StockSharp.Strategies.0221_Bollinger_Band_Squeeze

Bollinger Band Squeeze Strategy (C# Version)

This setup monitors the width of the Bollinger Bands to detect periods of low volatility. When the bands contract relative to their recent average, it signals a potential volatility expansion is near.

Testing indicates an average annual return of about 100%. It performs best in the forex market.

Once a squeeze is identified, the strategy waits for price to break outside the bands. A close above the upper band initiates a long, while a close below the lower band opens a short. The trade is closed if price returns toward the middle of the bands or if a stop-loss is triggered.

The method targets traders who like to trade volatility breakouts rather than trend continuation. Using the band width as a filter helps avoid false signals during choppy conditions.

Details

• Entry Criteria:
  • Long: Band width < average width && Close > upper band
  • Short: Band width < average width && Close < lower band
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit when price drops back inside the bands
  • Short: Exit when price rises back inside the bands
• Stops: Yes, typically at 2*ATR.
• Default Values:
  • BollingerPeriod = 20
  • BollingerMultiplier = 2.0m
  • LookbackPeriod = 20
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: Bollinger Bands
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium