Tickfloor

Bollinger Band Breakout: does it work?

None of these versions passed. Sample: 695 completed trades over 2017-08-18 to 2025-03-14 (7.6 years).

Instead of fading the band, some traders buy when price closes outside the upper Bollinger Band and ride the move. It is the opposite of the band-bounce rule.

The rule we tested. Go long when the close is above the 20-day SMA plus two standard deviations and exit when it closes back below the 20-day SMA, on daily bars across 18 crypto pairs.

See a full worked example of one of these reads (free, no account)

Receipt: parameters, data, window and result file
Run id
t1010-bbbreak-c, run 2026-10-10
Frozen parameters
timeframe 1d; n=20, k=2
Data source
vendor not recorded in the result file; data fingerprint sha256 abf11f4667485ccf...
Instruments and coverage
18 assets: BTCUSDT, BNBUSDT, XRPUSDT, ADAUSDT, DOGEUSDT, LTCUSDT, LINKUSDT, TRXUSDT, BCHUSDT, ATOMUSDT, ETCUSDT, DASHUSDT and 6 more (full list in the result file)
Date window
2017-08-18 to 2025-03-14 (discovery cutoff 2025-03-15)
Sample
695 completed trades over 2017-08-18 to 2025-03-14 (7.6 years)
Cost rule
0.10% to 0.17% per side; charged on every change in position; benchmark pays none; no funding/borrow on shorts
Fill rule
not recorded
Benchmark
equal-weight long of the same assets, rebalanced daily across assets trading that day (no costs)
Rule source (public)
not published yet
Run record (public)
research/hunt2/ledger.jsonl, line with id t1010-bbbreak-c
Full result file
not published yet

None of these versions passed. crypto pairs +9.3 pts/yr vs the benchmark (unadjusted p=0.406, BH-adjusted q=1.000). None cleared our Benjamini-Hochberg q<0.10 bar once counted alongside every other rule we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

Failed: only the tested version above. Not tested: Other band widths and lookbacks; stocks; a short side on lower-band breaks. A result for the tested version says nothing about these.

This is one line in a bigger check. The research desk has run 694 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for how many we tried (Benjamini-Hochberg, 777 tests), 0 passed. That does not prove no strategy works, and it says nothing about versions we did not test. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.

Short answers: the verdict and the rule, as questions

Does a Bollinger Band breakout strategy work?

None of these versions passed. crypto pairs +9.3 pts/yr vs the benchmark (unadjusted p=0.406, BH-adjusted q=1.000). None cleared our Benjamini-Hochberg q<0.10 bar once counted alongside every other rule we tested. That covers the versions, costs and benchmark described here, not every version of the rule. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.

What exact rule did Tickfloor test?

Go long when the close is above the 20-day SMA plus two standard deviations and exit when it closes back below the 20-day SMA, on daily bars across 18 crypto pairs.

Is this financial advice?

No. This measures a publicly claimed strategy rule, not a recommendation. General information only, not personal advice.

See the full numbers on the Tests 1010 family page, or the full method and every result.

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Other rules we've tested

All the rules we tested