The thesis
Bollinger-reversion runs one of the oldest ideas in technical trading: buy when price closes below the lower Bollinger band, sell when it pushes above the upper band. The bet is that stretched prices snap back toward their moving average. It trades a broad, liquid universe of 24 US large-caps spanning tech, financials, healthcare, staples and energy — names like AAPL, NVDA, JPM, JNJ and XOM — which gives the mean-reversion signal plenty of independent shots on goal.
Backtest performance
Over 451 days the strategy returned 17.55% (final equity $11,755 on a $10k base), a 9.46% CAGR, with a 63.89% win rate across 76 trades. Those are respectable headline numbers, and the high hit rate is exactly what you'd expect from a reversion system: many small wins as prices normalise.
The caveats sit right next to them. The Sharpe of 0.66 is modest — returns came with real volatility — and the max drawdown of 20.57% is steep for a strategy that markets itself on buying dips. Turnover of 1,720% is also very high; the £76 in fees is trivial at this scale, but that churn is a warning sign for any move to larger, slippage-sensitive capital.
What validation says
This is where the story turns cautionary. The walk-forward test failed its gate. All four out-of-sample folds were positive — a genuine point in its favour — but the edge decays hard: fold returns fell from 7.67% → 1.42% → 0.77% → 0.40%, and fold Sharpe collapsed from 1.78 to 0.14. The most recent out-of-sample window earned just 0.4% at a Sharpe of 0.14.
The deflated statistics tell the same tale. PSR of 0.814 looks reassuring, but the Deflated Sharpe Ratio of 0.342 — which penalises for the six trials run — sits well below any confidence threshold. In plain terms: most of the backtest's shine came from the first, favourable regime, and the strategy has not demonstrated durable, forward-looking edge.
Recent live activity
Live behaviour reinforces the concern. The last executed fills were back in early August (a profitable DIS round-trip, 99.18 → 105.15, and a PG round-trip, 140.03 → 148.40). Since then, six consecutive scheduled runs (Aug 14–21) executed zero trades, with one or two orders rejected each session. Cash has been frozen at $2,752.28 and total equity has drifted between roughly $9,620 and $10,036 — hovering at or just below the starting stake.
Repeated rejections with no fills suggest either an order-sizing or bands-not-triggering issue worth investigating; a live strategy that can't execute isn't testing its thesis at all.
Verdict
Bollinger-reversion has an honest, interpretable thesis and a clean win rate, and every validation fold stayed positive. But decaying out-of-sample returns, a failed validation gate, a 20% drawdown and a week of stalled execution mean it has earned observation, not conviction. Keep it live and diagnose the rejected orders — but treat the 17.55% headline as the ceiling of a favourable past, not a promise.