Double Bollinger Band Breakout Entries and Trend Exits

Summary

This trend following strategy uses inner and outer bands around a moving average to define entries and exits. The stated method sets inner bands at one standard deviation and outer bands at 1.5 standard deviations from the average. A break above the inner upper band signals a long, while a break below the inner lower band signals a short. The source also conditions entries on the outer bands rising or falling, and describes exits using the moving average or outer bands. Optional fixed profit, loss, and trailing stop settings are provided.

The published configuration is a short BTC/USDT futures backtest over one week in December 2023, with 15 minute bars and a 5 minute base period; no performance results are reported. The prose and source differ on the inner band multiplier: the prose says one standard deviation, while the parameter default is 0.25. The document notes that range bound markets and false breakouts can trigger repeated entries or losses. It suggests parameter tuning and added filters, but provides no evidence that these changes improve performance.

Key ideas

• The strategy uses an inner band breakout to trigger long or short entries.
• The prose describes inner bands at one standard deviation and outer bands at 1.5 standard deviations.
• The source parameter for the inner band multiplier defaults to 0.25, which conflicts with the prose description.
• The source includes moving average and outer band conditions for exits, plus optional fixed and trailing stops.
• The stated backtest setup gives no performance results and covers only a one week period.

Tags

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