Bollinger Williams R Strategy (C#)

Bollinger Williams R Strategy

Strategy based on Bollinger Bands and Williams %R indicators. Enters long when price is at lower band and Williams %R is oversold (< -80) Enters short when price is at upper band and Williams %R is overbought (> -20)

Testing indicates an average annual return of about 103%. It performs best in the stocks market.

Bollinger bands expose volatility breakouts and Williams %R ensures momentum is extreme. Positions open when price closes outside a band with a matching Williams %R reading.

Best for volatility expansion traders. ATR stops handle adverse turns.

Details

• Entry Criteria:
  • Long: Close < LowerBand && WilliamsR < -80
  • Short: Close > UpperBand && WilliamsR > -20
• Long/Short: Both
• Exit Criteria: Price returns to middle band
• Stops: ATR-based using AtrMultiplier
• Default Values:
  • BollingerPeriod = 20
  • BollingerDeviation = 2.0m
  • WilliamsRPeriod = 14
  • WilliamsROversold = -80
  • WilliamsROverbought = -20
  • AtrPeriod = 14
  • AtrMultiplier = 2.0m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() The -80 and -20 in the rules are the defaults of WilliamsROversold and WilliamsROverbought. The stop lies AtrMultiplier ATRs (AtrPeriod) from the entry close and is checked on candle closes. An entry signal against an open position reverses it.
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: Bollinger Bands, Williams %R, R
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium