Trend Following with Bollinger Bands — Strategy by LordRobrecht
By LordRobrecht
Performance Metrics
- Author: LordRobrecht
- Symbol: SP:SPX
- Timeframe: 1 day
- Net P&L: +76,584.91 USD (+76.58%)
- Win Rate: 45.5%
- Profit Factor: 1.907
- Max Drawdown: 6,179.47 USD (4.70%)
- Total Trades: 211
- Sharpe Ratio: −0.247
Description
Dec 11, 2021This is a trend following system which uses the Bollinger Bands instead of the Donchian Channels. Long position:* Price closes above the middle line.* The fast EMA (in this case the 40) crosses over or is above the slow one (in this case the 120)Short position:* Price closes below the middle line.* The fast EMA crosses under or is below the slow one. Stoploss:* 4 ATRs away from the price.Dec 13, 2021Release NotesReplaced the multiplier in the position size formula with syminfo.pointvalue in order to get a more accurate position size.Dec 18, 2021Release NotesReverted the pyramiding setting from 4 back to 1 to keep the system simple and the max drawdown low.Added a visual ATR trailing stop, so you know where to put your stoploss.Feb 7, 2022Release NotesAdjusted the position size formula. Improved the stoploss multiplier.