S&P 500 Bollinger Band Entries with Moving Average Exits

Summary

This example presents a two-sided strategy for the S&P 500 and says its Bollinger Band period and moving-average period are the two optimized variables. It buys when both the open and close are at or below the lower Bollinger Band, and sells short when both are at or above the upper band. Orders are not accumulated. Long positions exit when price crosses below a simple moving average; short positions exit when price crosses above it.

The example gives parameter values and uses fixed point-based trade sizes, but it offers no backtest statistics, sample period, transaction-cost assumptions, or risk analysis. Although the post describes the system as mean-reverting and claims favorable results, it supplies no supporting evidence. Its rules and parameters therefore serve as an implementation example, not proof of performance; the results may depend on the underlying, data, execution assumptions, and market regime.

Key ideas

• The strategy buys when both open and close are below the lower Bollinger Band.
• It shorts when both open and close are above the upper Bollinger Band.
• A moving-average cross provides the exit condition for each direction.
• The post gives parameter values but no evidence or details to substantiate its performance claim.

Tags

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