币安的 BNB 币：加密货币市场的强大力量以及布林线算法交易的门户

In the rapidly expanding universe of cryptocurrencies, Binance's utility token, BNB, stands out as one of the most influential and widely used digital coins. Originally launched in 2017 as a means to offer users discounts on trading fees on Binance, the global exchange platform that created it, BNB has since evolved into a cornerstone for a vast array of financial operations and decentralized applications on the BNB Chain.

With a market capitalization that consistently ranks among the top five cryptocurrencies in the world, BNB has established itself not only as a heavyweight currency but also as a barometer of the financial health of the entire crypto sector. This prominent position, in comparison to other digital currencies like Bitcoin and Ethereum that dominate the market by capitalization, puts BNB in a unique position to capitalize on market fluctuations and emerging trends in the field of cryptocurrencies.

In this article, we will explore how the distinctive characteristics of BNB can be harnessed to construct a robust algorithmic trading strategy, based on a reversal approach using Bollinger Bands.

Bollinger Bands

This technical analysis tool takes its name directly from its inventor, John Bollinger, who meticulously analyzed the behavior of prices as they moved away from or closer to their moving average. Bollinger decided to incorporate two bands, calculated as the standard deviation of the simple average of prices. The Bollinger Bands are therefore formed by three elements and are calculated through the following mathematical functions:

• Upper Band: Average price of the last N periods plus 2 standard deviations
• Median Price: Average price of the last N periods (20 is the recommended starting number)
• Lower Band: Average price of the last N periods minus 2 standard deviations

(Figure 1 illustrates the Bollinger Bands indicator on a historical price series.)

Reversal Trading Strategy (Bollinger Bands) Applied to BNB

The strategy that we will adopt is an automatic system with 'mean reverting' logic, which exploits Bollinger Bands as a market reversal point. When prices reach the upper band, we will sell, while on the lower band, we will buy.

The trading session under consideration conventionally starts at 00:00 GMT and ends at 23:59 GMT, to align with the solar day, as cryptocurrencies are quoted 24 hours a day.

Assuming an operational capital of $10,000 per trade, the trade will be closed when a profit target of $3,000 is reached, as the initial value. It is also prudent to employ a fixed stop loss from the beginning, which we assume to be $1,000. The stop loss serves as a safeguard to protect the invested capital from trades with exceptionally high losses.

Applying this strategy to the BNB/USDT pair on a 15-minute time frame, we can observe how this 'operating engine' would have performed from 2021 to the present. Data prior to 2021 is not taken into consideration because it was during this period that BNB began to establish itself among the primary cryptocurrencies in the world. This phenomenon is also attributed to the substantial overall growth of the crypto world and in particular the DeFi sector, with a significant increase in the total value locked (TVL) in various platforms based on BNB Chain. BNB has been widely adopted as the main token for transactions and governance on many platforms, leading to an increase in demand and consequently its price, rising to over 15 times its average value in 2020.

Results of the Reversal Strategy (Bollinger Bands) Applied to BNB

Figures 2, 3, and 4 depict the metrics obtained from the mean reverting strategy based on Bollinger Bands. The results are encouraging, with a steadily increasing equity line, which is undoubtedly a positive starting point.

(Figure 2: Initial equity line of the mean reverting strategy on Bollinger Bands on BNB)

(Figure 3: Initial total trade analysis of the mean reverting strategy on Bollinger Bands on BNB)

(Figure 4: Initial performance report of the mean reverting strategy on Bollinger Bands on BNB)

Upon closer examination of the results, it becomes apparent that the average trade stands at around $41, which, in comparison to the amount of a single operation ($10,000), is equivalent to 0.41%, a value that does not guarantee coverage of the operational costs.

Optimization of the Reversal Trading Strategy (Bollinger Bands) Applied to BNB

Attempting to define a different operating window could potentially lead to improved results. Therefore, we proceed with optimizing the start time of the operation and its duration (expressed in the number of 15-minute bars). The optimization results are displayed in Figure 5. Operating from 00:00 until the end of the following 60 bars, or until 15:00, the values show significant improvement: the total profit of the system rises to $222,450 with over 30% fewer operations (2,875), consequently boosting the average trade to $77.

(Figure 5: Time window optimization of the mean reverting strategy on Bollinger Bands on BNB)

While the results are certainly better, they indicate a still rough strategy, with a larger average trade, but still not very high, and a rather high drawdown compared to the net profit (Net profit/Max DD = 3.6).

To proceed further, one could try to optimize the initially hypothesized stop loss and take profit values. In fact, from a first optimization on the stop loss, it is confirmed that the value of $1,000, which is 10% of the position value, achieves impressive results. Continuing further, in Figure 6, it can be seen that by varying the take profit in steps of $500, there are intriguing and relatively stable results around $5,000-$6,000. Increasing these values improves the metrics, but not in a highly significant way, so one could choose, for example, to use $6,000.

(Figure 6: Optimization of take profit for mean reverting strategy on Bollinger Bands on BNB)

Adding Patterns to the Reversal Strategy (Bollinger Bands) Applied to BNB

Considering that the strategy still initiates many trades (about 2,800 in 4 years), there is likely still room for further refinement of the operations. To achieve this, one could utilize price patterns that can identify the most favorable conditions to execute the operations, filtering out those with a lower probability of success.

For this purpose, we will employ a proprietary list that encompasses many diverse price combinations, which will aid us in understanding in which situations BNB appears to respond better to the entry logic of this system.

(Figure 7: Optimization of the “Long No” and “Short No” patterns of the mean reverting strategy on Bollinger Bands on BNB)

By examining the various combinations of patterns, for instance, it is discovered that by inhibiting the operability when the patterns “PtnLN=19” occur for the long side and “PtnSN=11” for the short side, a satisfactory compromise is achieved between the primary reference parameters (Net profit, Average trade, Max Intraday Drawdown). With the pattern PtnLN=19, it will be averted to go long if the closing of the candle of the last session was greater than 0.5% of the closing of 2 sessions ago. With PtnSN=11 instead, it will prevent entering short simply if the previous session confirmed a downtrend in progress (marking both a lower low and a lower high).

It is remarkable how this combination of filters effectively manages to enhance the average trade ($240) and the net profit exceeds $400,000. Even the drawdown diminishes and stands at -$39,702. This is a significant improvement, also evident from the more regular shape of the equity line (Figure 8), although in the second part of 2023 it appears to have lost some momentum. Only time will validate the effectiveness of the choices made during the optimization phase.

(Figure 8: Equity line of the system with mean reverting strategy patterns on Bollinger Bands on BNB)

Conclusions on the Strategy

The reversal strategy with Bollinger Bands has demonstrated considerable promise on the BNB/USDT pair, although further refinements would be necessary to prepare it for live market operations. This particular cryptocurrency, despite its established status, is still relatively young and presents many opportunities for traders who are eager to experiment with diverse market approaches. As always, experimenting with and developing this strategy to its full potential is left to the discretion of the reader.

Until next time, happy trading!

Andrea Unger