The thesis
bollinger-reversion runs a classic mean-reversion play across 24 US large caps — the likes of AAPL, MSFT, NVDA, JPM, XOM and DIS. The rule is as old as the indicator itself: buy when price closes below the lower Bollinger band, sell when it pushes above the upper band. It is a bet that extremes revert, and on a diversified basket of liquid mega-caps that is a defensible prior. The strategy is currently flagged live.
Backtest: solid on the surface
Over a 451-day backtest the strategy returned 17.55% (9.46% CAGR) on 76 trades, ending at $11,755 equity. The 63.89% win rate is genuinely good and consistent with a mean-reversion profile that clips many small wins. But two numbers temper the enthusiasm: a Sharpe of just 0.66 and a max drawdown of 20.57% — you are taking a fifth of the account to earn single-digit annualised returns. Turnover of 1,720% is also punchy; the edge has to survive a lot of churn and fees.
Validation: this is where it breaks
The walk-forward validation did not pass, and the reason is stark. All four folds were positive, which sounds reassuring, but the returns decay monotonically:
| Fold | Return | Sharpe |
|---|---|---|
| 1 | 7.67% | 1.78 |
| 2 | 1.42% | 0.25 |
| 3 | 0.77% | 0.20 |
| 4 | 0.40% | 0.14 |
The most recent out-of-sample window earned 0.4% at a Sharpe of 0.14 — statistically indistinguishable from flat. The deflated Sharpe ratio (DSR 0.342) confirms it: after adjusting for the 6 trials run, the risk-adjusted edge does not clear the bar. The probabilistic Sharpe (0.814) reads better in isolation, but DSR is the honest number here. The pattern is a familiar one — an edge that was real in 2024 and has been arbitraged, or overfit, away since.
Live activity: the account has gone quiet
The live paper book tells the same story from another angle. The last executed trades were on 2026-08-07 (a CAT buy, a DIS sell). Since then, every scheduled run — six sessions from 2026-08-27 to 2026-09-03 — reports 0 executed, 2 rejected, with cash frozen at $2,752.28 and total equity drifting between $9,638 and $9,740. That is below the $10k paper baseline. The repeated rejections suggest orders that cannot clear a constraint (likely available cash or position sizing) rather than an absence of signals.
Verdict
bollinger-reversion is a clean, interpretable strategy with a plausible thesis and a flattering headline backtest. But the evidence points one way: the out-of-sample edge has faded to noise, validation failed on a deflated basis, and the live account is stuck — down slightly and unable to act. The high win rate is the one asset worth preserving. Before this earns real capital it needs a rethink of position sizing (to stop the rejections) and, more fundamentally, a reason to believe the reversion edge still exists in 2026 rather than only in 2024.