Dual-Standard-Deviation Bollinger Band Breakout Strategy

Summary

This strategy builds Bollinger Bands around a 34-period simple moving average, displaying inner bands at one standard deviation and outer bands at two standard deviations. It enters long when the close rises above the outer upper band and short when it falls below the outer lower band. The written explanation describes closing a long when price reaches the lower outer band and closing a short when it reaches the upper outer band; the source code implements those closing conditions. The band width adjusts with recent price variability, while the outer levels define the entry and exit triggers.

The document presents the method and configurable price source and band multiplier, but offers no reported backtest results. Its published backtest settings specify BTC-USDT Binance futures, using two-hour bars with 15-minute base data over roughly one month in 2024. The accompanying discussion identifies false breakouts in ranging markets, lag, overtrading, and parameter sensitivity as risks. It recommends further filters and testing, so the claimed potential across market conditions is not established by evidence in the document.

Key ideas

• The bands use a 34-period simple moving average as their center.
• Inner and outer bands represent one and two standard deviations from the center.
• A close outside an outer band triggers an entry in the breakout direction.
• The source closes positions when price reaches the opposite outer band.
• The document specifies a short BTC futures backtest window but provides no performance results.

Tags

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