Optimising BB distance

Quant Trading Strategies & Ideas
1

I'm wondering how would you optimize the upper and lower standard dev distance for the bollinger band mean reversion strategy?
2

Hi Jane,



Bollinger Band distance is a function of volatility. They change as per the current market phase and are also specific to the contract. So optimisation might not be the best decision. You can focus more on Bollinger phases than optimising the distance. You can also refer to this blog to learn more about some trading strategies based on Bollinger Bands.



Hope this helps!



Thanks,

Akshay

3

Every asset if trading mean reversion would have an optimum distance from the mean. This could be 1/2 stddev or 1 stddev. Would you consider correlation analysis?

4

Hi Jane,



As I stated above, Bollinger band distance is a function of volatility. Can you elaborate a bit more about the variables you want to consider while doing correlation analysis?



Thanks,

Akshay