Trend-Filtered Bollinger %B Pullback Strategy
Summary
This document describes a long-only S&P 500 strategy that uses Bollinger %B to identify a pullback during an established uptrend. The indicator expresses the close’s position between the lower and upper Bollinger Bands. Entries require the close above its 100-day moving average, the 20-day average above the 200-day average, and %B below 0.2 on both the current and previous bar. The position exits when %B crosses above 1. The code uses a five-period band with a one-standard-deviation width, although the explanatory indicator example gives different default parameters.
The author reports a profitable daily S&P 500 test with a profit factor above 7, using a one-point spread, but provides no test dates, trade count, or broader performance statistics. The strategy is described as highly selective, producing few positions and limited gross profits. Short-side adaptation and parameter changes for other indices or stocks are suggested but not demonstrated. The reported result is therefore a limited backtest claim, not evidence of robustness across markets or periods.
Key ideas
- The strategy buys only when price and moving-average conditions indicate an uptrend.
- It requires %B to remain below 0.2 for two consecutive bars as a pullback condition.
- The stated exit occurs when %B crosses above 1.
- The document reports a strong S&P 500 test result but gives little information to assess robustness.
- The author notes that selectivity leads to few trades and that other markets may need different parameters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.