Overview

This strategy uses Bollinger Bands to judge trends by comparing fluctuations inside and outside the bands, and uses momentum indicators to follow the trend. It belongs to trend following strategies. It generates new trend direction signals when volatility inside the band is less than outside, and opens positions. The stop loss uses ATR multiples, and take profit is ATR multiples of risk reward ratio.

Principles

The strategy consists of the following main parts:

1. Bollinger Bands settings: Large bands with length 40, small bands length 20, band width is 2 standard deviations.

2. Band explosion judgment: If large band upper is below small band upper, and large band lower is above small band lower, it indicates increased volatility and generates new trend direction signals.

3. Momentum indicator: 240 timeframe 14 EMA judges trend direction.

4. ATR stop loss and take profit: ATR 14 times for stop loss distance, take profit is 1.5 times of stop loss distance.

The strategy first judges if the band explodes, then determines long or short based on momentum direction. After entry, use ATR multiples for stop loss and take profit management.

Advantages

1. Using double Bollinger bands can compare volatility across timeframes, to determine trend burst points.

2. Using momentum indicators avoids being whipsawed by ranging markets.

3. ATR stops adjusts stop distance based on market volatility.

4. Reasonable risk reward ratio, not too aggressive or conservative.

Risks

1. May be trapped in ranging markets without clear trends. Can optimize momentum parameters to reduce false signals.

2. ATR stops may be too conservative. Consider other stop methods like trailing stops.

3. Fixed ATR multiples may not suit all products. Consider making it adjustable.

4. Dual Bollinger effectiveness unproven. Test other channels like KD.

Optimization Directions

1. Test different momentum parameters to find optimal combinations.

2. Try different stop methods like trailing stops, adaptive ATR.

3. Make ATR multiples adjustable based on product and market conditions.

4. Test different channel indicators for more stability.

5. Consider adding compounding management for better profit control.

6. Filter entry signals by swings, time etc to improve win rate.

Conclusion

The strategy logic is clear, using dual Bollinger to determine trend burst is the biggest highlight. But optimizations are still needed on stops, channels, risk management etc to make parameters more adaptive across different market conditions. Overall the strategy has good advantages and potential, worth further research.