Bollinger Band Squeeze and Breakout
NO EDGEBands placed around a moving average scale price dispersion by recent volatility. A contraction in band width can flag a low-volatility regime before a directional move, but the bands alone do not determine direction.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | -0.1% | 7.8% |
| Return per unit of risk (Sharpe) | -0.11 | 0.57 |
| Worst fall (max drawdown) | -2.4% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): -0.1% a year against 12.4% for the benchmark; Sharpe 0.00 in the training years, -0.18 after.
After 25 bps of trading costs: -0.1% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 0.0% | 20.5% |
| 2000s | 0.0% | -2.6% |
| 2010s | 0.0% | 11.6% |
| 2020s | -0.2% | 14.1% |
// THE IDEA, AS PUBLISHED
John Bollinger (2001), Bollinger on Bollinger Bands · 2001
- 20-period SMA of closes with bands 2 standard deviations above and below
- Squeeze: BandWidth ((upper - lower) / middle) at its lowest in about 6 months
- Enter on a close outside a band after the squeeze, confirmed by a volume indicator; beware a first false move
- Exit on a trailing stop such as Parabolic SAR or a tag of the opposite band
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.