Now is the time to start looking at the default parameters for
Bollinger Band analysis (20 days simple moving average and 2 standard
deviations as a multiplier). I’ve written some code that loops through these 2
parameters to see if different values move the net worth much. I used 15, 20,
and 25 days to calculate the required SMA (simple moving average). Within each
I used standard deviations of 1.5, 2.0, and 2.5. This led to the following 9
combinations.
|
Net Worth
|
Days Desired
|
Std Dev Multiplier
|
#Trades
|
# Buys
|
# Sells
|
|
$7,851.29
|
15
|
2.0
|
161
|
83
|
78
|
|
$7,087.30
|
15
|
2.5
|
84
|
45
|
39
|
|
$5,907.22
|
15
|
1.5
|
205
|
104
|
101
|
|
$5,882.33
|
25
|
2.5
|
58
|
30
|
28
|
|
$5,744.33
|
20
|
2.0
|
102
|
52
|
50
|
|
$5,029.35
|
25
|
1.5
|
108
|
54
|
54
|
|
$4,854.84
|
20
|
1.5
|
150
|
76
|
74
|
|
$4,775.62
|
20
|
2.5
|
56
|
30
|
26
|
|
$4,511.56
|
25
|
2.0
|
75
|
38
|
37
|
The standard defaults are on line 5. The Net Worth varied
quite a bit. It appears the shorter SMA periods generate better results. This
holds out hope that there are parameters that might be profitable. We’ll spend
a fair amount of time looking at modifying different parameters and generating
variations of the simulation model to increase the final Net Worth. The
objective is to get a final Net Worth above $10,000 (a net profit).
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