The thesis
bollinger-reversion is about as classic as systematic trading gets: buy when price closes below the lower Bollinger band, sell when it pushes above the upper band. It's a pure mean-reversion play across a 24-name universe of US large caps — the megacap tech complex (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), staples and healthcare (JNJ, UNH, PG, KO, WMT, COST), and a few cyclicals like CAT, XOM and DIS. The bet is simple: liquid, well-covered stocks tend to snap back after short-term dislocations.
Headline performance
On paper, the full backtest looks healthy. Over 451 days the strategy turned $10,000 into $11,755 — a 17.55% total return, roughly 9.46% CAGR, with a 63.89% win rate across 76 trades. That's the good news.
The less flattering news sits right next to it. The Sharpe ratio is only 0.66, and max drawdown reached 20.57% — a steep pain threshold for a single-digit annualised return. Turnover is a hefty 1,720%, so this is an active book, not a buy-and-hold. A high win rate paired with a middling Sharpe usually signals the classic mean-reversion payoff shape: many small winners, occasional large losers.
Why validation failed
This is where the story turns. The walk-forward validation did not pass, and the reason is visible in the folds:
| Fold | Window | Return | Sharpe |
|---|---|---|---|
| 1 | Aug'24–Jan'25 | 7.67% | 1.78 |
| 2 | Jan–Jul'25 | 1.42% | 0.25 |
| 3 | Jul–Dec'25 | 0.77% | 0.20 |
| 4 | Dec'25–May'26 | 0.40% | 0.14 |
All four folds are technically positive, but the edge decays monotonically toward zero. The out-of-sample return is just 0.4% with a 0.14 Sharpe — a near-flat line. With 6 trials behind it, the deflated Sharpe ratio (DSR 0.342) confirms that much of the backtest shine is explained by selection, not durable signal. The healthy-looking PSR of 0.814 is doing a lot of optimistic lifting the DSR strips back out.
Recent activity: the engine is idling
Live behaviour matches the diagnosis. The last executed trades were in early August — a CAT buy and a DIS round-trip (bought at $99.18 on Jun 10, sold at $105.15 on Aug 7). Since then, every scheduled run has produced zero executions and one or two rejections. The book sits at roughly $10,006 total with $2,752 in cash, drifting sideways day to day. Either the bands aren't triggering or position/cash constraints are blocking entries.
Verdict
bollinger-reversion is a clean, interpretable strategy with a genuinely high hit rate — but the evidence says its edge was front-loaded and has faded. The failed validation and stalled live execution both point the same direction. Watch it for signs of life, but treat the 17.55% headline as a historical artefact, not a forward expectation.