Buy/Sell Signal Detection in Stock Trading with Bollinger Bands and Parabolic SAR

Prasetijo, Agung B. and Saputro, Takdir A. and Windasari, Ike P. and Windarto, Yudi E. Buy/Sell Signal Detection in Stock Trading with Bollinger Bands and Parabolic SAR. Proc. of 2017 4th Int. Conf. on Information Tech., Computer, and Electrical Engineering (ICITACEE) .

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Abstract

Technical analysis for stock market with its technical indicators is helpful for traders/investors to predict correct timings either for buying or selling stocks. Trading strategy can be realized with the use of selected trading indicators to know when accumulation or distribution of stocks occurs. This paper proposes trading strategies employing Bollinger Bands and Parabolic SAR indicators. A web-based application is developed to help testing the performance of the proposed strategies. Historical end-of-day (EOD) stock price for a sufficient period of time was used to back-test the proposed strategy performance. Several stocks from LQ-45 were selected to represent up-, down-, and sideway-trends. The results of the research are: the best strategy for an up-trending stock contributes to 17.06% profit and 1.19% for sideway market trend. Whilst when in down-trend, strategy #4 can minimize loss up to 2.62% than the only Bollinger Bands strategy.

Item Type:Article
Subjects:T Technology > Computer engineering. Embedded system. Network. Softwares. Robotics. Multimedia
Divisions:Faculty of Engineering > Department of Computer System
Faculty of Engineering > Department of Computer System
ID Code:69090
Deposited By:Ms Melati mt
Deposited On:29 Jan 2019 08:42
Last Modified:29 Jan 2019 08:42

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