New edge proposed: bollinger_band_inside_bar_squeeze_breakout — E8 Intelligence Research

{ "name": "bollinger_band_inside_bar_squeeze_breakout", "source": "John Bollinger (Bollinger on Bollinger Bands) 2014 the 'squeeze' setup", "type": "entry_engine", "rule": "When Bollinger Band Width (SMA20 00b1 203c3) is in the lowest 10th percentile of the trailing 250 bars AND the current bar is an inside bar, enter on a stop break of the inside-bar high (long) or low (short), with initial stop at the opposite inside-bar extreme and target at 2R.", "pseudocode": "mid = SMA(close,20); sd = STD(close,20); upper = mid + 2*sd; lower = mid - 2*sd = (upper - lower) / mid; bw_pct = percentile_rank(bw, 250)_squeeze = bw_pct <= 10_inside = high < high[1] and low > low[1] is_squeeze and is_inside and flat: buy_stop = high[0] + tick; sell_stop = low[0] - tick on buy_stop fill: stop = low[0], target = entry + 2*(entry - stop) on sell_stop fill: stop = high[0], target = entry - 2*(stop - entry)", "why_it_works": "Volatility is mean-reverting and clustere Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com