Bollinger Bands %B Trading Strategy | 💪💰A winning Portfolio!
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- Опубліковано 6 кві 2024
- Discover the secrets of the %B indicator in this deep dive tutorial! 🚀💡 Whether you're a newbie or an intermediate trader, learn how to optimize look back periods, standard deviation, and %B percentages to craft strategies that match perfectly with market instruments. Plus, explore how to construct a portfolio of uncorrelated strategies to maximize your gains. Don’t miss out on unlocking your trading potential! 💪💰
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Video Summary:
1. The video focuses on improving trading strategies using the Bollinger Bands indicator and a derivative called Percent B (%B) to enhance performance from good to phenomenal.
2. Percent B is introduced as a tool that measures the current price's position relative to the Bollinger Bands, enabling precise trading decisions.
3. The strategy for trading the S&P 500 Index involves using Bollinger Bands for mean reversion rather than breakout strategies, aligning with the index's characteristic upward drift.
4. An emphasis is placed on matching the trading strategy with the instrument's characteristics for faster, more robust strategy development.
5. Ali Casey demonstrates how Percent B allows for more precise entry conditions than traditional Bollinger Bands methods by enabling specific threshold settings.
6. A specific trading test is explained where trades are entered when Percent B indicates the price is below the lower Bollinger Band, and exited when the price closes above the previous high.
7. The strategy's performance is reviewed, showing a high win rate and return to drawdown ratio, highlighting its effectiveness.
8. Optimization tests are conducted by adjusting the Percent B values, moving average, and standard deviation settings to increase trade opportunities.
9. A new concept of applying filters to the basic strategy is introduced to build a diverse portfolio, improving the overall return to drawdown ratio and decreasing correlation among strategies.
10. The video concludes by underscoring the importance of strategy and instrument alignment, along with the effective use of filters to construct a robust trading portfolio.
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DISCLAIMER: None of what I talk about to be construed as investment advice, I am not a financial adviser nor a CPA. The videos are for educational and entertainment purposes only. The information presented in the video is accurate as of the posting date of the video and might not be accurate in the future. All links in the description might have some affiliate links and I may receive a small commission. I only share the tools and resources that I love and use regularly. Thank you so much for your support! 😍
#Finance #Investing #AlgoTrading
Ali Casey here from StatOasis channel, I post about Finance, Investing, Algorithmic Trading and everything else in between.
I strive to provide the best education on the subjects mentioned above, the goal is take control of your financial future. If you like what you read, then subscribe and if you're still reading this, you rock! thank you ❤️
The quality, clarity, reasoning and value of your videos Ali is second to none.
Thank you for the thought provoking ideas.
The best algo channel there is!
Thank you for your thoughtful words. I really appreciate it.
Excellent info
Glad it was helpful!
Good morning
I like your videos . I am new to Strategy Quant . Was wondering if I can use it to creates strategy to pass Prop firm challenges ?
Thank you
Yes you can!
Hi Ali , Another wonderful video , plenty to think about and add to our learning and of course some gold nuggets , many thanks michael b
Thank you for your kind words 🙏
Great work as always Ali 👍
Thank you 👍
Hi ali. Can you share strategy quant code for %B? I can’t find this indicator in strategy quant X version 133
Its in the community, under the video. U can build it easily
(C - Lower Bb) / (Upper Bb - Lower Bb)
Hi ali! Since the entry condition is fixed, when you add a filter to the strategy do you also optimize the filter to find a stable area for the current entry condition?
No thats the wrong way. Once a strategy is stable, filters either work or not
@@StatOasis So if I want to add ATR to the strategy I just focus if ATR will affect the aspect of the strategy such as increasing profit factor or reducing drawdown rather then finding the best ATR period, is this correct?
yes, any filter you add should enhance the strategy metrics, the more the better. like Average trade, MaxDD, number of trades, Ret/DD ratio, etc. Looking at only Net profit is not the best way.
Hi Ali, great video, as always!
Does a successful strategy have to beat the market, or is it enough to only reduce, for example, drawdown and time in trade?
Also, where's the cutoff? If the market makes 7% a year and I had a perfectly smooth curve of 1% per year, we still wouldn't trade that, right?
Comparison is how much you are making in relation to how much you are risking and time invested.
So Return/MaxDD and exposure%
e.g. buy and hold SPY makes about 8% per year with maxDD of 55% and exposure if 100%
So if strategy makes 4% and maxDD is 15% is better
Or strategy makes 4% and maxDD is 35% and exposure is 30% is still better.
There are ratios that can summarize like Ulcer Performance Index
@@StatOasis I see, thank you!
Is there a way that I can get this code?
You can get the code in the community go.statoasis.com/community.
the filters are not included, they are only for ATM students go.statoasis.com/atm
@@StatOasis there is only post for this video I can’t find it anywhere if u can help me it would be great
post below the video in the community and I will be reminded to post the code
Right, the advantage is that you can be very precise. The disadvantage, however, is that you can be very precise ;)
The more parameters you have that you can change, the higher the chance that you will overfit.
In this case precise lets you easily ajust values to let more trades in.
As for more variables, you are right it will be easier to over fit, but thats not a biggie if you learn how to vet for robustness properly
@@StatOasis I prefer strategies with as few changeable parameters as possible. The simpler the better.
What is your opinion on futures overlay strategies? So let's say use 30% of the total portfolio as margin for futures, and have the remaining 70% invested in equity strategies instead of cash or bonds. Of course with a correspondingly low target volatility.
it is up to you, but in that case you are increasing your leverage by 300%, because the 70% invested in equity could lose 50% so it is not like when they are in cash.
there is a balance, but you need good analysis of the portfolios to decide what percentage to use
In summary: Forget about %B because the Moving Average centerline produces the best result.
How is the moving average produces better results?
@@StatOasis In the first test the %B was 0.0000 and it had a good number of trades and profit factor. ie. Zero from the Moving Average centerline, as in a close below that for entry.
%B translate close position as zero when close is at the lower band of the bollinger channel. the moving average will translate to %B = 0.5
@@StatOasis John Bollinger original formula is: |
(Upper BB - Lower BB) / middle BB
middle BB is the moving average, so it is a calculation from the moving average. Positive values are above it, and negative values are below it.
your current formula will always produce one number 0.105!!
%B is measuring the relation of the close to the BB channel. where is the close in your formula?
Are you stupidly loaded already?
I don't think there is an end, its the challenge that keeps you going, of course it doesn't hurt to get compensated for it on your own terms 😀