Filtered Bollinger Bands By @Tradingade

20 sept 2023

This is a reversal strategy based on Bollinger Bands combined with a Trend filter.

The most important part of this strategy is the Trend filter. When applied, it will increase the likelihood of confirming an exhausted movement (it will help find the maximum "elastic bent"), and may reduce chances of getting bad entries condition.


The logic of this code is:

Enter Long : price goes outside lower band, then close cross above lower band
Stop Loss : Percentage %
Take profit : Percentage %
Exit Cond : when high crosses above upper band. It could be both in profit or in loss.
Filter: Yesterday low was the lowest in previous X days


Enter Short : price goes outside lower band, then close cross above lower band
Stop Loss : Percentage %
Take profit : Percentage %
Exit Cond : when low crosses below lower band. It could be both in profit or in loss.
Filter: Yesterday high was the highest in previous X days


FILTER Notes:
You could switch both timeframe and N. of candles in input section. Even tough generally daily data are more reliable, you could find interesting to change it to 1H tf, so filter would be:
"1H high/low was the lowest/highest in previous X hours"


EXIT Notes:
Please note that "% exits" will always override "Exit Cond".
Set % exits to 0 if you want to exit only by "Exit Cond".



Settings used to get the results below :
Initial Capital = 10000
Order Size = 10000 USDT
Commission = 0.06 %

TREND FILTER
Trend filter = True
Trend intensity = 4 Candles , TF 1 day

BB FILTER
Lenght = 20
Source = Close
StdDev = 2

STRATEGY SETTINGS
Position Side = LONG
Stop Loss % = 8
Take Profit % = 0
Exit Cond = True