RSI and Bollinger Band Mean Reversion with ATR Exits

Summary

This long-only strategy combines Bollinger Bands, RSI, and ATR for mean-reversion trades. It looks for a close below the previous candle’s lower Bollinger Band, alongside a bullish previous candle and an RSI reading at or below 25. It exits when RSI rises above 75 or when an ATR-based stop or profit target is reached. The accompanying description specifies a 30-period Bollinger calculation with a 1.5 deviation multiplier, RSI length 9, ATR length 10, and use of 20% of account equity per trade.

The document explains the rule set and its intended volatility-sensitive exits, but gives no backtest results or market-specific evidence. It warns that brief band breaks can produce false signals, repeated lower-band touches can lead to overtrading, and strong trends may challenge a mean-reversion approach. Its prose describes exit levels relative to entry price, while the source code calculates them from the signal candle’s low, a difference that merits attention when reproducing the strategy.

Key ideas

• A long signal combines a lower Bollinger Band break, a bullish prior candle, and a low RSI reading.
• An RSI reading above 75 can trigger an exit.
• ATR multiples set the stop and profit levels, and the stated position allocation is 20% of account equity.
• The strategy is vulnerable to false breaks, repeated signals, and strong trends.
• The document provides no performance results, and its explanation and code differ on the price used for exit levels.

Tags

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