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Huge bollinger upper/lower bound pct understanding #1229

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kbfifi opened this issue Jan 26, 2018 · 2 comments
Open

Huge bollinger upper/lower bound pct understanding #1229

kbfifi opened this issue Jan 26, 2018 · 2 comments
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@kbfifi
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kbfifi commented Jan 26, 2018

First of all I want to thanks for a great project that I'm experimenting with the last few weeks! I did several simulations (with genetic_backtester recently) that showed big profits using bollinger strategy. So I imported some simulations output into excel that showed upper and lower bollinger bounds as wel. Then I realized that making the bollinger upper/lower bount pct values (Let's assume identical for the moment) > ~3 pct in that dataset would flip them! iow: the lower trigger boundry would lay above the higher boundry.

Of course the simulation proves sanety but I have a hard time understanding the strategy then. Someone understands?

@kbfifi
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kbfifi commented Jan 26, 2018

with 0 pct upper & lower boundry
image

with 3pct they are starting to cross:
image

In my simulations I had good scrores with 20 pct or so. In this pricture lower and upper are clearly flipped! :
image

According to the simulation that would give a 140% profit in 10d! I'm not so sure that is possible.

@DeviaVir
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There is more testing and finetuning to be done with this strategy, issues like these and people taking the time to analyze things that they find are what allow devs to pinpoint issues and write fixes for them. Thank you for bringing this up and I'll be sure to take a look again at this when I have some more free time 👍

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