Bollinger Bands Trading Strategy Based on Wavelet Analysis

Abstract

With the popularization of the concept of quantitative investment and the introduction of stock index futures in China, the research on the quantitative trading strategies of stock index futures is emerging gradually. This paper takes the CSI 300 stock index futures as the research object and sets up the Bollinger Bands trading strategy to test it, while considering the factors such as returns, retracement and income risk ratio, etc. Furthermore, the paper uses the wavelet noise reduction to process the data of price and the Bollinger Bands trading strategy to test the processed data. Compared with the results of the first test, the Bollinger Band trading strategy based on wavelet analysis has greater returns, less risk and better applicability.