期刊論文
| 學年 | 110 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2022-03-31 |
| 作品名稱 | The profitability of Bollinger Bands trading bitcoin futures |
| 作品名稱（其他語言） | |
| 著者 | Ni, Yen-sen |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Applied Economics Letters 30(11), p.1437-1443 |
| 摘要 | We explore whether investors would receive excess profits by round-turn trading (hereafter referred to as trading) Bitcoin futures based on Bollinger Bands trading strategy (BBTS). Since investors are suggested to first buy (then sell) Bitcoin futures as oversold (overbought) signals emitted by the BBTS (i.e. penetrating lower (upper) Bollinger Bands regarded as a buying (selling) signal), we aim to explore whether investors would have better returns by trading such futures according to the BBTS. Results show that the average holding period return (AHPR) is over 20% for trading Bitcoin futures following the BBTS. Furthermore, after we adjust the 60-day moving average (MA) instead of the 20-day MA for the BBTS, the AHPR is above 50%. It is noted that if the margin could be deemed as an investment amount, its rate of return would be much higher than the 50% for trading Bitcoin futures. |
| 關鍵字 | Bitcoin futures;Bollinger Bands trading strategy (BBTS);average holding period return (AHPR);contrarian strategies |
| 語言 | zh_TW |
| ISSN | 1466-4291 |
| 期刊性質 | 國內 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125237 ) |