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. It trades a 24-name universe of large-cap US equities — the usual mega-cap tech (AAPL, MSFT, NVDA, GOOGL), financials (JPM, V, MA), staples (PG, KO, WMT, COST) and healthcare (JNJ, UNH). The bet is simple: extreme deviations from a moving-average envelope tend to snap back. It's currently flagged live.
Backtest scorecard
Over 451 days the strategy returned 17.55%, lifting a nominal $10k book to $11,755 — a 9.46% CAGR. The win rate is genuinely good at 63.89% across 76 trades, and the loss control is reasonable given the style. But two numbers temper the enthusiasm: a Sharpe of just 0.66 and a 20.57% max drawdown. You are risking a fifth of the book for a single-digit annualised return, and turnover of 1,721% means the book churns roughly seventeen times over — fee drag ($76 here) and slippage will bite harder in the real world than in a clean backtest.
Validation: the part that matters
This is where the story turns. The strategy fails walk-forward validation. All four folds are positive, which sounds encouraging, but the trajectory is a steady decay:
| 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 |
Nearly all of the headline return was earned in the first fold. The most recent out-of-sample slice returned just 0.4% at a Sharpe of 0.14 — effectively flat. The Probabilistic Sharpe Ratio (0.814) looks supportive, but the Deflated Sharpe (0.342), which penalises for the 6 trials run, sits well below any pass threshold. In plain terms: once you account for how many variants were tried, the observed edge is not distinguishable from luck.
Live activity: quiet to a fault
The live book confirms the fade. The last executed fills were on 7 Aug (a 1-share CAT buy, a 25-share DIS exit); before that, nothing since early June. Every scheduled run from 26 Aug through 2 Sep reports the same line: 0 executed, 2 rejected, with cash parked at $2,752.28 and total equity drifting between $9,638 and $9,739 — below the $10k mark. The bands simply aren't producing actionable, fundable signals, and the paper account is modestly underwater.
Verdict
bollinger-reversion is a clean, interpretable strategy with a healthy hit rate and a plausible historical run. But the evidence points one way: the edge is front-loaded, decaying, and does not survive deflation for multiple trials. Combined with a soft Sharpe, a 20% drawdown, and stalled live execution, this reads as a strategy to keep on the bench — not to scale — until it can demonstrate fresh out-of-sample life.