The profitability of Bollinger Bands trading bitcoin futures

機構典藏 > College of Business and Management > Department of Management Sciences > Journal Article > Item 987654321/125237

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/125237

Title:	The profitability of Bollinger Bands trading bitcoin futures
Authors:	Ni, Yen-sen
Keywords:	Bitcoin futures;Bollinger Bands trading strategy (BBTS);average holding period return (AHPR);contrarian strategies
Date:	2022-03-31
Issue Date:	2024-03-08 12:07:53 (UTC+8)
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.
Relation:	Applied Economics Letters 30(11),　p.1437-1443
DOI:	10.1080/13504851.2022.2060494
Appears in Collections:	[Department of Management Sciences] Journal Article

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	41	View/Open