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Improvement and Test of Stock Index Futures Trading Model Based on Bollinger Bands

Author

Listed:
  • Xiao-Xu Yan
  • Yuan-Biao Zhang
  • Xin-Kun Lv
  • Zi-Yu Li

Abstract

Bollinger Bands trading model is an important strategy in program trading. But in practice, the trade model based on the traditional Bollinger Bands theory has great flaws such as ¡°over-sensitive¡± flaw, incomplete transaction stop-loss, and the adaptability of the model¡¯s basic parameters is poor. In this paper, the empirical research method is used to analyze the shortcomings of the traditional Bollinger Bands transaction model and put forward improved methods. Accordingly, we introduce the price speed, improve the stop-loss rules, and adjust the basic parameters to improve the model. The improved trading model is tested with the data of Shanghai and Shenzhen stock index futures. The result showed that the modified Bollinger Bands transaction model has strong profitability and low risk, which is instructive to the practice of stock index futures.

Suggested Citation

  • Xiao-Xu Yan & Yuan-Biao Zhang & Xin-Kun Lv & Zi-Yu Li, 2017. "Improvement and Test of Stock Index Futures Trading Model Based on Bollinger Bands," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(1), pages 78-87, January.
    • Handle: RePEc:ibn:ijefaa:v:9:y:2017:i:1:p:78-87
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    Citations

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    Cited by:

    1. 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; stock index futures; program trading; flaws; improved methods;
    All these keywords.

    JEL classification:

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

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