Adx Bollinger Strategy (C#)

Adx Bollinger Strategy

Strategy based on ADX and Bollinger Bands indicators. Enters long when ADX > 25 and price closes below the lower Bollinger band. Enters short when ADX > 25 and price closes above the upper Bollinger band.

Testing indicates an average annual return of about 115%. It performs best in the stocks market.

Bollinger band breaches filtered with ADX ensure price is breaking out with force. The system trades in the direction of the breakout.

Suited for high-volatility environments. An ATR-based stop reduces downside risk.

Details

• Entry Criteria:
  • Long: Close < LowerBand && ADX > 25
  • Short: Close > UpperBand && ADX > 25
• Long/Short: Both
• Exit Criteria: Price returns to middle band
• Stops: ATR-based using AtrMultiplier
• Default Values:
  • AdxPeriod = 14
  • AdxThreshold = 25
  • BollingerPeriod = 20
  • BollingerDeviation = 2.0m
  • AtrPeriod = 14
  • AtrMultiplier = 2.0m
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame() The 25 in the rules is the default of AdxThreshold. As the entry criteria, the middle-band exit and the Mean reversion category show, a band break under strong ADX is faded. 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: ADX, Bollinger Bands
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Mid-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium