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An empirical comparison of moving average envelopes and Bollinger Bands

Author

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  • Joseph Man-Joe Leung
  • Terence Tai-Leung Chong

Abstract

This paper endeavors to compare the profitability of Moving Average Envelopes and Bollinger Bands. Despite the fact that Bollinger Bands can capture sudden price fluctuations which Moving Average Envelopes cannot, our study reveals that Bollinger Bands do not outperform the Moving Average Envelopes.

Suggested Citation

  • Joseph Man-Joe Leung & Terence Tai-Leung Chong, 2003. "An empirical comparison of moving average envelopes and Bollinger Bands," Applied Economics Letters, Taylor & Francis Journals, vol. 10(6), pages 339-341.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:6:p:339-341
    DOI: 10.1080/1350485022000041032
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    Cited by:

    1. Senol Emir & Hasan Dincer & Umit Hacioglu & Serhat Yuksel, 2016. "Random Regression Forest Model using Technical Analysis Variables: An application on Turkish Banking Sector in Borsa Istanbul (BIST)," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 85-102, April.
    2. Michael McAleer & John Suen & Wing Keung Wong, 2016. "Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis," The Japanese Economic Review, Springer, vol. 67(3), pages 257-279, September.
    3. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-23.
    4. Day, Min-Yuh & Ni, Yensen, 2023. "Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?," Energy, Elsevier, vol. 272(C).
    5. Lubnau, Thorben & Todorova, Neda, 2015. "Trading on mean-reversion in energy futures markets," Energy Economics, Elsevier, vol. 51(C), pages 312-319.
    6. Ni, Yensen & Day, Min-Yuh & Huang, Paoyu & Yu, Shang-Ru, 2020. "The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    7. Wong, Wing-Keung & Du, Jun & Chong, Terence Tai-Leung, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-23.
    8. 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.
    9. Stefanescu, Răzvan & Dumitriu, Ramona, 2015. "Buy and sell signals on Bucharest Stock Exchange," MPRA Paper 89014, University Library of Munich, Germany, revised 05 Jan 2016.
    10. Pick-Soon Ling & Ruzita Abdul-Rahim, 2017. "Market Efficiency Based on Unconventional Technical Trading Strategies in Malaysian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 88-96.
    11. Ken Chung & Anthony Bellotti, 2021. "Evidence and Behaviour of Support and Resistance Levels in Financial Time Series," Papers 2101.07410, arXiv.org.
    12. Ramnarayan, Padmanabhan & Ray, Samiran & Peters, Mark J., 2018. "Development and implementation of a real time statistical control method to identify the start and end of the winter surge in demand for paediatric intensive careAuthor-Name: Pagel, Christina," European Journal of Operational Research, Elsevier, vol. 264(3), pages 847-858.
    13. Nijolė MAKNICKIENĖ & Jelena STANKEVIČIENĖ & Algirdas MAKNICKAS, 2020. "Comparison of Forex Market Forecasting Tools Based on Evolino Ensemble and Technical Analysis Indicators," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 134-148, September.
    14. Hung-Cheng Lai & Tseng-Chan Tseng & Sz-Chi Huang, 2016. "Combining value averaging and Bollinger Band for an ETF trading strategy," Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3550-3557, August.
    15. Jun Lu, 2022. "Exploring Classic Quantitative Strategies," Papers 2202.11309, arXiv.org.
    16. Lubnau, Thorben, 2014. "Spread trading strategies in the crude oil futures market," Discussion Papers 353, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    17. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
    18. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
    19. 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.

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