Linear Regression Bollinger Bands Around a Fitted Price Center

Summary

This document describes a Bollinger Bands variant built around a linear regression of closing prices. The regression line serves as the center; upper and lower bands are formed by adding and subtracting a multiple of the standard deviation of that regression series. The example gives a period of 20 and a deviation multiplier of 2 as typical parameters.

The method differs from standard bands centered on a simple moving average by using a fitted trend line as its baseline. This can make the reference level adapt to a linear price trend, while the deviation bands express dispersion around that fitted series. The document provides only a formula-style indicator example and no signal rules, backtest, or evidence about results. It does not explain how the standard deviation is calculated in detail or how to trade band touches, so users would need to define those choices and assess the method across relevant markets and costs.

Key ideas

• The indicator uses a linear regression of closing prices as its center line.
• Upper and lower bands offset the regression line by a deviation multiple of the regression series’ standard deviation.
• The example specifies a period of 20 and a deviation multiplier of 2.
• The document defines band construction but gives no entry, exit, or position-sizing rules.
• No backtest or performance evidence is provided.

Tags

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