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[Learn more about Teams](https://stackoverflow.co/teams/) # [Optimize Bollinger Bands Strategy](https://quant.stackexchange.com/questions/59557/optimize-bollinger-bands-strategy) [Ask Question](https://quant.stackexchange.com/questions/ask) Asked 4 years, 9 months ago Modified [4 years, 5 months ago](https://quant.stackexchange.com/questions/59557/optimize-bollinger-bands-strategy?lastactivity "2021-03-15 14:09:30Z") Viewed 462 times 0 \$\\begingroup\$ I was proving a very simple strategy with Bollinger Bands for a intraday timeframe (1 minute) that buy on lower band and sell in a higher band (Very common strategy), but in backtesting in E-Mini SP 500 at 1999 I think that it generated interesting results. This the graphic: [](https://i.sstatic.net/QnW5C.png) It's not winner but for a long period of the year it was profitable. First, considering that I'm a newbie i could like that you tell me if it can achieve to something profitable with some optimization, and if it so, what kind of optimization can I implement? or if it's a rubbish and I should try with other stuff I was thinking that maybe I could implement some kind of machine learning for detect abrupt raises or falls prices which are the main problem as show in the image below [](https://i.sstatic.net/xTpcv.png) Or something with statistics that I should learn (my statistic knowledge it's not very widely) and prove Any advice it would be greatly appreciated - [time-series](https://quant.stackexchange.com/questions/tagged/time-series "show questions tagged 'time-series'") - [quant-trading-strategies](https://quant.stackexchange.com/questions/tagged/quant-trading-strategies "show questions tagged 'quant-trading-strategies'") - [optimization](https://quant.stackexchange.com/questions/tagged/optimization "show questions tagged 'optimization'") [Share](https://quant.stackexchange.com/q/59557 "Short permalink to this question") [Improve this question](https://quant.stackexchange.com/posts/59557/edit) Follow asked Nov 24, 2020 at 0:25 [](https://quant.stackexchange.com/users/47821/caeta) [Caeta](https://quant.stackexchange.com/users/47821/caeta)Caeta 10322 bronze badges \$\\endgroup\$ 3 - 1 \$\\begingroup\$ I absolutely would not approach this as a tradeable strategy, but it could be a good project to learn statistics with. \$\\endgroup\$ – [steveo'america](https://quant.stackexchange.com/users/31456/steveoamerica "547 reputation") Commented Nov 24, 2020 at 1:04 - \$\\begingroup\$ I have to give you credit for testing this far away... a millennium ago. Have you checked that the index methodology and the contract terms were the same in 1999 as it they are now, apples to apples? \$\\endgroup\$ – [Sergei Rodionov](https://quant.stackexchange.com/users/17588/sergei-rodionov "1,170 reputation") Commented Mar 15, 2021 at 17:01 - \$\\begingroup\$ No, I didn't know that was relevant for test this simple algo \$\\endgroup\$ – [Caeta](https://quant.stackexchange.com/users/47821/caeta "103 reputation") Commented Mar 17, 2021 at 15:04 [Add a comment](https://quant.stackexchange.com/questions/59557/optimize-bollinger-bands-strategy "Use comments to ask for more information or suggest improvements. Avoid answering questions in comments.") \| ## 1 Answer 1 Sorted by: [Reset to default](https://quant.stackexchange.com/questions/59557/optimize-bollinger-bands-strategy?answertab=scoredesc#tab-top) 2 \$\\begingroup\$ This might not be a direct response, but just some general advise / ideas. I think giving you "optimal" parameters is not a straight realistic response. It depends on the security you are analizing. For instance, what you can do is grab a set of historical years, run multiple simulations on different parameters, and check which ones provide you the higher return (you can use a risk-adjusted performance metric, e.g., sharpe ratio). There are other strategies you can also try, such as the Momentum one. If you want to explore machine learning on it, you can check out Marcos Lopez de Prado's book on advances in financial machine learning. You can also backtest using [Quantopian](https://www.quantopian.com/). Bollinger Bands is a common strategy, thus you might find some [implementations](https://towardsdatascience.com/bollinger-bands-statistics-in-trading-dcc8783a8f88) of it already, to use as reference. [Share](https://quant.stackexchange.com/a/59559 "Short permalink to this answer") [Improve this answer](https://quant.stackexchange.com/posts/59559/edit) Follow [edited Mar 15, 2021 at 14:09](https://quant.stackexchange.com/posts/59559/revisions "show all edits to this post") answered Nov 24, 2020 at 2:09 [](https://quant.stackexchange.com/users/33451/f0l0w) [F0l0w](https://quant.stackexchange.com/users/33451/f0l0w)F0l0w 34611 silver badge1414 bronze badges \$\\endgroup\$ [Add a comment](https://quant.stackexchange.com/questions/59557/optimize-bollinger-bands-strategy "Use comments to ask for more information or suggest improvements. Avoid comments like “+1” or “thanks”.") \| Start asking to get answers Find the answer to your question by asking. 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