淡江大學機構典藏:Item 987654321/125237
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    題名: The profitability of Bollinger Bands trading bitcoin futures
    作者: Ni, Yen-sen
    關鍵詞: Bitcoin futures;Bollinger Bands trading strategy (BBTS);average holding period return (AHPR);contrarian strategies
    日期: 2022-03-31
    上傳時間: 2024-03-08 12:07:53 (UTC+8)
    摘要: 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.
    關聯: Applied Economics Letters 30(11),　p.1437-1443
    DOI: 10.1080/13504851.2022.2060494
    顯示於類別:[管理科學學系暨研究所] 期刊論文

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