Click here to Login








Bollinger Bands + Market Timing Trading System

by QuantShare, 3138 days ago
Share |






The trading system is composed of two trading rules. The first one is triggered when a stock share price closes below its 20-Bar Bollinger Lower Band. The second one is a market-timing rule that prevents the trading system from entering new orders when the market is declining. A market decline is defined here as the percentage of advancing to declining stocks being lower than 50%.
In order to enter only liquid stocks, shares traded on OTC exchanges and those that have an average volume of less than 100,000 are not used by this trading system.

The exit rules consist of three stops. A 10% Stop loss, a 5% profit bar and a 15-bar N-Bar stop. When one of these stops is triggered, the position is sold at tomorrow open price.

The strategy has an annual return of 20.26%, a Sharpe ratio of 1.32 and a maximum drawdown of -28.39%. The simulation has generated 1559 trades, of whom 61.9% were profitable. The average holding period is 8 bars and the strategy exposure is equal to 59.67%, which means that the strategy was invested only about half of the time.

Market Rule:
The timing rule was calculated using the composite function. It consists of comparing the 30-Bar SMA of the percentage of advancing stocks with the 50% threshold.


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Trading System

Object ID: 962


Country:
All

Market: Stock Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Trading System: Buy Stocks based on their Sharpe Ratio Rank

Creating and managing notes for your stocks

Create a Trading Strategy using Portfolio123 Ranking Systems

How to Quickly Create Fundamental Scans

Download Trading Data using the Post-Script

Download Trading Data using the Pre-Script

Download Trading Data using the URL-Script

Trading Items: Data Download using .Net Scripts

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.