Bollinger Band Width Calculation with Neural Network

Related: bollinger bands ®-based expert advisor - another powerful expert for MetaTrader 5 traders.

I have developed a Bollinger Band Width Expert Advisor, utilizing a neural network approach as part of my studies. The test results are as follows:

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- Initial deposit: 10,000
- Gross profit: 36,000
- Time span: 3.5 months

Bollinger Band Width is a band formation in technical analysis. In his book, 'Bollinger on Bollinger Bands', John Bollinger introduces Bollinger Band Width as one of two indicators derived from Bollinger Bands, the other being %b.

Bandwidth measures the percentage difference between the upper and lower bands. As the bands narrow, bandwidth decreases, and as they widen, it increases. Since Bollinger Bands are based on standard deviation, falling bandwidth indicates decreasing volatility, while rising bandwidth suggests increasing volatility.

Here are some important patterns to consider:

- Narrowness: Narrow bandwidth is relative and should be assessed relative to prior values over time. A sufficient look-back period is crucial to define the bandwidth range for a specific symbol.

- The Squeeze: Bollinger Bandwidth is renowned for identifying the squeeze, which occurs when volatility drops significantly, causing the bands to narrow. This is based on the standard deviation, a volatility measure. The theory suggests that low volatility periods are followed by high volatility ones. A narrow bandwidth, or squeeze, can precede a substantial advance or decline. After a squeeze, a price surge and band break signal the beginning of a new move. An upward break above the upper band indicates a new advance, while a downward break below the lower band signals a new decline.

The width calculation used the classical method: (BBUpperBand - BBLowerBand) / BBMidleBand

Formula:
inputs[i*2]=(((iBands_UpperBuf[i] - iBands_LowerBuf[i]) / iBands_BaseBuf[i]) - (x_min+x_minn) * (d2-d1)) / ((x_maxx+x_max) - (x_min+x_minn)) + d1;

The expert advisor's test results are promising, with a test period from 2022.01.01 to 2022.04.13. The balance and complete test results are available in the attached zip file.

Recommendations:

- This expert advisor is not recommended for use in real accounts.

- Consider incorporating volume indicators like CCI or MFI into the code for enhanced performance.

Thank you for your interest.

You may also like: XMA Range Bands - excellent alternative for expert users on MetaTrader 5.

#property copyright "robotfx"
#property link "https://robotfx.org"
#property version   "1.00"
input int      stoploss=30;      // stop loss
input int      takeprofit=100;   // take profit
input int      ea_magic=12345;   // ea magic number
input double   lot=1.0;          // lots to trade
input double w0=0.8;
input double w1=0.4;
input double w2=-0.9;

.......

• This tool is provided for educational and testing purposes only.
• Past performance does not guarantee future results.
• Trading involves substantial risk of loss. Use on a demo account first.
• Results may vary depending on market conditions, broker, and settings.
• We recommend thorough backtesting and forward testing before using with real funds.