Bollinger Volume Strategy (C#)

Bollinger Volume Strategy

Strategy that uses Bollinger Bands breakouts with volume confirmation. Enters positions when price breaks above/below Bollinger Bands with increased volume.

Testing indicates an average annual return of about 178%. It performs best in the stocks market.

Bollinger bands show volatility expansion and volume confirms the breakout. Positions are taken when price closes outside a band with strong activity.

Suited for breakout players expecting continuation. A stop based on ATR keeps losses manageable.

Details

• Entry Criteria:
  • Long: Close > UpperBand && Volume > AvgVolume * VolumeMultiplier
  • Short: Close < LowerBand && Volume > AvgVolume * VolumeMultiplier
• Long/Short: Both
• Exit Criteria:
  • Price returns to middle band
• Stops: ATR-based using StopLossAtr
• Default Values:
  • BollingerPeriod = 20
  • BollingerDeviation = 2.0m
  • VolumePeriod = 20
  • VolumeMultiplier = 1.5m
  • StopLossAtr = 2.0m
  • AtrPeriod = 14
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() AvgVolume is the average volume of the previous VolumePeriod candles. An entry signal against an open position reverses it. The stop lies StopLossAtr ATRs from the entry close and is checked on candle closes.
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: Bollinger Bands, Volume
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium