Volatility breakout

Bollinger Squeeze

When a stock's Bollinger Bands squeeze to their narrowest in months, it is coiling; a close above the upper band often starts a strong move. John Bollinger calls the squeeze the bands' most useful signal.

Yearly return, after costs+8.6%Nifty 500 +11.5% over the same years

Worst fall−51.1%Win rate35%Matches now4

How it works

The signal every rule true at the close

Band width was in its lowest 20% of the past 6 months within the last 5 days (a squeeze)
Close breaks above the upper Bollinger Band (20, 2)
Volume at least 1.2 times the 20-day average, above the 200-day average

The exit whichever comes first

Closes below the middle band (20-day average)
Or closes 2 ATR below the price the trade opened at

Typical holdingAbout 1 to 4 weeks

An example from the backtestUrban Company URBANCOThe rules were met at the close before 4 Aug 2026. The trade opened that morning and closed on 16 Sep 2026, 30 trading days later, +7.6% after costs. Exit: closed below the middle band.

Stocks meeting the rules 4

At the close of 1 Oct 2026, among NSE's 500 most-traded stocks. A screen, not a recommendation: in the backtest, a trade opened at the next day's open.

Backtest

1 Jan 2016 to 1 Oct 2026: a 10-stock portfolio following these rules on NSE's 500 most-traded stocks at each date, after 0.2% costs on each side, against the Nifty 500 index.

Yearly return+8.6%Index +11.5%

Compound growth a year (CAGR).

Total return+142%Index +224%

Gain or loss over the whole test.

Worst fall−51.1%Index −38.3%

Largest drop from a high (max drawdown).

Win rate35%

Share of trades that closed with a gain.

Profit factor1.24

Rupees gained for every rupee lost.

Average trade+0.94%

Average result per trade, after costs.

Average gain · loss+13.6% · −5.9%

A typical winning and losing trade.

Days held15.2

Average trading days per trade.

Trades1,585

About 147 a year.

Sharpe ratio0.51

Return for each unit of ups and downs.

Time invested91%

Average share of the money in trades.

Best · worst trade+743% · −30%

The extremes, after costs.

₹1 lakh following the rules

1 Jan 2016 to 1 Oct 2026: ₹2.42 L against ₹3.24 L in the Nifty 500.

Bollinger SqueezeNifty 500

Falls from the high

Worst in this period −51.1%

Each calendar year

Return in the year, after costs.

Bollinger SqueezeNifty 500

How the 1,585 trades ended

Each trade's return after costs, grouped.

GainLoss

How sturdy is it?

The same rules, tested again with one thing changed. A result worth trusting holds up across these; a big swing means the headline figure depends on luck or on the exact setup.

Beat the Nifty 500 in 0 of 5 versions and in 1 of 2 halves of the test.

Version	Yearly return	Worst fall	Win rate	Profit factor	Trades
As published10 stocks at a time, 0.2% costs on each side	+8.6%	−51.1%	35%	1.24	1,585
With the market filterNew trades only while the Nifty 500 is above its 200-day average	+9.6%	−44.4%	35.2%	1.3	1,300
Costs doubled0.4% on each side, as slippage in thinner stocks can be	+2.7%	−56.6%	33.6%	1.13	1,585
5 stocks at a timeA bigger share of the money in each trade	+9.6%	−58.6%	33.8%	1.33	832
20 stocks at a timeA smaller share in each trade	+10.7%	−38.8%	34.5%	1.27	2,956

First half · 1 Jan 2016 to 21 May 2021

Strategy+16.0%/yr

Nifty 500+12.8%/yr

Ahead of the index by 3.2 points a year.

Second half · 21 May 2021 to 1 Oct 2026

Strategy+1.6%/yr

Nifty 500+10.3%/yr

Behind the index by 8.7 points a year.

Recent trades in the backtest

The last 12 trades the rules closed, with 10 still open.

Stock	Opened	Closed	Days	Return	Why it closed
One Mobikwik SystemsMOBIKWIK	15 Sep 2026	30 Sep 2026	11	−8.4%	Closed below the middle band
Multi Commodity Exchange of IndiaMCX	25 Sep 2026	29 Sep 2026	2	−6.6%	Closed below the middle band
Avalon TechnologiesAVALON	21 Sep 2026	29 Sep 2026	6	−10.2%	Closed below the middle band
Onesource Specialty PharmaONESOURCE	16 Sep 2026	29 Sep 2026	9	−2.0%	Closed below the middle band
Ola Electric MobilityOLAELEC	25 Sep 2026	28 Sep 2026	1	−10.4%	Closed below the middle band
Diamond Power InfrastructureDIACABS	16 Sep 2026	28 Sep 2026	8	−8.4%	Closed below the middle band
Yes BankYESBANK	17 Sep 2026	25 Sep 2026	6	−4.0%	Closed below the middle band
Pine LabsPINELABS	16 Sep 2026	25 Sep 2026	7	−8.9%	2 ATR below the opening price
Tata Investment CorporationTATAINVEST	16 Sep 2026	25 Sep 2026	7	−7.2%	2 ATR below the opening price
Craftsman AutomationCRAFTSMAN	2 Sep 2026	17 Sep 2026	10	−3.2%	Closed below the middle band
Engineers IndiaENGINERSIN	2 Sep 2026	17 Sep 2026	10	−6.8%	Closed below the middle band
Mishra Dhatu NigamMIDHANI	9 Sep 2026	16 Sep 2026	4	−14.4%	Closed below the middle band

How the tests work

Universe. The 500 most-traded NSE stocks at each date, by six-month average traded value, re-ranked every month: 1,353 different stocks over the years, 131 of which no longer trade. Testing all of them, not only today's survivors, keeps the results honest.
Period. 1 Jan 2016 to 1 Oct 2026, after a year of history for the long averages, on NSE's own end-of-day files: prices, delivery and futures open interest.
Portfolio. 10 slots, each a tenth of the portfolio's value when a trade opens. A signal at a day's close opens at the next day's open; an exit rule met at a close closes the trade at the next open. When there are more signals than free slots, the strategy's own ranking decides.
Costs. 0.2% on each side of every trade (STT, stamp duty, exchange charges and slippage). Tax and DP charges are not included.
Market filter. Every strategy is also tested opening new trades only while the Nifty 500 closes above its 200-day average. At the last close it was below it.
Robustness. Each strategy is run again with costs doubled, with 5 and with 20 stocks at a time, and judged separately in each half of the test. A result that only holds in one setup is luck, not an edge.
Corporate actions. Splits, bonus issues and demergers are applied from NSE's corporate-actions list, and symbol changes are joined up, so none of them shows up as a gain or a loss.
What is left out. Dividends (as in the Nifty 500 price index it is measured against), taxes, and the chance that a large order moves a thinly traded price.

Swing Lab is a screen and a history lesson, not advice. RupeeVerse is not registered with SEBI as an investment adviser or research analyst. A stock meeting a strategy's rules is not a recommendation to trade it, and past results do not predict future ones. Do your own research.