TL;DR Summary

• What It Is: Casey Bands is a custom indicator that hugs price more closely than Bollinger Bands or Keltner Channels.

• Key Insight: Despite similar appearances, each band type produces a distinct equity curve using the same market and logic.

• Result: A simple long-only mean reversion strategy with Casey Bands performs differently from traditional bands.

• Evidence: Optimization tests show Casey Bands yield a wider profitable zone.

• Hack: You can combine band-based strategies to smooth portfolio performance and reduce drawdowns.

Introduction: Meet Casey Bands ,  Not Your Average Price Channel

Still stacking indicators without testing how they behave?

You’ve probably used Bollinger Bands, maybe even Keltner Channels. But have you ever tested how they impact your results? Today, you’ll discover Casey Bands ,  a custom indicator that looks familiar, but behaves very differently. Even when using the exact same strategy logic and market, it creates a unique performance profile.

🎥 Watch the full breakdown here

Let’s break it all down.

The Inspiration: Bollinger Bands, Keltner Channels… and Then Casey Bands

All three indicators create price channels, but they build those channels differently:

• Bollinger Bands: Use a moving average of the close plus/minus a multiple standard deviation.

• Keltner Channels: Use a moving average of the close plus/minus a multiple of Average True Range (ATR).

• Casey Bands: Use the average of the highs for the upper band and the lows for the lower band, then add/subtract a multiple of ATR.

This shift, from close to highs/lows, changes how the channel reacts to price swings.

What Makes Casey Bands Unique

Unlike the other two, Casey Bands hug price more tightly during both up and down moves. They adapt more naturally to volatility without overshooting.

• During volatility spikes, Bollinger Bands often shoot wide on one side.

• Keltner Channels let prices wander outside the bands.

• Casey Bands stay tighter and closer to price, adapting to both upward and downward pushes.

This isn’t just cosmetic, it matters when building strategies.

Learn why robustness testing is the real edge

Visual Comparison on S&P 500: 3 Indicators, Same Logic

Here’s what it looks like on a daily chart of the S&P 500:

• Blue = Bollinger Bands (20 period, 2 Std Dev)

• Orange = Keltner Channels (20 period, 1.5 ATR)

• Green/Red = Casey Bands (6 period, 1.25 ATR)

  
  

Visual comparison of Casey Bands, Bollinger Bands, and Keltner Channels on S&P 500 daily chart

The Strategy Logic (Simple Entry/Exit)

We applied the same logic to all three bands:

🧠 Strategy Logic Summary:

• Entry: Close below lower band → go long 

• Exit: Close above upper band → exit trade 

• Market: S&P 500 Futures 

• Timeframe: Daily bars 

• Duration: 18.5 years of data

No filters. No stops. Just pure price interaction with each band type. All tests were on S&P 500 futures, daily bars, 18.5 years of data.

3D Optimization: Same Market, Different Profiles

We optimized:

• The moving average length

• The ATR (or Std Dev) multiplier

Each indicator was tested across the same 840 combinations.

🧠 Despite the same market and logic, each indicator produced a completely different profit surface.

• Bollinger Bands: Best zone between MA 10–30 and STD 1.5–3.0

• Keltner Channels: Narrower profitable zones

• Casey Bands: Broadest band of high profitability, especially MA 5–30 and ATR 1.25–3.5

3D profit surface showing optimal parameter zones for Casey Bands strategy on S&P 500 futures

Casey Bands show a wider plateau of profitability, reducing risk of overfitting compared to Bollinger and Keltner variants.

3D profit surface showing optimal parameter zones for the Bollinger Bands strategy on S&P 500 futures

Bollinger bands still show big zone of profitability but not as wide as the Casey Bands

3D profit surface showing optimal parameter zones for Keltner Channels Bands strategy on S&P 500 futures

Keltner Channel shows the least number of profitable combinations.

Which Performs Best? The Surprising Answer

While no indicator is universally best, Casey Bands produced the widest zone of profitable configurations. That means:

• Easier to optimize

• More robust across settings

• Higher chance of finding stable strategies

This gives traders more room to build without overfitting.

Sample Results: Comparing Strategy Metrics

We selected three high-performing configurations (one per indicator):

• Casey Bands: Losing years = 2008, 2009, 2022

• Keltner Channel: Losing years = 2010, 2018

• Bollinger Bands: Losing years = 2014, 2018

While they perform very closely, but each strategy produce different results (no strategy filters used),  even though they used the same rules and market timeframe.

Summary of strategy metrics and performance results across different band types

Even with similar logic, each band creates unique strategy behavior, proving small changes in indicator math have big performance impacts.

Portfolio Power: Combining Band Strategies

Here’s the trick: different indicators fail in different years.

So rather than pick one “best” band, you can:

• Build a Casey Band strategy

• Build a Keltner strategy

• Build a Bollinger strategy

• Combine them into a portfolio

✅ This smooths the equity curve and reduces overall drawdowns.

How to Start Testing Casey Bands Yourself

Ready to try it?

• Use Close cross below lower band or cross above upper band for entry/exit

• Use Close% for more accurate entry/exit

• Use channel width as a filter for strategy entry/exit

"Casey Bands isn’t better — it’s different. And sometimes, that’s the edge." - Ali Casey, StatOasis

Real Talk: Casey Bands Isn’t “Better”, It’s Different

It’s tempting to crown a winner. But the real edge is in how you use tools.

• Different tools = different results

• Slight changes in logic = entirely new strategy profiles

• Diversity of logic = smoother portfolio performance

I first created Casey Bands after watching price constantly whip through my Keltner strategies during 2022’s wild swings. I wanted something that hugged price but adapted better, and this formula was born.

FAQs: Casey Bands Strategy

Q: What’s the default setting for Casey Bands?
A: Average length 6, ATR Multiplier 1.25

Q: Can I use this on other markets?
A: Yes, but test the parameters first. Results vary.

Q: Is this just for mean reversion?
A: No,  you can reverse the logic for breakout strategies.

Q: How do I code this?
A: Full code and strategy example for free in the community

Q: What’s the difference between Casey Bands and Bollinger Bands?
Casey Bands use highs and lows with ATR instead of closes with standard deviation, resulting in a tighter, more adaptive channel.

Q: Can Casey Bands be used intraday?
Yes, but like any volatility-based band, you'll need to retune the settings for shorter timeframes.

Q: Do Casey Bands work during high-volatility markets?
Yes — they were specifically designed to adapt better than traditional bands without overshooting.

Q: Can I combine Casey Bands with RSI or other indicators?
Yes. Many traders use them alongside RSI, C% Oscillators, or trend filters for stronger signals.

Q: Are Casey Bands repainting?
No. They are based on historical price data (highs/lows + ATR), and they do not change after the bar closes.

Q: What platform is Casey Bands available on?
The code is available for many platforms. Check the download section inside the community: https://go.statoasis.com/community

Conclusion: The Power of Subtle Innovation

This isn’t about finding the best band.

It’s about understanding how changing your perspective on price channels can open up new edges.

Casey Bands isn’t magic,  but it’s different. And sometimes, that’s all you need to stand apart.

🚀 Want to build strategies like this from scratch? Join the Algo Trading Masterclass and learn my full workflow for robust strategy development.