First Bollinger Midline Reject
🎯 Objective
Trade the first rejection of the Bollinger midline immediately after a regime flip (i.e., after the first full cross or band-to-band move).
This setup captures early momentum continuation following volatility re-expansion — the “first kiss goodbye.”
🧭 Context
- Timeframe: 5m or 15m (short-term execution; align with 1h VWAP bias).
- Market Condition: Transition zone between regimes — prior Bollinger expansion has ended, and the new direction is emerging.
- Core Idea: The first test of the midline often confirms whether the new trend is legitimate or just a fake reversal.
⚙️ Key Inputs & Metrics
| Metric | Definition | Why It Matters |
|---|---|---|
candles_to_regime_end | # bars from last full midline cross → final band extreme | Maturity of old trend; longer = exhaustion = stronger new regime |
candles_extreme_to_midline | # bars from last extreme to current midline re-test | Measures pullback tempo; faster = sharper reversion |
prior_regime_type | Up / Down / Range | Sets bias for breakout vs continuation probability |
vwap_distance_pct | % distance between midline test and higher-TF VWAP | Identifies macro alignment |
vwap_delta | Change in distance vs prior candle | Shows convergence/divergence to VWAP |
rejection_strength | Wick / body ratio of reject candle | Gauges conviction |
volume_ratio | Current candle vol ÷ avg(vol, 20) | Confirms participation |
✅ Setup Checklist
- Prior Bollinger regime is complete (full cross or multi-band run).
- Midline first test since flip — no touches between regime cross and this point.
- Rejection candle: long wick into midline, close beyond it in the new regime’s direction.
- Higher-TF VWAP agrees or diverging further in trend direction.
- Volume expanding on rejection candle.
📈 Execution Logic
- Mark the previous regime: identify last Bollinger expansion and note start/end timestamps.
- Count candles:
- From last regime end → new midline test.
- Note speed (impulsive vs. gradual).
- Confirm rejection:
- Price touches midline and closes back in the new direction.
- Volume ≥ 1.5× 20-bar average.
- Enter: Market or stop entry beyond rejection candle close.
- Stop:
- Just past wick of rejection candle or slightly through midline.
- TPs:
- TP1: retest of band extreme.
- TP2: 1× prior midline-to-band distance.
- Trail remainder if volatility expands.
🧮 Suggested Parameters
| Param | Default | Notes |
|---|---|---|
| BB Length / Std | 20 / 2.0 | Standard |
| VWAP | 1h reference | Macro alignment |
| Volume Threshold | 1.5× | Relative confirmation |
| Stop Width | 0.3–0.6 % | Past midline |
| TP Ladder | +0.8 % / +1.4 % / trail | Adjust for volatility |
| Max Hold Time | ≤ 4h | Weak follow-through = exit |
🔄 VWAP Confluence Framework
| VWAP Relationship | Interpretation | Action |
|---|---|---|
| Below midline & diverging lower | Bearish continuation | Short bias confirmed |
| Below midline & converging | Mean-reversion warning | Reduce size |
| Above midline & diverging higher | Bullish continuation | Long bias confirmed |
| Above midline & converging | Possible exhaustion | Tighten stops |
🧠 Psychology of the Setup
- The first midline re-test is a decision point for participants of the previous regime.
- Fresh traders fade it; trapped ones exit. That order flow creates a sharp rejection.
- You’re trading into that confirmation wave, not the initial guess.
🧩 Observation Log
| Date | Symbol | TF | Prior Regime | Candles (Extreme→Mid) | VWAP Dist | Outcome | Notes |
|---|---|---|---|---|---|---|---|
🧠 Post-Trade Review Prompts
- Did the rejection candle confirm with volume?
- How many bars between midline touch and target?
- Was VWAP alignment clean or mixed?
- If stopped out — did rejection fail or was regime not fully flipped yet?
- Should next attempt require a close beyond midline rather than wick touch?
🔄 Iteration Hooks
- Backtest average profit factor vs. candles_extreme_to_midline.
- Analyze frequency of false rejects when prior regime length < 20 bars.
- Record VWAP divergence at entry to correlate with win rate.
Rule of thumb: The fewer bars between extreme → midline, the more momentum left in the new direction; slow pullbacks usually revert to midline mean before true continuation.