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Bollinger Bands event profiling continuation

A series of plots for different events based on Bollinger Band values. For this analysis, I am using all the stocks that were listed in S&P500 in the year 2012. The period of event study is Jan 1 2008 to Dec 31 2009. I am looking at 4 extreme events for individual stocks whereby the bollinger value of the stock fell below 2 Standard deviations whereas the overall market (SPX / SPY) Bollinger Value went above certain levels.

The basic reason for this back testing event analysis is to graphically visualize the Market relative return and hypothesize a trading strategy based on the behaviour.

 Event Study 1 :



 f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 0.5










Event Study 2:

f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 1.0







Event Study 3:

f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 1.5

Event Study 4:

f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 2.0








Event study 4 is the most extreme case when the Bollinger Value of the overall market exceeded +2 where as the individual stock Bollinger Value crossed below -2

As a followup to these studies, I will be simulating a trading strategy where I will go Long at the events and do some portfolio performance and risk analysis. 

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Iteration 4

Iteration 5


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