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Recruitment of participants Bollinger Band Trading Strategy (SPY, QQQ, XLP, TLT)

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 41: Bollinger Band Trading Strategy

    A short-term trading strategy that is based on Bollinger Bands.

    Performance metrics (SPY – S&P 500):
    • No. of trades: 508
    • Average unleveraged gain per trade: 0.53% (1.3% for winners and -1.8% for losers)
    • Win ratio: 75%
    • Profit factor: 2.1
    • CAGR: 8.9% (assuming no leverage)
    • Exposure/time in the market: 24%
    • Risk-adjusted return: 36% (CAGR divided by time spent in the market (0.16))
    • Max. drawdown: -23%
    The equity curve (log scale):

    [​IMG]
     
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