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Forex Forum → Forex Strategies → Bollinger Bands with 200-day Moving Average Filter

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Posts: 3

Topic: Bollinger Bands with 200-day Moving Average Filter

One of the pitfalls of RSI extremes was that the average duration of a trade was the same as that of our intermediate-term trend-following systems. This problem can be eliminated by changing its exit condition #1 criteria, but to showcase another trend-following mean reversion system, I have chosen instead to introduce the fading of our trend-following Bollinger band system with the addition of a 200-day moving average criteria to filter out countertrend trades. Using CQG, the programming code for this trend-following mean rever- sion system is written in this way:
Long Entry:
Close(@)[–1] XBELOW BLO(@,Sim,20,2)[–1]AND Close(@)[–1] > MA(@,Sim,200)[–1]
Long Exit—Condition #1 set “Price” field to:
BMA(@,Sim,20)[–1]
Long Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)–(.025* EntryPrice(@,0,All,ThisTradeOnly))
Short Entry:
Close(@)[–1] XABOVE BHI(@,Sim,20,2)[–1] AND Close(@)[–1] < MA(@,Sim,75)[–1]
Short Exit—Condition #1 set “Price” field to:
BMA(@,Sim,20)[–1]
Short Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)+(.025* EntryPrice(@,0,All, ThisTradeOnly))

[Strategy Properties]
     A same direction signal - Does nothing
     An opposite direction signal - Does nothing
     Permanent Stop Loss - None
     Permanent Take Profit - None
     Break Even - None

[Opening Point of the Position]
     Bar Opening
     Enter the market at the beginning of the bar
     Base price  -  Open

[Opening Logic Condition]
     Better Bollinger bands
     The position opens below the Lower Band
     Smoothing method  -  Simple
     Base price  -  Close
     Period  -  20
     Multiplier  -  2.00
     Use previous bar value  -  Yes

[Opening Logic Condition]
     Moving Average
     The position opens above the Moving Average
     Smoothing method  -  Simple
     Base price  -  Close
     Period  -  200
     Shift  -  0
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Bar Closing
     Exit the market at the end of the bar
     Base price  -  Close

[Closing Logic Condition]
     Moving Average
     The bar closes above the Moving Average
     Smoothing method  -  Simple
     Base price  -  Close
     Period  -  20
     Shift  -  0
     Use previous bar value  -  No

This performs really well on the daily EURGBP! Did I get it right?

Pete

Re: Bollinger Bands with 200-day Moving Average Filter

I would use the following logic for BB:

[Opening Logic Condition]
     Bollinger Bands
     The bar opens below the Lower Band after opening above it

This depicts the crossing better. But eventually go for the one, which works best. That's the charm about FSB smile

Re: Bollinger Bands with 200-day Moving Average Filter

thanks

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