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Bollinger Bands Mean Reversion

Buy at lower band, sell at upper band - fade extremes with RSI confirmation.

Strategy Overview​

  • Type: Mean Reversion
  • Indicators: Bollinger Bands (20, 2.0), RSI (14)
  • Risk Level: Medium
  • Assets: Single asset (BTC)
  • Pattern: Start/run with ticker

Complete Code​

package main

import (
	"context"
	"time"
	"github.com/wisp-trading/sdk/pkg/types/connector"
	"github.com/wisp-trading/sdk/pkg/types/wisp"
	"github.com/wisp-trading/sdk/pkg/types/strategy"
	"github.com/shopspring/decimal"
)

type BollingerMeanReversion struct {
	w          wisp.Wisp
	name       strategy.StrategyName
	signalChan chan strategy.Signal
	stopChan   chan struct{}
}

func NewBollingerMR(w wisp.Wisp) *BollingerMeanReversion {
	return &BollingerMeanReversion{
		w:          w,
		name:       strategy.Momentum,
		signalChan: make(chan strategy.Signal, 10),
		stopChan:   make(chan struct{}),
	}
}

// Start launches the strategy's execution goroutine
func (s *BollingerMeanReversion) Start(ctx context.Context) error {
	go s.run(ctx)
	return nil
}

// run manages the internal execution loop
func (s *BollingerMeanReversion) run(ctx context.Context) {
	ticker := time.NewTicker(1 * time.Hour)
	defer ticker.Stop()

	btc := s.w.Asset("BTC")
	usdt := s.w.Asset("USDT")
	pair := s.w.Pair(btc, usdt)

	// Watch the pair on our exchange
	s.w.Spot().WatchPair(connector.Binance, pair)

	for {
		select {
		case <-s.stopChan:
			return
		case <-ctx.Done():
			return
		case <-ticker.C:
			// Analyze market and emit signals
			bb := s.w.Indicators().BollingerBands(pair, 20, 2.0)
			price := s.w.Spot().Price(pair)
			rsi := s.w.Indicators().RSI(pair, 14)

			// Buy at lower band with RSI confirmation
			if price.LessThan(bb.Lower) && rsi.LessThan(decimal.NewFromInt(35)) {
				signal := s.w.Spot().Signal(s.name).
					BuyMarket(pair, connector.Binance, decimal.NewFromFloat(0.1)).
					Build()
				s.w.Emit(signal)
				s.w.Log().Opportunity(string(s.name), "BTC",
					"Mean reversion from lower band: Price=%.2f, BB.Lower=%.2f, Target=%.2f",
					price, bb.Lower, bb.Middle)
			}

			// Sell at upper band with RSI confirmation
			if price.GreaterThan(bb.Upper) && rsi.GreaterThan(decimal.NewFromInt(65)) {
				signal := s.w.Spot().Signal(s.name).
					SellMarket(pair, connector.Binance, decimal.NewFromFloat(0.1)).
					Build()
				s.w.Emit(signal)
				s.w.Log().Opportunity(string(s.name), "BTC",
					"Mean reversion from upper band: Price=%.2f, BB.Upper=%.2f, Target=%.2f",
					price, bb.Upper, bb.Middle)
			}
		}
	}
}

func (s *BollingerMeanReversion) Stop(ctx context.Context) error {
	close(s.stopChan)
	return nil
}

func (s *BollingerMeanReversion) GetName() strategy.StrategyName { return s.name }
func (s *BollingerMeanReversion) Signals() <-chan strategy.Signal { return s.signalChan }
func (s *BollingerMeanReversion) LatestStatus() strategy.StrategyStatus { return strategy.StrategyStatus{} }
func (s *BollingerMeanReversion) StatusLog() []strategy.StrategyStatus { return []strategy.StrategyStatus{} }

How It Works​

  1. Start(): Launches the run goroutine
  2. run(): Watches BTC/USDT on Binance, ticks every hour
  3. Lower Band: When price < BB.Lower and RSI < 35, emit buy signal
  4. Upper Band: When price > BB.Upper and RSI > 65, emit sell signal
  5. Mean Reversion: Assumes price reverts to middle band after extremes

Key Concepts​

  • Bollinger Bands: Measure volatility and identify extremes
  • Mean Reversion: Assumes price returns to average
  • RSI Confirmation: Filters false signals on band touches
  • Target Middle: Take profit at the middle band
  • Event-driven: Signals pushed asynchronously via wisp.Emit()

Backtesting​

Run with:

wisp backtest

Expected characteristics:

  • Moderate trade frequency
  • Works best in ranging markets
  • Struggles in strong trends
  • Quick wins, defined exits

Improvements​

Consider adding:

  • Trend filter (avoid counter-trend trades)
  • Band squeeze detection (potential breakouts)
  • Dynamic take profit (not always middle)
  • Stop loss at opposite band
  • RSI - Similar momentum confirmation
  • MA Crossover - Opposite (trend following)