GBP/JPY Bollinger Band Breakout with Moving Average Filters

Summary

This GBP/JPY strategy enters in the direction of a Bollinger Band break. A long signal requires the candle’s open and close to be at or above the upper band, with the close above both a fast and a slow moving average. A short signal requires the open and close at or below the lower band, with the close below both averages. The strategy exits when price crosses a longer-period moving average, and disables order accumulation.

The document gives parameter settings and says that two parameters were optimized; it also mentions an attached walk-forward analysis, but provides no results or assessment of that analysis. It does not specify the chart timeframe, test period, costs, position sizing rationale, or out-of-sample performance. The example is therefore a strategy outline rather than evidence that the rules are profitable or robust. The code’s label calls it mean reverting, while the accompanying explanation describes a breakout approach.

Key ideas

• The strategy enters long when a candle opens and closes beyond the upper Bollinger Band and price is above both moving averages.
• It enters short when a candle opens and closes beyond the lower band and price is below both moving averages.
• Positions exit when price crosses a slower moving average.
• The document reports parameter optimization and mentions walk-forward analysis without presenting its results.

Tags

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