Two-Standard-Deviation Bollinger Band Breakout Strategy

Summary

This BTC futures strategy uses a 34-period simple moving average as the Bollinger centerline and plots bands at one and two standard deviations. It enters long when the close rises above the outer upper band and short when it falls below the outer lower band. The accompanying explanation frames these moves as momentum breakouts and describes closing positions when price reaches the opposite outer band. Its published backtest settings span December 2019 to November 2024 on daily data, but no performance statistics are supplied.

The document cautions that outer-band breaks can fail in ranging markets, while volatile moves can make band-based exits premature. The code sets position size to 20 percent of equity, whereas the prose claims 30 percent, and its close conditions align with a same-side outer-band breach rather than the described opposite-side exit. These differences matter when interpreting or reproducing the strategy. The material offers a ruleset and risks, not evidence that the approach is profitable or robust.

Key ideas

• The strategy uses a 34-period moving average and one- and two-standard-deviation Bollinger Bands.
• A close above the upper outer band triggers a long entry, while a close below the lower outer band triggers a short entry.
• The code sets each trade to 20 percent of equity, despite the prose stating 30 percent.
• The code’s close rules differ from the prose’s explanation of exits.
• The daily BTC futures backtest period is stated, but no outcome statistics are reported.

Tags

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