Bollinger Band Breakout

The claim

A close beyond a 2-standard-deviation band signals a volatility expansion worth riding, not fading. Same indicator as the reversion version, opposite conclusion — they can't both be right.

Where it comes from

Volatility-breakout trading traces to the futures world (Turtle-era channel breakouts); using Bollinger closes as the trigger is the chart-native variant John Bollinger actually leans toward.

The exact rule we graded

Long while %B(20, 2σ) > 1, short while %B < 0, on 1-hour candles. Exits: 2.5-ATR trailing stop, 100-bar time exit.

• ✓OOS net expectancy > 0
• ✓Clears the cost hurdle
• ✓Robust, not lucky
• ✕Survivable drawdown
• ✓Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

No closed forward trades recorded yet — the record accrues nightly as trades complete their full exit windows.

Honest port notes

• Deliberately the mirror image of our Bollinger Reversion entry, on identical data and costs — the pair is a controlled experiment on which folklore survives.

{
  "name": "Bollinger Band Breakout",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "bb_pband",
            "period": 20,
            "op": ">",
            "value": 1
          }
        ],
        "short": [
          {
            "indicator": "bb_pband",
            "period": 20,
            "op": "<",
            "value": 0
          }
        ]
      },
      "exit": {
        "trail_atr": 2.5,
        "time_exit_bars": 100
      }
    }
  ]
}