Strategy Report: Bollinger band strategy

| Strategy Description

The purpose of this strategy is to use the Bollinger Bands to generate trading signals designed to capture powerful breakout price moves and to capitalize on the resulting trends from these breakouts. Strategy developed Australian trader Nick Radge. The strategy is traded on the top 10 markets in the Russell 1000 index by market cap that meet a profit factor > 2 over the last 5 and 10 years rebalance yearly.

Key StatisticsBacktestLiveBacktestLive
Runtime Days3606{{$KPI-DAYS-LIVE}} Drawdown13.9%{{$KPI-LIVE-DRAWDOWN}}
Turnover1%{{$KPI-LIVE-TURNOVER}} Probabilistic SR12%{{$KPI-LIVE-PSR}}
CAGR8.6%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.5{{$KPI-LIVE-SHARPE}}
Capacity (USD)470M Sortino Ratio0.5{{$KPI-LIVE-SORTINO}}
Trades per Day0.0{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio-0.2{{$KPI-LIVE-INFORMATION-RATIO}}
Monthly Returns
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Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Bollinger band strategy
Daily Returns
Rolling Portfolio Beta
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Long-Short Exposure
Strategy Report Summary: Bollinger band strategy
Market Sell-Off 2015
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Bollinger band strategy
Parameters
symbols NFLX