Bollinger Bands - Breakout Strategy

1 mai 2023

The Bollinger Bands - Breakout Strategy is a trend-following optimized for short-term trading in the crypto market. This strategy employs the Bollinger Bands, a widely recognized technical indicator, as its primary instrument for pinpointing potential trades. It is capable of executing both long and short positions, depending on whether the market is in a spot or futures, and is particularly effective in trending markets.

The strategy boasts a high degree of configurability, allowing users to set the Bollinger Bands period and deviation, trend filter, volatility filter, trade direction filter, rate of change filter, and date filter. Furthermore, it offers options for Take Profit, Stop Loss, and Trailing Stop for both long and short positions, ensuring a comprehensive risk management approach. The inclusion of a maximum intraday loss feature adds another layer of protection, making this strategy a valuable tool for traders seeking a professional and adaptable trading system.

Name: Bollinger Bands - Breakout Strategy

Category: Trend Follower based on Bollinger Bands

Operating mode: Long and Short on Futures or Long on Spot

Trade duration: Intraday

Timeframe: 2H, 3H, 4H, 5H

Market: Crypto

Suggested usage: Trending Markets

Entry: When the price crosses above or below the Bollinger Bands

Exit: Opposite Cross or Profit target, Trailing stop or Stop loss

Configuration:
- Bollinger Bands period and deviation
- Trend Filter
- Volatility Filter
- Trade direction filter
- Rate of Change filter
- Date Filter (for backtesting purposes)
- Take Profit, Stop Loss and Trailing Stop for long and short positions
- Risk Management: Max Intraday Loss

Backtesting:
⁃ Exchange: BINANCE
⁃ Pair: BTCUSDT.P
⁃ Timeframe: 4H
⁃ Fee: 0.025%
⁃ Slippage: 1
- Initial Capital: 10000 USDT
- Position sizing: 10% of Equity
- Start : 2019-09-19 (Out Of Sample from 2022-12-23)
- Bar magnifier: on

Credits:
- LucF of Pine Coders for f_security function to avoid repainting using security.
- QuantNomad for Monthly Table.

Disclaimer: Risk Management is crucial, so adjust stop loss to your comfort level. A tight stop loss can help minimise potential losses. Use at your own risk.

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