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Strategy vault / Breakout

Bollinger Band Channel Breakout Trading Strategy

This strategy trades the price breakout of Bollinger Bands. The bands effectively define price oscillation range, with breakouts signaling potential trend turns. Strategy Logic: 1. Calculate BB midline, upper and…

Pine ScriptBreakoutTrend followingVolatilityRSISMABollinger Bands
Author
ChaoZhang
Complexity
Starter · 44 lines
Parameters
2
Backtest bar
1d · swing
Tested on
BTC/USDT · futures
Jump to codeView in vaultOriginal on FMZ

This strategy trades the price breakout of Bollinger Bands. The bands effectively define price oscillation range, with breakouts signaling potential trend turns.

Strategy Logic:

  1. Calculate BB midline, upper and lower bands. Midline is n-period SMA, band width is n-period standard deviation multiple.

  2. Go long on lower band breakout, and short on upper band breakout.

  3. Set stop loss on opposite band for risk control.

  4. Trailing stop to lock in more profits, or fixed stop.

  5. Apply mutually exclusive orders to avoid simultaneous long/short.

Advantages:

  1. BB breakout accurately identifies trend changes.

  2. Stops on bands allow timely trend exit.

  3. Mutual exclusion avoids same-direction hedging.

Risks:

  1. BB mean and deviation lag, missing best entries.

  2. Whipsaws common in ranging markets.

  3. Static parameters Unable to adapt changing volatility.

In summary, this strategy trades BB breakouts as a typical channel system. There is room for improvement in tuning and risk management but the overall concept is simple and robust.

Parameters

NameDefaultWhat it controls
v_input_145length
v_input_22.5mult

Source Pine Script

/*backtest
start: 2022-09-05 00:00:00
end: 2023-09-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Kozlod - BB Strategy - 1 minute", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100)

// 
// author: Kozlod
// date: 2019-05-27
// RSI - BTCUSDT - 1m
// https://www.tradingview.com/u/Kozlod/
// https://t.me/quantnomad
//

source = close
length = input(45, minval=1)
mult = input(2.5, minval=0.001, maxval=50)

basis = sma(source, length)
dev = mult * stdev(source, length)

upper = basis + dev
lower = basis - dev

plot(upper)
plot(lower)

buyEntry  = crossover(source, lower)
sellEntry = crossunder(source, upper)

if (crossover(source, lower))
    strategy.entry("BBandLE", strategy.long, stop=lower, oca_name="BollingerBands",  comment="BBandLE")
else
    strategy.cancel(id="BBandLE")

if (crossunder(source, upper))
    strategy.entry("BBandSE", strategy.short, stop=upper, oca_name="BollingerBands",  comment="BBandSE")
else
    strategy.cancel(id="BBandSE")

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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