Bollinger / Keltner Bands

What It Does

Bollinger / Keltner Bands runs on a single contract at daily bars. On every session close it computes a volatility envelope around price (either a Bollinger Band over closes or a Keltner Channel over highs, lows, and closes) and acts on where the close finished relative to the bands.

The mode parameter picks one of four behaviors:

• bb_fade: close at or below the Bollinger lower band enters long, close at or above the upper band enters short. Exit when close crosses back through the middle SMA.
• bb_break: close crosses up through the Bollinger upper band enters long, close crosses down through the lower band enters short. Exit when close crosses back through the middle SMA.
• kc_fade: same as bb_fade, on the Keltner Channel. Middle is the EMA.
• kc_break: same as bb_break, on the Keltner Channel.

Fade and break are deliberately opposite reactions to the same trigger. Fade treats a band touch as a stretched move that will revert. Break treats a clean cross through the band as a regime shift worth riding. The strategy never combines them; one mode is in effect for an entire run.

Exits are symmetric across all four modes: the position closes when price crosses back through the middle band (SMA for Bollinger modes, EMA for Keltner modes). There are no stops, no targets, no time-based exits. Once a position is open, no new entries fire until it closes.

Why It Works (Sometimes)

Volatility bands are a forty-year-old idea, and the disagreement between fade traders and break traders is older than the indicators. Both are right in the right regime.

In range-bound markets, price oscillating across two standard deviations from a moving average reverts more often than it continues. Fade wins, break loses. In trending or expansion regimes, a clean close beyond the bands more often marks the start of a multi-bar push than the peak of a reversion. Break wins, fade loses.

Neither mode adapts on its own. The presets here are starting points; before relying on any of them, run them through the regime that matches what you actually trade. A Bollinger fade that prints beautiful equity in a chop year can give it all back in a trend year, and the reverse is just as true for the break setup.

Presets

Six presets ship out of the box:

• BB Fade 20/2 Both: the textbook setup. Classic 20-period Bollinger Band with 2.0 standard deviations, fade both sides.
• BB Break 20/2 Both: same band, opposite stance. Trade the close-through cross rather than fade it.
• KC Fade 20/2 Both and KC Break 20/2 Both: the Keltner siblings of the two Bollinger presets. ATR-scaled bands expand and contract more smoothly than standard-deviation bands, which changes how often and how cleanly the triggers fire.
• BB Fade Long Only: the textbook fade with shorts disabled. Equity-index futures have historically punished mean-revert shorts; this preset avoids that side.
• Tight BB 20/1.5 Fade: a narrower Bollinger fade that fires more often on smaller moves. Earlier in on a reversion, more exposed to whipsaws when price keeps going.

Use the form to set your own mode, periods, multipliers, and side. The presets are starting points, not endpoints.

Best In

• Markets with clear regime shifts between range and trend. Equity-index futures (NQ, ES) and metals (GC) all show enough regime variation to make the fade-vs-break comparison interesting on the same instrument.
• Daily-timeframe research. Bollinger and Keltner both behave more cleanly on session bars than on intraday data, and the middle-band exit reads naturally as “price returned to fair value”.
• Studies that want a clean band-based baseline before adding regime filters, volatility filters, or position-size rules.

Where It Struggles

• Persistent one-way trends. The fade modes will sell strength all the way up a bull market and buy weakness all the way down a bear market. The break modes do the right thing here, but break is a different strategy with a different equity curve.
• Choppy ranges. The break modes false-fire on every brief excursion through the band and exit on the next reversion through the middle, bleeding small losses.
• Volatility regime changes. A market that expands from a long calm period blows through the bands in either direction with no warning; whichever mode was wrong takes outsized losses before the middle-band exit triggers.
• Persistent skew. The two-sided presets assume both directions pay symmetrically over the test window. In a commodity in structural backwardation, or an index in a sustained drift, one side does most of the work and the other side bleeds.

Possible Uses

• A control strategy for any other band-based idea. A more sophisticated band setup that does not beat the bare fade or break is probably not earning its complexity.
• A regime probe. Running BB Fade and BB Break with the same parameters on the same data and comparing equity curves is a direct read on whether the test window favored reversion or continuation.
• A starting point for layered work. Either mode can be combined with a trend filter, a volatility filter, or a session filter to test whether the basic edge survives the additions.

What It Does Not Do

• No stops, no targets, no time exit. The middle-band cross is the only exit path. If price never crosses back through the middle, the position is held until the strategy is shut down.
• No re-entry while in position. Once long, additional band touches or breaks are ignored until the position closes.
• No mixing of modes. A single run is purely fade or purely break, purely Bollinger or purely Keltner. The four modes are alternatives, not layers.
• No volatility-scaled position sizing. Contracts per trade is a fixed integer.
• No awareness of session or calendar boundaries beyond the daily-bar close. The same rule fires on Monday after a long weekend as on a midweek close.