%b System #1

Bollinger %b is a single line whose value is determined by where the closing price is in relation to the upper and lower Bollinger lines.

When the close is exactly at the lower line, %b equals 0. Below the lower line, %b is negative. When the close is exactly at the upper line, %b equals 1. When it's exactly in the middle, %b equals 0.5. And so on.

It's very rare for %b to be lower than -0.3, or higher than 1.3.

The way Bollinger Bands are constructed, the price moves from the lower band, to the upper band, and back to the lower band. The problem is that the Bands aren't static. Just because the price moved from the lower band to the upper band, it doesn't necessarily mean that the price is rising - the upper band might have come down to meet the falling (or stagnating) price.

Anyway, here's a system which attempts to use this knowledge. In very rough testing, we used 5-Minute bars, 720 for the Bollinger period, which is kind of big, and the normal 2 standard deviations above and below.
 

 
We know that the price oscillates between one of the outer Bollinger lines and the other. So when the price falls down near the bottom one, we set a trap waiting for it to start heading back to the top one. When the price does start rising again, the limit order is taken up, and a trailing stop loss is kept at 0.3% below the close.

That's setting the stop loss pretty close to the price, but we were using 5-Minute bars which don't need as much wiggle room as Daily bars would.

Similarly, when the price rises up near the upper Bollinger line, we set our trap this time waiting for it to come down.