Testing My Bollinger Band

Testing my Bollinger Band (20,2.25) in R based on the following key parameters:

  • Test security : Maybank (Malaysia)
  • Test period: 1 Jan 2011 – till 23 June 2017
  • Bollinger Band parameters: n=20 days, sd=2.25
  • Single technical indicator test (Bollinger Band [with and without transaction cost at 1.0%] vs Buy & Hold Strategy)
  • Buy signal: when closing price (Maybank) crosses above the lower band
  • Sell signal: when closing price crosses below the upper band

MBB & BB

The summary of results are shown below. It shows that the Buy & Hold strategy appears to be more superior than of the Bollinger Band crossover strategies.

Results.png

Return Graph.png

MBB appears “too choppy” to use BB as trading signal. Too much noise created.  Need further fine-tuning & testing.

DISCLAIMER: THIS IS A PERSONAL BLOG AND SHALL NOT BE RELIED IN WHATSOEVER MANNER BY ANYONE. ALL ARTICLES CONTAINED IN THIS SITE ARE STRICTLY FOR INFORMATION AND ILLUSTRATIVE PURPOSES ONLY AND DOES NOT PURPORT TO SHOW ACTUAL RESULTS. IT IS NOT, AND SHOULD NOT BE REGARDED AS INVESTMENT ADVICE OR AS A RECOMMENDATION REGARDING ANY PARTICULAR SECURITY OR COURSE OF ACTION. SOURCES USED IN THIS SITE HAVE NOT BEEN INDEPENDENTLY VERIFIED FOR ACCURACY, COMPLETENESS AND TIMELINESS. YOU SHOULD SEEK INDEPENDENT AND PROFESSIONAL INVESTMENT ADVICE IN REGARD TO YOUR INVESTMENT DECISIONS. THE AUTHOR MAY HOLD POSITIONS IN THE SECURITIES MENTIONED IN THE ARTICLES

Author: Ken Utau

Data Scientist, Markets Analyst and Food Lover

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