Investment information content in Bollinger Bands?

Camillo Lento · Nikola Gradojević · Christopher S. Wright

73 citations0/0 files storedApplied Financial Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This article tests the profitability of Bollinger Bands (BB) technical indicators. It is found that, after adjusting for transaction costs, the BB are consistently unable to earn profits in excess of the buy-and-hold trading strategy. However, the profitability is improved using a contrarian's approach.

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References

1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns 2000Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation 1999Using genetic algorithms to find technical trading rules 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach 1999Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules 1998Optimization of technical trading strategies and the profitability in security markets

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