Evaluating Performance of Bollinger Bands Investment Strategy

Abstract

Based on 20-day moving averaging trading strategy and the extended theory of Bollinger Bands that supplemented by volume this study is to establish an investment strategy The sample consists of Taiwan listed and over-the-counter (OTC) companies from 2000 to 2018 The results show that the performance of the investment strategy with the Bollinger Bands is higher than that the 20-day moving averaging trading strategy and higher than the average return of Yuanta/P-shares Taiwan Top 50 ETF (below called as the 0050) also; when the 0050 is a positive reward in each year's performance the performance of the Bollinger Bands investment strategy is always positive reward when the 0050 is negative the performance of the Bollinger Bands investment strategy is better than the 0050

Date of Award	2020
Original language	English
Supervisor	Ting-Kai Chou (Supervisor)