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Bollinger Bands Trading Strategy Based on Wavelet Analysis

Author

Listed:
  • Shaozhen Chen
  • Bangqian Zhang
  • GengJian Zhou
  • Qiaoxu Qin

Abstract

With the popularization of the concept of quantitative investment and the introduction of stock index futures in China, the research on the quantitative trading strategies of stock index futures is emerging gradually. This paper takes the CSI 300 stock index futures as the research object and sets up the Bollinger Bands trading strategy to test it, while considering the factors such as returns, retracement and income risk ratio, etc. Furthermore, the paper uses the wavelet noise reduction to process the data of price and the Bollinger Bands trading strategy to test the processed data. Compared with the results of the first test, the Bollinger Band trading strategy based on wavelet analysis has greater returns, less risk and better applicability.

Suggested Citation

  • Shaozhen Chen & Bangqian Zhang & GengJian Zhou & Qiaoxu Qin, 2018. "Bollinger Bands Trading Strategy Based on Wavelet Analysis," Applied Economics and Finance, Redfame publishing, vol. 5(3), pages 49-58, May.
    • Handle: RePEc:rfa:aefjnl:v:5:y:2018:i:3:p:49-58
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    Citations

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    Cited by:

    1. Hsien-Ming Chou & Tsai-Lun Cho, 2020. "Effects of Slope Coefficients and Bollinger Bands on Short-term Investment," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(2), pages 1-7.
    2. Hsien-Ming Chou, 2024. "Analyzing the Impact of COVID-19 on Short-Term Investment Behavior through Stochastic Oscillator Indicators," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 14(5), pages 1-6.
    3. Hsien-Ming Chou, 2023. "Using Bull and Bear Index of Deep Learning to Improve the Indicator Model on Extremely Short-term Futures Trading," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 13(6), pages 1-6.

    More about this item

    Keywords

    Bollinger Bands trading strategy; wavelet analysis;

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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