Bollinger Band system with logic and code

We will stay with the pound/dollar FOREX market from 2002-2008 (Datafeed = TradeStation 8) to test the system. We take a Bollinger Band system (Figure 5.4) and optimise all its main six input parameters for the entry and exit points on daily data within the training period between 30/04/2002 and 1/3/2006 (Figure 5.3). Please note that this Bollinger Band system allows a different optimisation of its input parameters concerning the long and the short side. For the upper and the lower Bollinger Band the length of the moving averages and their distance from the entry point can be varied. So you have four input parameters which you can optimise for the entries. Furthermore we insert two variable, percentage based exits, which can be optimised as well: a risk stop loss and a profit target.

Figure 5.3: British pound/US dollar, 30/04/2002-4/7/2008. The Bollinger Band trading system is optimised in six parameters within the training data range (30/04/2002-28/02/2006). Afterwards the results of this trading system are checked in the test data range (1/3/20064/7/2008).

-2.10000

-1.90000 -1.80000 1.70000 1.60000 1.50000

i-1-r-1-1-1-1-1-1-1-1-1-1-1-1-1 i-1-r i > r-| i i--

Figure 5.4A: Entry and exit logic of a Bollinger Band breakout system. Four parameters in the entry logic and two parameters in the exit logic can be optimised.

Figure 5.3: British pound/US dollar, 30/04/2002-4/7/2008. The Bollinger Band trading system is optimised in six parameters within the training data range (30/04/2002-28/02/2006). Afterwards the results of this trading system are checked in the test data range (1/3/20064/7/2008).

Figure 5.4A: Entry and exit logic of a Bollinger Band breakout system. Four parameters in the entry logic and two parameters in the exit logic can be optimised.

Bollinger Band Breakout Stop Loss

Figure 5.4B: Easy Language Code of a Bollinger Band breakout system with entry and exit logic. Four parameters in the entry logic and two parameters in the exit logic can be optimised.

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