Universal Bollinger: Breakout or Re-entry Depending on Trend

// ============================================================
// Universal Bollinger
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: 10 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
bandPeriod = 42           // length of the exponential bands
bandWidth = 1.618         // band distance in standard deviations
seedPeriod = 3            // SMA used to seed the bands on the first bars
trendPeriod = 100         // SMA trend filter length
rsiPeriod = 2             // RSI length
atrPeriod = 2             // ATR length for the exit
breakoutRsiLong = 70      // RSI above this confirms an upside band break
breakoutRsiShort = 40     // RSI below this confirms a downside band break
reentryRsiLevel = 50      // RSI side needed when price falls back inside a band
longExitRsi = 5           // long exit needs RSI below this
shortExitRsi = 95         // short exit needs RSI above this

// --- Indicators ---
// Bands built on log price with exponentially weighted mean and variance.
logPrice = LOG(CustomClose)
smoothing = 2 / (bandPeriod + 1)

IF BarIndex < bandPeriod THEN
  logMean = Average[seedPeriod](logPrice)
ELSE
  logMean = smoothing * logPrice + (1 - smoothing) * logMean
ENDIF

logError = logPrice - logMean
squaredError = SQUARE(logError)
IF BarIndex < bandPeriod + 1 THEN
  logVariance = squaredError
ELSE
  logVariance = smoothing * squaredError + (1 - smoothing) * logVariance
ENDIF
logStdDev = SQRT(logVariance)

upperBand = EXP(logMean + (bandWidth * logStdDev))
lowerBand = EXP(logMean - (bandWidth * logStdDev))

trendMA = Average[trendPeriod](close)
rsiValue = RSI[rsiPeriod](close)
atrValue = AverageTrueRange[atrPeriod](close)