Bollinger band reversion strategyvsSMA breakout (Donchian-style) strategy
Bollinger band reversion strategy: Fade a 2-sigma stretch below the mean and exit when price tags the middle band. · SMA breakout (Donchian-style) strategy: Buy a fresh push above the 20-bar mean and trail the winner until it folds.
Bollinger band reversion strategy
Fade a 2-sigma stretch below the mean and exit when price tags the middle band.
SMA breakout (Donchian-style) strategy
Buy a fresh push above the 20-bar mean and trail the winner until it folds.
Indicateurs
- Bollinger Bands (period 20, σ × 2)
- SMA (period 20)
Unités de temps
Biais
Long uniquement
Long uniquement
Adéquation au marché
Range-bound
Volatility expansion
Règles d'entrée
- Enter long when close is below the lower Bollinger band — a 2σ stretch below the 20-bar mean.
- Single position; 3-bar cooldown after exit.
- Enter long when close crosses above the 20-bar SMA.
- 4-bar cooldown after exit reduces back-to-back whipsaws.
Règles de sortie
- Exit when close pushes back above the middle band.
- Hard 3% stop-loss; 2% trailing stop locks in any reversion gain.
- Close on a cross back below the SMA.
- Trailing 5% stop catches deeper retracements before the SMA flips.
Comportement attendu
Smooth equity curve in low-volatility regimes with frequent small wins. Sharp drawdowns when a trend extends and price stays pinned below the lower band — the strategy expects mean reversion that may not arrive.
Trendy growth in directional regimes punctuated by ugly chop when price oscillates around the SMA. Best paired with a higher-timeframe trend filter to skip the chop.
Complexité
Laquelle te convient ?
Déduit du biais, de l'unité de temps et du profil d'indicateurs de chaque stratégie — ce n'est pas une prévision de backtest.
Quand choisir Bollinger band reversion strategy
- You expect range-bound — the thesis is "Fade a 2-sigma stretch below the mean and exit when price tags the middle band."
- You want a long-only bot on 15m–4h candles with a balanced rule-set.
- You're comfortable monitoring 1 indicator (Bollinger Bands (period 20, σ × 2)).
Fade a 2-sigma stretch below the mean and exit when price tags the middle band.
Quand choisir SMA breakout (Donchian-style) strategy
- You expect volatility expansion — the thesis is "Buy a fresh push above the 20-bar mean and trail the winner until it folds."
- You want a long-only bot on 1h–1d candles with a balanced rule-set.
- You're comfortable monitoring 1 indicator (SMA (period 20)).
Buy a fresh push above the 20-bar mean and trail the winner until it folds.
Bollinger band reversion strategy
Fade a 2-sigma stretch below the mean and exit when price tags the middle band.
SMA breakout (Donchian-style) strategy
Buy a fresh push above the 20-bar mean and trail the winner until it folds.
Comparaisons associées
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