The Thesis
The premise is one of the oldest in technical trading: buy when price closes below the lower Bollinger band, sell when it pushes above the upper band. It's a mean-reversion bet — the assumption that stretched prices snap back toward their moving average. The strategy runs this idea across a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT, COST) and healthcare (JNJ, UNH). It is currently flagged live.
Backtest Performance
Over 451 trading days the strategy grew a nominal book to $11,755, a 17.55% total return (9.46% CAGR). The 63.89% win rate across 76 trades is genuinely attractive and consistent with a mean-reversion profile: many small, high-probability wins. The catch sits in the risk column — a 20.57% max drawdown against a Sharpe of just 0.66. You are stomaching equity-like volatility for sub-equity risk-adjusted returns. Turnover of 1,720% is heavy, though fees stayed modest at $76.
Where It Breaks: Validation
This is the section that matters, and it is unflattering. The walk-forward validation failed. On paper the setup looks encouraging — all 4 of 4 folds were positive — but the returns decay monotonically:
| Fold | Return | Sharpe |
|---|---|---|
| 1 | 7.67% | 1.78 |
| 2 | 1.42% | 0.25 |
| 3 | 0.77% | 0.20 |
| 4 | 0.40% | 0.14 |
The entire 17.55% headline was effectively earned in the first fold; the most recent out-of-sample window returned a rounding-error 0.40% at a Sharpe of 0.14. The Probabilistic Sharpe Ratio of 0.814 looks passable, but the Deflated Sharpe Ratio of 0.342 — which penalises for the 6 trials run — tells the real story: after accounting for selection effort, there is little evidence of a durable edge.
Live Activity
The live book reinforces the concern. The last executed trade was a DIS buy on June 10. Every scheduled run since July 7 has placed zero trades — a string of "0 executed" sessions with a handful of rejections — while portfolio value drifted from $9,893 down to **$9,790**, with cash pinned at $1,001.98. The bands simply aren't triggering, and the book is bleeding slowly while idle.
Verdict
bollinger-reversion is a clean, interpretable strategy with a strong win rate, but its performance is front-loaded and its out-of-sample edge has all but evaporated. The failed validation and stalled live activity argue for treating it as a research candidate, not a capital allocation — worth revisiting only with tighter risk controls or a regime filter.