Bollinger Band Breakout Trading Strategy

This strategy trades the price breakout of Bollinger Bands. It aims to capture trend opportunities from channel breakouts. Strategy Logic: 1. Calculate Bollinger Bands with n-period moving average as midline and…

Pine ScriptBreakout Mean reversion Trend following SMA Bollinger Bands ATR Volume

Author: ChaoZhang
Complexity: Intermediate · 78 lines
Parameters: 9
Backtest bar: 2h · intraday
Tested on: BTC/USDT · futures

Jump to code View in vault Original on FMZ

This strategy trades the price breakout of Bollinger Bands. It aims to capture trend opportunities from channel breakouts.

Strategy Logic:

Calculate Bollinger Bands with n-period moving average as midline and volatility bands above and below.
Enter short when price breaks down below lower band. Enter long when breaking above upper band.
Set stops outside opposite band for risk control.
Adjust band width based on max drawdown for parameter optimization.
Add volume filter to avoid false breakouts.

Advantages:

Breaking bands effectively identifies trend turns.
Bollinger parameter optimization is simple and practical.
Volume filter improves quality by avoiding falseouts.

Risks:

Lagging bands may miss best entry timing.
Post-breakout reversals are common, requiring reasonable stops.
Seeking low-frequency trades in optimization can miss opportunities.

In summary, this is a typical channel breakout strategy trading Bollinger breaks. The relatively simple rules benefit optimization but lag and stop placement issues remain that impact long-term steady gains.

Parameters

Name	Default	What it controls
v_input_1	40	Length
v_input_2	3	R
v_input_3	false	Auto Adjust R
v_input_4	0.02	Step in R
v_input_5	2000	Base Year
v_input_6	120	Volume Threadhold
v_input_7	true	Include Long
v_input_8	true	Include Short
v_input_9	true	Enable Position Sizing

Source Pine Script

/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
// strategy("ChannelBreakOutStrategyV2.1", commission_type = "percent", commission_value = 0.1, calc_on_order_fills = true, overlay=true)

length = input(title="Length",  minval=1, maxval=1000, defval=40)
maxR = input(title = "R",  minval = 1.0, maxval = 10, defval = 3, step = 0.1)
adoptR = input(title = "Auto Adjust R",  defval = false)
stepR = input(title = "Step in R",  minval = 0.01, maxval = 0.1, step = 0.01, defval = 0.02)
baseYear = input(title = "Base Year",  minval = 2000, maxval = 2016, defval = 2000)
volumeTh = input(title = "Volume Threadhold",  minval = 100.0, maxval = 200, defval = 120, step = 5)
hasLong = input(title = "Include Long",  defval = true)
hasShort = input(title = "Include Short",  defval = true)
usePositionSizing = input(title = "Enable Position Sizing",  defval = true)

getTrailStop(val, current) => 
    s = val > 1.6 ? 0.8 : val >= 1.4 ? 0.85 : val >= 1.3 ? 0.9 : 0.93
    s * current


upBound = highest(high, length)
downBound = lowest(low, length)
hasVol = (volume / sma(volume, length) * 100 >= volumeTh) ? 1 : 0

hasPos = strategy.position_size != 0 ? 1 : 0

trailstop = atr(length) * 3
ptvalue = syminfo.pointvalue
equity = strategy.openprofit > 0 ? strategy.equity - strategy.openprofit : strategy.equity
curR = adoptR == false ? maxR : n == 0 ? maxR : hasPos == 1 ? curR[1] : (rising(equity,1) > 0? curR[1] + stepR : falling(equity, 1) > 0 ? curR[1] <= 2.0 ? 2.0 : curR[1] - stepR : curR[1])
contracts = usePositionSizing == false ? 20 : floor(equity / 100 * curR / (trailstop * ptvalue))

realbuystop = close - trailstop
realsellstop = close + trailstop

isPFst = (hasPos[1] == 0 and hasPos == 1) ? 1 : 0
isPOn = (hasPos[1] + hasPos == 2) ? 1 : 0
largestR = hasPos == 0 or isPFst == 1 ? -1 : nz(largestR[1]) < close ? close : largestR[1]
pctRise =  largestR / strategy.position_avg_price

rbs = strategy.position_size <= 0 ? realbuystop : isPFst ? strategy.position_avg_price - trailstop : pctRise >= 1.3 ? getTrailStop(pctRise, largestR) : (isPOn and realbuystop > rbs[1] and close > close[1]) ? realbuystop : rbs[1]
rss = strategy.position_size >= 0 ? realsellstop : isPFst ? strategy.position_avg_price + trailstop : (isPOn and realsellstop < rss[1] and close < close[1]) ? realsellstop : rss[1]

isStart = na(rbs) or na(rss) ? 0 : 1
buyARun = close - open > 0 ? 0 : open - close
sellARun = open - close > 0 ? 0 : close - open

if (strategy.position_size > 0 and buyARun >= trailstop / 3 * 2 and pctRise < 1.3)
    strategy.close("buy")
    strategy.cancel("exit")
if (strategy.position_size < 0 and sellARun >= trailstop / 3 * 2)
    strategy.close("sell")
    strategy.cancel("exit")

strategy.cancel("buy")
strategy.cancel("sell")
conLong = hasLong == true and hasPos == 0 and year > baseYear and (isStart + hasVol) == 2
strategy.order("buy", strategy.long, qty = contracts, stop=upBound + syminfo.mintick * 5, comment="BUY", when = conLong)
if (rbs > high)
    strategy.close("buy")
strategy.exit("exit", "buy", stop = rbs, when = hasPos == 1 and isStart == 1)

conShort = hasShort == true and hasPos == 0 and year > baseYear and (isStart + hasVol) == 2
strategy.order("sell", strategy.short, qty = contracts, stop=downBound - syminfo.mintick * 5, comment="SELL", when = conShort)
if (rss < low)
    strategy.close("sell")
strategy.exit("exit", "sell", stop = rss, when = hasPos == 1 and isStart == 1)

plot(series = rbs, color=blue)
plot(series = realbuystop, color=green)
plot(series = rss, color=red)
plot(series = realsellstop, color=yellow)

Published by ChaoZhang on the FMZ strategy square · last modified 2023-09-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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