Trend and Volatility Breakout Signals with SMA and Bollinger Bands

Summary

This strategy combines a simple moving average with Bollinger Bands to generate long and short entries. A close crossing above the SMA is paired with a close above the upper band for a long signal; a cross below the SMA and close below the lower band produces a short signal. The description also discusses a volume weighted moving average as a momentum measure, but the supplied signal rules do not use it. The source closes the short position on a long signal and closes the long position on a short signal.

The published example uses BTC/USDT futures, daily bars with hourly base data, and default periods of 50 for the SMA, 14 for the VWMA, and 20 for Bollinger Bands with a deviation of 2. No backtest results are reported. The document cautions that poorly chosen periods or band settings can distort signals, and sudden price moves can cause losses. It recommends parameter testing and considering stop losses and position sizing, while describing those as possible additions rather than features implemented in the source.

Key ideas

• Long entries require an SMA cross upward and a close above the upper Bollinger Band.
• Short entries require an SMA cross downward and a close below the lower Bollinger Band.
• The VWMA is described as a momentum measure but is not used in the provided entry rules.
• Opposite signals close the current position and open a position in the other direction.
• The document provides example settings but no backtest performance results.

Tags

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