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Bollinger Bands

This document presents the results of a sensitivity test of a 3-phase Bollinger Bands trading strategy. It includes figures analyzing the profit factor, Sharpe ratio, ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, and average win/loss ratio of the strategy when applied to different market conditions and parameters over time. The strategy aims to identify trading opportunities when prices touch the upper or lower Bollinger Bands.

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Oxford Capital Strategies Ltd
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230 views8 pages

Bollinger Bands

This document presents the results of a sensitivity test of a 3-phase Bollinger Bands trading strategy. It includes figures analyzing the profit factor, Sharpe ratio, ulcer performance index, compound annual growth rate, maximum drawdown, percentage of profitable trades, and average win/loss ratio of the strategy when applied to different market conditions and parameters over time. The strategy aims to identify trading opportunities when prices touch the upper or lower Bollinger Bands.

Uploaded by

Oxford Capital Strategies Ltd
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Bollinger Bands 3-Phase Model: Sensitivity Test

Oxford Capital Strategies Ltd: http://www.oxfordstrat.com Trading Strategy: http://www.oxfordstrat.com/trading-strategies/bollinger-bands Commission & Slippage: $0

Figure 1.1 Profit Factor.

Figure 1.2 Sharpe Ratio.

Figure 1.3 Ulcer Performance Index.

Figure 1.4 Compound Annual Growth Rate.

Figure 1.5 Maximum Drawdown.

Figure 1.6 Percent Profitable Trades.

Figure 1.7 Average Win/Average Loss Ratio.

Figure 1.8 Equity ($): Sensitivity Test.

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