Trend-Filtered Bollinger Band Entries with Fixed Stop Losses

Summary

This strategy combines a 200-period simple moving average with 20-period Bollinger Bands. It opens a long when price and the band basis are above the long-term average and price crosses up through the lower band. It opens a short when price and the basis are below the average and price crosses down through the upper band. Longs close at the upper band and shorts at the lower band, with a fixed 3% stop-loss rule described for both directions.

The document lists a three-hour Binance BTC/USDT futures backtest configuration from November 26 to December 25, 2024, but supplies no performance results. Its setup may struggle in sideways markets, where band crossings can create repeated false signals; slippage and gaps can also affect stop execution. The accompanying strategy description mentions position sizing compatible with high leverage, but the source shown does not implement that sizing. Suggested extensions include volatility-based stops, volume or trend-strength filters, and validation across different market periods.

Key ideas

• The 200-period average sets the broad directional filter for entries.
• A lower-band upward cross triggers longs in an uptrend, while an upper-band downward cross triggers shorts in a downtrend.
• The strategy uses a fixed 3% stop and exits at the opposite Bollinger Band.
• Range-bound conditions may generate false signals, and stop execution can be affected by market events.
• The stated position sizing is not implemented in the source shown, and no backtest results are reported.

Tags

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