have not been tested in a real market, and no performance evidence is supplied.

Tags

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