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Particle Swarm Optimization of Bollinger Bands

  • Conference paper
Swarm Intelligence (ANTS 2010)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 6234))

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Abstract

The use of technical indicators to derive stock trading signals is a foundation of financial technical analysis. Many of these indicators have several parameters which creates a difficult optimization problem given the highly non-linear and non-stationary nature of a financial time-series. This study investigates a popular financial indicator, Bollinger Bands, and the fine tuning of its parameters via particle swarm optimization under 4 different fitness functions: profitability, Sharpe ratio, Sortino ratio and accuracy. The experiment results show that the parameters optimized through PSO using the profitability fitness function produced superior out-of-sample trading results which includes transaction costs when compared to the default parameters.

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References

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Author information

Authors and Affiliations

  1. Faculty of Computer Science, Artificial Intelligence Group, University of York, UK

    Matthew Butler & Dimitar Kazakov

Authors
  1. Matthew Butler
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  2. Dimitar Kazakov
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Editor information

Editors and Affiliations

  1. IRIDIA, CoDE, Université Libre de Bruxelles, Brussels, Belgium

    Marco Dorigo

  2. IRIDIA, CoDE, Université Libre de Bruxelles, Av. F. Roosevelt 50, CP 194/6, 1050, Brussels, Belgium

    Mauro Birattari

  3. ’Dalla Molle’ Institute for Artificial Intelligence (IDSIA), Galleria 2, 6928, Manno-Lugano, Switzerland

    Gianni A. Di Caro

  4. Complex Systems Institute, Paris-Ile-de-France, CREA, Ecole Polytechnique & CNRS, 57-59, rue Lhomond, 75005, Paris, France

    René Doursat

  5. Department of Computer Science, University of Pretoria, 0002, P.O. Box, Pretoria, South Africa

    Andries P. Engelbrecht

  6. EPFL, Laboratory of Intelligent Systems, Lausanne, Switzerland

    Dario Floreano

  7. Istituto Dalle Molle di Studi sull’Intelligenza Artificiale (IDSIA), Lugano, Switzerland

    Luca Maria Gambardella

  8. Department of Automatic Control and Systems Engineering, The University of Sheffield, Mappin Street, S1 3JD, Sheffield, UK

    Roderich Groß

  9. KOVAN Research Lab., Department of Computer Engineering, Middle East Technical University, Inonu Bulvari, 06531, Ankara, Turkey

    Erol Şahin

  10. Department of Bioengineering, Binghamton University, State University of New York, 13902-6000, Binghamton NY, USA

    Hiroki Sayama

  11. IRIDIA, CoDE, Université Libre de Bruxelles, Avenue F. Roosevelt 50, CP 194/6, 1050, Brussels, Belgium

    Thomas Stützle

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© 2010 Springer-Verlag Berlin Heidelberg

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Butler, M., Kazakov, D. (2010). Particle Swarm Optimization of Bollinger Bands. In: Dorigo, M., et al. Swarm Intelligence. ANTS 2010. Lecture Notes in Computer Science, vol 6234. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-15461-4_50

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  • DOI: https://doi.org/10.1007/978-3-642-15461-4_50

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-15460-7

  • Online ISBN: 978-3-642-15461-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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