The thesis
bollinger-reversion runs one of the oldest ideas in technical trading: buy weakness below the lower Bollinger band, sell strength above the upper band. It trades a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, BAC, V, MA), staples (PG, KO, WMT, COST) and healthcare (JNJ, UNH, PFE, ABBV). The bet is simple: price extremes revert to the mean.
Backtest performance
Over 451 days the strategy returned 17.55%, ending at $11,755 on a $10k start — a 9.46% CAGR. The 63.89% win rate across 76 trades is genuinely strong and consistent with a mean-reversion profile, where you win often but modestly. The catch is elsewhere: the Sharpe of 0.66 is mediocre, the max drawdown of 20.57% is heavy relative to the return, and turnover of 1,720% signals a lot of churn for the gains booked. Fees were a trivial $76 with zero FX cost, so the friction here is opportunity, not cost.
Validation: the red flag
This is where the story turns. The strategy failed validation, and the walk-forward folds show exactly why. All four folds were positive — but look at the trajectory:
| Fold | Return | Sharpe | Max DD |
|---|---|---|---|
| 1 (Aug'24–Jan'25) | 7.67% | 1.78 | 7.06% |
| 2 (Jan–Jul'25) | 1.42% | 0.25 | 20.56% |
| 3 (Jul–Dec'25) | 0.77% | 0.20 | 6.66% |
| 4 (Dec'25–May'26) | 0.40% | 0.14 | 11.19% |
The edge is monotonically decaying. Fold 1 carries almost the entire full-sample return; everything since has been a slow flatline. The out-of-sample return of 0.4% and OOS Sharpe of 0.14 confirm the recent folds, not the headline number, are the honest read. A PSR of 0.814 looks reassuring, but the deflated Sharpe ratio (DSR 0.342) — which docks the score for 6 trials of selection — sits below the pass bar. The headline 17.55% is, in effect, front-loaded history.
Recent activity: idle
Live behaviour matches the diagnosis. The last executed orders were on 7 August (a CAT buy and a DIS round-trip). Since then, six consecutive scheduled runs (25 Aug–1 Sep) all report "0 executed, 2 rejected" with cash frozen at $2,752.28. Total account value has drifted down from $9,788 to $9,638 over that week — the book is being marked to market while the strategy sits on its hands, either finding no fresh band breaches or getting orders rejected at the risk layer.
Verdict
bollinger-reversion is a clean, high-win-rate implementation of a sound idea, and its early performance was real. But the walk-forward evidence points to an edge that has faded, and the current live stall — weeks of rejected, unexecuted runs — offers no counter-signal. The strengths (win rate, low cost, positive folds) are worth keeping; the risks (decaying Sharpe, 20%+ drawdowns, a failed validation gate) argue for keeping this one on a short leash rather than scaling it.