Improvement and Empirical Validation of Bollingers Bands Trading Rule

摘要：

To improve the efficiency of Bollingers Bands, we reform the technique by replacing moving average by exponential average and we have generated a new Bollingers Band trading rule on the base of the traditional Bollingers Bands trading rule, and examined the profitability of the new one and the traditional one by employing the historical data of stock index in United States, United Kingdom, Hong Kong, Germany and Japan. The result indicates that the new trading rule performs more profitable than the traditional one.

关键词： bollingers band improvement empirical validation stock market

作者: Wang Yihang

作者单位: Department of Economics, Chinese University of Hong Kong, Hong Kong, China

会议类型: 国际会议

会议名称: 2010 International Conference on Management Science and Safety Engineering(2010管理科学与安全工程国际会议 MSSE 2010)

会议地点: 烟台

会议语种:英文

页码: 494-497

在线出版日期: 2010-08-06（万方平台首次上网日期，不代表论文的发表时间）