Abstract

Bollinger Bands trading model is an important strategy in program trading. But in practice, the trade model based on the traditional Bollinger Bands theory has great flaws such as “over-sensitive” flaw, incomplete transaction stop-loss, and the adaptability of the model’s basic parameters is poor. In this paper, the empirical research method is used to analyze the shortcomings of the traditional Bollinger Bands transaction model and put forward improved methods. Accordingly, we introduce the price speed, improve the stop-loss rules, and adjust the basic parameters to improve the model. The improved trading model is tested with the data of Shanghai and Shenzhen stock index futures. The result showed that the modified Bollinger Bands transaction model has strong profitability and low risk, which is instructive to the practice of stock index futures.

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