This system was described by Chuck LeBeau and David Lucas in their 1992 book: "Technical Traders Guide to Computer Analysis of the Futures Markets". The system is a form of breakout system that buys on the next open when the price closes above the top of the Bollinger Band and exits when the price closes back inside the band. Short entries are the mirror opposite with selling taking place when the price closes below the bottom of the Bollinger Band.

 

BollingerBreakout

The center of the Bollinger Band is defined by an Simple Moving Average of the closing prices using a number of days defined by the parameter Close Average Days. The top and bottom of the Bollinger Band are defined using a fixed-multiple of the standard deviation from the moving average specified by the parameter Entry Threshold.

 

The system enters at the open following a day that closes over the top of the Bollinger Band or below the bottom of the Bollinger Band. The system exits following a close below the Exit Band which is defined using a fixed-multiple of the standard deviation from the moving average specified by the parameter Exit Threshold.

 

The value of the Exit Band on the day of entry is used as the stop for the purpose of determining position size using the standard Fixed Fractional position sizing algorithm.

 

 

The Bollinger Breakout System system includes three parameters that affect the entry and exit:

 

BOLLINGER

 

Close Average

The number of days in the Simple Moving Average which forms the center of the Bollinger Band channel.

 

Entry Threshold

The width of the channel in standard deviation. This defines both the top and bottom of the channel.  The system buys or sells to initiate a new position when the closing price crosses the price defined by this threshold.

 

Exit Threshold

If set to zero, the system will exit when the price closes below the moving average. If set to some higher number the system will exit when the price closes below the given threshold. A negative Exit Threshold means that the exit channel is below the moving average for a long position.

 

For example, an Entry Threshold of 3 and an Exit Threshold of 1 would cause the system to enter the market when the price closed more than 3 standard deviations above the moving average and to exit when the price subsequently dropped below 1 standard deviation above the moving average.

 

 

Entry Script

' ---------------------------------------------
' Enter orders if they channels are breached
' ---------------------------------------------
IF instrument.position <> LONG AND
  instrument.close > channelTop THEN
   
  broker.EnterLongOnOpen( exitTop )
ENDIF
 
IF instrument.position <> SHORT AND
  instrument.close < channelBottom THEN
   
  broker.EnterShortOnOpen( exitBottom )
ENDIF

 

 

Exit Script

' ---------------------------------------------
' Exit orders if exit threshold is breached
' ---------------------------------------------
IF instrument.position = LONG AND
  instrument.close < exitTop THEN
   
  broker.ExitAllUnitsOnOpen
ENDIF
 
IF instrument.position = SHORT AND
  instrument.close > exitBottom THEN
   
  broker.ExitAllUnitsOnOpen
ENDIF

 

 

 

Adjust Stops

' ---------------------------------------------
' Adjust stops so money manager knows core equity
' ---------------------------------------------
IF instrument.position = LONG THEN
  instrument.SetExitStop( exitTop )
ENDIF
 
IF instrument.position = SHORT THEN
  instrument.SetExitStop( exitBottom )
ENDIF

 


Edit Time: 9/20/2017 07:56:26 AM


Topic ID#: 113

 

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