Event Profiling based on Bollinger Bands

So my experiments with event profiling continue. This time, I look for event based on Bollinger Values.

Classified the event as the day when the standardized Bollinger value of a stock (Stock Price - 20 day running mean)/(SD of 20 day running price) fell below -2 ( 2 Standard Deviations) and the market (SPY) Bollinger Value at the day's close was > 1 ( 1 SD above the mean)

Observations :
From the time of event  till day 12, we see a market relative mean of 2.25% .

Over the next few weeks I will be experimenting with other event classifications based on technical indicators to see if we can beat the market.


Popular posts from this blog