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The profitability of Bollinger Bands trading bitcoin futures

Author

Listed:
  • Min-Yuh Day
  • Yirung Cheng
  • Paoyu Huang
  • Yensen Ni

Abstract

We explore whether investors would receive excess profits by round-turn trading (hereafter referred to as trading) Bitcoin futures based on Bollinger Bands trading strategy (BBTS). Since investors are suggested to first buy (then sell) Bitcoin futures as oversold (overbought) signals emitted by the BBTS (i.e. penetrating lower (upper) Bollinger Bands regarded as a buying (selling) signal), we aim to explore whether investors would have better returns by trading such futures according to the BBTS. Results show that the average holding period return (AHPR) is over 20% for trading Bitcoin futures following the BBTS. Furthermore, after we adjust the 60-day moving average (MA) instead of the 20-day MA for the BBTS, the AHPR is above 50%. It is noted that if the margin could be deemed as an investment amount, its rate of return would be much higher than the 50% for trading Bitcoin futures.

Suggested Citation

  • Min-Yuh Day & Yirung Cheng & Paoyu Huang & Yensen Ni, 2023. "The profitability of Bollinger Bands trading bitcoin futures," Applied Economics Letters, Taylor & Francis Journals, vol. 30(11), pages 1437-1443, June.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:11:p:1437-1443
    DOI: 10.1080/13504851.2022.2060494
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    Cited by:

    1. Yuan Li & Bingqiao Luo & Qian Wang & Nuo Chen & Xu Liu & Bingsheng He, 2024. "A Reflective LLM-based Agent to Guide Zero-shot Cryptocurrency Trading," Papers 2407.09546, arXiv.org.
    2. Yensen Ni, 2024. "Navigating Energy and Financial Markets: A Review of Technical Analysis Used and Further Investigation from Various Perspectives," Energies, MDPI, vol. 17(12), pages 1-22, June.

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