What the Strategy Does
Bollinger Reversion is one of Headmars' built-in hand-written strategies. The logic is deliberately simple: buy when price closes below the lower Bollinger Band, sell when it closes above the upper band. It operates across a 24-name universe of large-cap US equities spanning tech (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), consumer staples and discretionary (PG, KO, WMT, COST, MCD, NKE, HD), energy (XOM, CVX), and industrials/other (CAT, HON, DIS).
The thesis is grounded in a well-documented market behaviour: large-caps tend to revert toward their short-term moving average after statistically extreme moves. The Bollinger Band provides a dynamic, volatility-scaled entry and exit trigger rather than a fixed percentage threshold.
Backtest Performance
Over 451 calendar days, the strategy executed 76 trades and produced the following headline numbers:
| Metric | Value |
|---|---|
| Total Return | 17.55% |
| CAGR | 9.46% |
| Sharpe Ratio | 0.66 |
| Max Drawdown | 20.57% |
| Win Rate | 63.89% |
| Total Fees | $76 |
A 63.9% win rate across 76 trades is a meaningful sample and suggests the entry signal has genuine statistical content. The CAGR of 9.46% is competitive against a passive benchmark in a period that included significant volatility. Fees are minimal — $1 per trade assumed — so the return is not an artefact of cost blindness.
The turnover figure (1,720.89%) is worth flagging: this strategy rotates capital frequently. In a real account with market-impact costs or wider spreads, net returns would be lower than the backtest suggests.
Walk-Forward Validation: The Concern
The platform ran a 4-fold walk-forward validation. All four folds were positive — which sounds reassuring — but the magnitude decay is stark:
| Fold | Period | Return | Sharpe | Max DD |
|---|---|---|---|---|
| 1 | Aug 2024 – Jan 2025 | 7.67% | 1.78 | 7.06% |
| 2 | Jan 2025 – Jul 2025 | 1.42% | 0.25 | 20.56% |
| 3 | Jul 2025 – Dec 2025 | 0.77% | 0.20 | 6.66% |
| 4 | Dec 2025 – May 2026 | 0.40% | 0.14 | 11.19% |
Fold 1 is outstanding: a 1.78 Sharpe with a sub-7% drawdown. Fold 4 — the most recent and therefore the most predictive of near-term live performance — delivers just 0.40% with a Sharpe of 0.14. The out-of-sample return is 0.40% and the out-of-sample Sharpe is 0.14.
The Probabilistic Sharpe Ratio (PSR) sits at 0.814 — above the conventional 0.75 threshold — but the Deflated Sharpe Ratio (DSR), which penalises for the number of strategy trials tested (6 in this case), falls to 0.342. That DSR is the harder number to dismiss: it suggests there is meaningful probability the positive backtest Sharpe is a product of selection across trials rather than a durable edge. Accordingly, the platform's validation gate correctly returned failed.
Recent Live Activity
Despite failing validation, the strategy is live in paper-trading mode, deployed at $10,000. The first run (31 May 2026) initiated positions in WMT (21 shares at $115.75) and COST (2 shares at $956.32). The following day added GOOGL (6 shares at $377.90) and PG (17 shares at $140.03). As of 2 June 2026, one trade was rejected and none executed — consistent with fewer names breaching band thresholds in a quieter session. Current paper equity stands at $9,870.47.
Balanced Take
Strengths: The win rate is robust, the thesis is sensible, the universe is liquid, and fees are negligible. Four consecutive positive folds confirm the signal is not pure noise.
Risks: Performance decays monotonically across folds, the most recent fold barely clears zero, and the DSR flags overfitting risk from multi-trial selection. The 20.57% maximum drawdown is significant relative to the return it generates — the backtest Sharpe of 0.66 is not strong enough to justify that tail risk at scale.
This strategy merits continued paper-trading observation, particularly through a mean-reverting vs. trending regime, before any live capital allocation.