Three-Sigma Bollinger Breakouts with a 100-Day Moving Average

Summary

This strategy enters long when the close rises above an upper Bollinger Band set three standard deviations above a 100-day simple moving average. It exits when price falls below a lower band set one standard deviation below the same average. The bands are calculated from closing prices, and signals are checked at bar close while no position is open for entry.

The document explains the setup through Bollinger Band statistics and describes false breakouts, drawdowns, moving-average lag, and excess trading in ranging markets as risks. It suggests volume confirmation, trend filters, trailing or ATR-based stops, position sizing, and time filters as possible refinements. The published example uses hourly BTC/USDT futures data over roughly one month, but it gives no performance figures. Its normal-distribution probability rationale may not describe real market returns, and the short sample does not establish effectiveness across markets or conditions.

Key ideas

• The long entry signal occurs when the close exceeds the upper band at three standard deviations above the 100-day average.
• The exit signal occurs when the close falls below a lower band set one standard deviation below that average.
• The strategy is long-only and uses bar-close signals, with entries limited to times when no position is open.
• False breakouts, choppy-market trading costs, drawdowns, and indicator lag are stated risks.
• The example backtest covers hourly BTC/USDT futures data for about one month and reports no results.

Tags

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