A Comparative Study on Predictive Performance of Bollinger Band Indicator: An Indian Market View

Abstract

Purpose: The principal agenda of this research is to analyze if Bollinger Band indicator is more profitable than MACD and RSI, post removal of data snooping bias and inculcation of transaction costs, over a period of 10 years.

Design/Methodology/Approach: The study makes use of secondary data that is quantitative in nature. The data includes EOD closing prices of Nifty-50 index and that of the technical indicators (Bollinger Band, MACD, RSI) from 2011 to 2020. 

Findings: The research results indicate that the Bollinger Band indicator performed better than MACD and RSI. Both statistically, and in terms of ROI, the returns generated by the subject were superior to its counterparts.  

Research Implications: The results of this paper offer genuine, unbiased performance of the Bollinger Band indicator. Therefore, these findings may be useful to retail traders who use technical analysis and investment advisors, broking firms, etc. that offer trading recommendations based on technical analysis. 

Originality/Value: There exist very few research studies dedicated to the Bollinger Band indicator, and even fewer that offer unbiased performance reviews of the indicator, that is true to actuality.