Testing my Bollinger Band (20,2.25) in R based on the following key parameters:
- Test security : Maybank (Malaysia)
- Test period: 1 Jan 2011 – till 23 June 2017
- Bollinger Band parameters: n=20 days, sd=2.25
- Single technical indicator test (Bollinger Band [with and without transaction cost at 1.0%] vs Buy & Hold Strategy)
- Buy signal: when closing price (Maybank) crosses above the lower band
- Sell signal: when closing price crosses below the upper band
The summary of results are shown below. It shows that the Buy & Hold strategy appears to be more superior than of the Bollinger Band crossover strategies.
MBB appears “too choppy” to use BB as trading signal. Too much noise created. Need further fine-tuning & testing.
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