Pro Bollinger Bands Strategy [Breno]

ayer

This strategy excels in highly volatile financial instruments, including cryptocurrencies, high-beta stocks, commodity futures, and certain exchange-traded funds (ETFs) that exhibit clear mean-reversion characteristics around their Bollinger Bands. The system's ability to utilize scaling (position averaging) and an ATR-based stop loss makes it particularly effective in markets with significant price swings, allowing the trader to capture profits from price extremes while managing increased volatility-related risk.

Core Strategy Logic
This Strategy implements a comprehensive trend-following and mean-reversion strategy primarily leveraging the Bollinger Bands (BB) indicator for entry and exit signals, complemented by an Average True Range (ATR)-based Stop Loss mechanism and an optional EMA filter. It is designed with robust features for capital management, including configurable leverage and a sophisticated position averaging (scaling) system.

• Long Entry: A long position is initiated when the closing price crosses over the Lower Bollinger Band (ta.crossover(close,lowerBB)). This signals a potential mean-reversion opportunity following a price dip.
  
  
• Short Entry: A short position is initiated when the closing price crosses under the Upper Bollinger Band (ta.crossunder(close,upperBB)). (Note: Short entries are disabled by default in the script inputs).
  
  
• Exit Conditions (Profit Target): Long positions aim to exit upon interaction with the Upper Bollinger Band. Users can select from three exit methods:
  
  1. "Close When Touch": Exits when close≥upperBB.
     
     
  2. "Close Above then Below": Exits when the previous close was above the upper band, and the current close is below it (a reversal signal).
     
     
  3. "High Above": Exits when high>upperBB. The strategy features an optional profitOnly setting, which restricts all exits to only occur if the trade is currently in profit (i.e., close is above the strategy.position_avg_price for longs).
     
     

Key Features and Customization

Bollinger Bands & Filters -

• Customizable BB Parameters: The Length and Deviation of the Bollinger Bands are fully adjustable, allowing users to fine-tune the sensitivity of the entry and exit signals.
  
  
• Optional EMA Filter: An optional EMA Filter can be enabled to align entries with the prevailing trend, where a Long entry is only permitted if close≥EMA(EmaFilterRange).
  

Risk and Capital Management -

• Equity Allocation: Position size is dynamically calculated based on a Percentage of Equity (capitalPerc) combined with the set Leverage multiplier.
  
  
• Dynamic Stop Loss (ATR-Based):
  An optional Stop Loss (SL) is calculated using a multiple (slAtrInput) of the Average True Range (ATR).
  
  The SL is set relative to the entry price upon trade activation, providing a volatility-adjusted risk management layer.
  
• Position Averaging (Scaling): The script supports the addition of multiple units (pyramiding) to an existing position based on three user-selected criteria:
  
  1. "No": No averaging.
     
     
  2. "Percent": Adds to the position if the price has dropped by a set percentage (addPct) from the average price.
     
     
  3. "ATR": Adds to the position if the current price is significantly below a calculated ATR-based support level from the average price.
     

ayer

Notas de prensa

This strategy excels in highly volatile financial instruments, including cryptocurrencies, high-beta stocks, commodity futures, and certain exchange-traded funds (ETFs) that exhibit clear mean-reversion characteristics around their Bollinger Bands. The system's ability to utilize scaling (position averaging) and an ATR-based stop loss makes it particularly effective in markets with significant price swings, allowing the trader to capture profits from price extremes while managing increased volatility-related risk.

Core Strategy Logic
This Strategy implements a comprehensive trend-following and mean-reversion strategy primarily leveraging the Bollinger Bands (BB) indicator for entry and exit signals, complemented by an Average True Range (ATR)-based Stop Loss mechanism and an optional EMA filter. It is designed with robust features for capital management, including configurable leverage and a sophisticated position averaging (scaling) system.

• Long Entry: A long position is initiated when the closing price crosses over the Lower Bollinger Band (ta.crossover(close,lowerBB)). This signals a potential mean-reversion opportunity following a price dip.
  
  
• Short Entry: A short position is initiated when the closing price crosses under the Upper Bollinger Band.
  
  
• Exit Conditions (Profit Target): Long positions aim to exit upon interaction with the Upper Bollinger Band. Users can select from three exit methods:
  
  1. "Close When Touch": Exits when close≥upperBB.
     
  2. "Close Above then Below": Exits when the previous close was above the upper band, and the current close is below it (a reversal signal).
     
  3. "High Above": Exits when high>upperBB. The strategy features an optional profitOnly setting, which restricts all exits to only occur if the trade is currently in profit.
     

Key Features and Customization

Bollinger Bands & Filters -

• Customizable BB Parameters: The Length and Deviation of the Bollinger Bands are fully adjustable, allowing users to fine-tune the sensitivity of the entry and exit signals.
  
• Optional EMA Filter: An optional EMA Filter can be enabled to align entries with the prevailing trend, where a Long entry is only permitted if close≥EMA(EmaFilterRange).
  

Risk and Capital Management -

• Equity Allocation: Position size is dynamically calculated based on a Percentage of Equity combined with the set Leverage multiplier.
  
• Dynamic Stop Loss (ATR-Based):
  An optional Stop Loss (SL) is calculated using a multiple (slAtrInput) of the Average True Range (ATR).
  The SL is set relative to the entry price upon trade activation, providing a volatility-adjusted risk management layer.
  
• Position Averaging (Scaling): The script supports the addition of multiple units (pyramiding) to an existing position based on three user-selected criteria:
  
  • "No": No averaging.
    
  • "Percent": Adds to the position if the price has dropped by a set percentage (addPct) from the average price.
    
  • "ATR": Adds to the position if the current price is significantly below a calculated ATR-based support level from the average price.