This strategy trades breakouts of Bollinger Bands, taking counter trend positions when price fully pierces the upper or lower band. It aims to capture mean reversion after anomalous volatility. It suits active traders seeking quick profits.
The strategy uses Bollinger Bands to define the current volatility range. When price forms a full candlestick above the upper band or below the lower band, it indicates an highly volatile state and potential reversal towards the mean.
Specifically, the middle, upper and lower bands are calculated using 20-period closing prices. A long signal is generated when price closes below the lower band after opening higher. A short signal is triggered when price closes above the upper band after opening lower. The breakout point serves as the stop loss and the middle band is the initial profit target.
The main advantages are:
Bollinger Bands gauge market volatility effectively to identify anomalies.
The breakout point is a clear stop loss level to control risk.
The middle band offers a sensible target for mean reversion.
Full candlesticks filter out false breaks with greater signal reliability.
Simple parameters make implementation and optimization easy.
Clean logic expressed concisely in the code.
Some risks include:
Poor BB parameters may invalidate the strategy.
Breakouts could signal trend start, risks premature exit.
Middle band targets may be too conservative, capping gains.
Wide breaks may not fully fill, causing slippage.
Whipsaws may induce excessive pointless trades in ranging markets.
Some enhancement considerations:
Gauge trend strength to adjust settings or frequency.
Add other indicators to fine tune entry timing.
Adjust stop loss based on volatility.
Optimize initial targets for smooth profits.
Implement re-entry mechanisms to compound gains.
Assess breakout validity to avoid bad trades.
The strategy trades BB breakouts for short term profits suiting active traders. Pros are clear risk control while cons are early exits and profit capping. Fine tuning parameters, adding filters etc. can improve performance.
/*backtest
start: 2023-09-06 00:00:00
end: 2023-10-06 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Bishnu103
//@version=4
strategy(title="Full Candle Outside BB [v1.0][Bishnu103]",shorttitle="OUTSIDE BB",overlay=true,calc_on_every_tick=true,backtest_fill_limits_assumption=2)
// ***********************************************************************************************************************
// input variables
buy_session = input(title="Buy Session", type=input.session, defval="0915-1430")
exit_inraday = input(title="Exit Intraday?", type=input.bool, defval=true)
entry_distance = input(title="Entry distance from alert", minval=1, maxval=10, defval=3)
show_bb_switch = input(title="Show BB", type=input.bool, defval=true)
//
bbLength = input(title="BB Length", minval=1, defval=20)
bbStdDev = input(title="BB StdDev", minval=1, defval=2)
// ***********************************************************************************************************************
// global variables
long_entry = false
short_entry = false
long_exit = false
short_exit = false
// variable values available across candles
var entry_price = 0.0
var sl_price = 0.0
var exit_price = 0.0
var candle_count = 0
// ***********************************************************************************************************************
// function to return bollinger band values based on candle poition passed
getBB(pos) => [mBB, uBB, lBB] = bb(close[pos], bbLength, bbStdDev)
// function returns true if current time is within intraday byuing session set in input
BarInSession(sess) => time(timeframe.period, sess) != 0
// ***********************************************************************************************************************
// strategy
//
// get current bb value
[mBB_0,uBB_0,lBB_0] = getBB(0)
// check if full candle outside upper BB
outside_uBB = low > uBB_0 and close <= open
outside_lBB = high < lBB_0 and close >= open
// ***********************************************************************************************************************
// entry conditions
long_entry := outside_lBB
short_entry := outside_uBB
// keep candle count since the alert generated so that order can be cancelled after N number of candle calling it out as invalid alert
candle_count := candle_count + 1
if long_entry or short_entry
candle_count := 0
// ***********************************************************************************************************************
// risk management
//
// decide entry and sl price
if long_entry
entry_price := high
if short_entry
entry_price := low
if long_entry
sl_price := low
if short_entry
sl_price := high
// first exit is when price hits middle BB, gets updated for each candle based on it's middle BB value
exit_price := mBB_0
// ***********************************************************************************************************************
// position sizing
price = if close[0] > 25000
25000
else
price = close[0]
qty = 25000/price
// ***********************************************************************************************************************
// entry
//if long_entry and strategy.position_size == 0
// strategy.entry("BUY", strategy.long, qty, stop=entry_price, comment="BUY @ "+ tostring(entry_price))
if long_entry and strategy.position_size == 0
strategy.order("BUY", strategy.long, qty, stop=entry_price, comment="BUY @ "+ tostring(entry_price))
//if short_entry and strategy.position_size == 0
// strategy.entry("SELL", strategy.short, qty, stop=entry_price, comment="SELL @ "+ tostring(entry_price))
if short_entry and strategy.position_size == 0
strategy.order("SELL", strategy.short, qty, stop=entry_price, comment="SELL @ "+ tostring(entry_price))
// cancel an order if N number of candles are completed after alert candle
strategy.cancel_all(candle_count > entry_distance)
// if current time is outside byuing session then do not enter intraday trade
strategy.cancel_all(timeframe.isintraday and not BarInSession(buy_session))
// ***********************************************************************************************************************
// exit
if strategy.position_size > 0
strategy.cancel("EXIT at MBB", true)
strategy.cancel("EXIT at SL", true)
strategy.order("EXIT at MBB", strategy.short, abs(strategy.position_size), limit=exit_price, comment="EXIT TG @ "+ tostring(exit_price))
strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size), stop=sl_price, comment="EXIT SL @ "+ tostring(sl_price))
if strategy.position_size < 0
strategy.cancel("EXIT at MBB", true)
strategy.cancel("EXIT at SL", true)
strategy.order("EXIT at MBB", strategy.long, abs(strategy.position_size), limit=exit_price, comment="EXIT TG @ "+ tostring(exit_price))
strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop=sl_price, comment="EXIT SL @ "+ tostring(sl_price))
// if intraday trade, close the trade at open of 15:15 candle //!!!!!!!!!!!!!!!!!!!!! TO BE CORRECTED !!!!!!!!!!!!!!!!!!!!!!!
if timeframe.isintraday and exit_inraday and hour == 15 and minute == 00
strategy.close("BUY", when=strategy.position_size > 0, qty=strategy.position_size, comment="EXIT @ "+ tostring(close))
strategy.close("SELL", when=strategy.position_size < 0, qty=strategy.position_size, comment="EXIT @ "+ tostring(close))
// ***********************************************************************************************************************
// plots
//
// plot BB
[mBBp,uBBp,lBBp] = getBB(0)
p_mBB = plot(show_bb_switch ? mBBp : na, color=color.teal)
p_uBB = plot(show_bb_switch ? uBBp : na, color=color.teal)
p_lBB = plot(show_bb_switch ? lBBp : na, color=color.teal)
fill(p_uBB,p_lBB,color=color.teal,transp=95)