Since 2022 Sort Finance

Bollinger Squeeze Breakout

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute 20-bar Bollinger Bands and watch their relative width — upper band minus lower band, divided by the middle. Narrow bands mean the market has gone unusually quiet.
  2. A squeeze is on when the width hits its lowest value of the last 125 bars: volatility is as compressed as it has been in roughly six months of bars, and quiet markets tend to resolve into violent moves.
  3. Buy the first close above the upper band within 5 bars of a squeeze — the compression resolving upward with force. A band break without a fresh squeeze is ignored.
  4. Sell when the close falls back below the middle band — the expansion has run its course.
Score
Total Score Mean Of Real And Resampled 25 / 100
Real Data 23 / 100
Resampled Data 27 / 100
Overall Rank Top 87% 45 of 52
Rank In Breakout Top 100% 5 of 5
Score By Metric
Beats Hold Real 1 · Resampled 17 9 / 100
Risk Adjusted Real 22 · Resampled 23 22 / 100
Profitability Real 11 · Resampled 11 11 / 100
Win Rate Real 38 · Resampled 31 34 / 100
Fee Efficiency Real 90 · Resampled 90 90 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.