Thesis
bollinger-reversion is a textbook mean-reversion play: buy below the lower Bollinger band, sell above the upper band, on the assumption that price extremes relative to a moving average tend to snap back. It runs across a 24-name universe of US large caps — megacap tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT, COST) and healthcare (JNJ, UNH). It is currently live.
Backtest performance
Over 451 trading days the strategy returned 17.55% (final equity $11,755 on a $10k base), a 9.46% CAGR. The win rate is a respectable 63.89% across 76 trades, and total fees were a negligible $76. Two figures temper the enthusiasm: a Sharpe of just 0.66 and a max drawdown of 20.57% — a wide swing for a strategy meant to fade extremes. Turnover of 1,720% is also heavy, so the edge depends on those low fees holding up at scale.
Validation: the honest read
This is where the picture darkens. Walk-forward validation failed. On paper all four folds were positive, which sounds reassuring — but the returns decay sharply across time:
| Fold | Window | Return | Sharpe |
|---|---|---|---|
| 1 | Aug 2024–Jan 2025 | 7.67% | 1.78 |
| 2 | Jan–Jul 2025 | 1.42% | 0.25 |
| 3 | Jul–Dec 2025 | 0.77% | 0.20 |
| 4 | Dec 2025–May 2026 | 0.40% | 0.14 |
Most of the headline return was earned in the earliest fold; the most recent out-of-sample window delivered a near-flat 0.4% return at 0.14 Sharpe. The Probabilistic Sharpe Ratio is a comfortable 0.814, but the Deflated Sharpe Ratio — which penalises the 6 trials run — sits at just 0.342, below the 0.5 confidence threshold. That gap is the classic fingerprint of selection bias: the strategy looks better than the search that produced it.
Recent live activity
The live book tells a consistent story. Across scheduled runs from Aug 18 to Aug 25, every session logged zero executions and one-to-two rejected orders — the bands simply are not signalling entries the risk checks will clear. Portfolio value drifted from $10,006 down to $9,788 over that stretch, sitting on ~$2,752 cash. The last actual fills were back on Aug 7 (a CAT buy and a DIS round-trip). It is quietly idling.
Verdict
The strengths are real: a high win rate, cheap execution, and four positive folds. But the risks dominate. Returns are front-loaded into 2024, out-of-sample edge has faded toward zero, the deflated Sharpe fails to clear noise, and the live book is executing nothing while slipping below its $10k start. bollinger-reversion reads as a decaying edge, not a broken one — worth watching for a regime that rewards mean reversion again, but not a candidate for added capital on this evidence.