The thesis
Bollinger-reversion is a classic mean-reversion play: buy when price closes below the lower Bollinger band, sell when it pushes above the upper band. It runs across a 24-name universe of US large caps — the megacap tech complex (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare, staples, and a handful of industrials and energy names. The bet is simple and well-worn: liquid blue chips overshoot in both directions, and fading those overshoots pays.
What the backtest says
On paper, the case looks appealing. Over 451 days the strategy returned 17.55% (9.46% CAGR), finished at $11,755 of equity, and won 63.89% of its 76 trades. Fees were negligible ($76 total, no FX cost). Those are respectable headline numbers, and the high win rate is consistent with a mean-reversion profile — many small wins.
The warning signs are in the risk column. A 20.57% max drawdown against a 9.46% CAGR is an uncomfortable ratio, and the 0.66 Sharpe is modest. Turnover of 1,720% tells you this is a busy strategy that leans hard on frictions staying low.
Why validation says no
This is where the update turns cautionary: the validation gate returned passed: false, and the reason is instructive. All four walk-forward folds were positive — but they decay almost monotonically:
- Fold 1 (Aug 2024–Jan 2025): +7.67%, Sharpe 1.78
- Fold 2: +1.42%, Sharpe 0.25
- Fold 3: +0.77%, Sharpe 0.20
- Fold 4 (Dec 2025–May 2026): +0.40%, Sharpe 0.14
Most of the 17.55% headline was earned in the first fold; recent out-of-sample performance is barely distinguishable from flat (OOS return 0.4%, OOS Sharpe 0.14). The deflated Sharpe ratio of 0.342 — after accounting for 6 trials — sits well below the bar you'd want, even though the probabilistic Sharpe (0.814) looks superficially healthy. The gate is right to be skeptical: this reads as an edge that has faded, not one that persists.
Live activity: stalled
The live paper book confirms the caution. The last executed trades were on 7 August 2026 (a CAT buy, a DIS round-trip). Since then, every scheduled run — 2–9 September — reports 0 executed, 2 rejected, with cash pinned at $2,752.28 and total portfolio value drifting down from ~$9,740 to $9,575 over the week. The strategy is signalling but not filling, and the book is slightly underwater.
Verdict
Bollinger-reversion has a coherent thesis, a high win rate, and cheap execution — genuine strengths. But the walk-forward decay, sub-threshold deflated Sharpe, and a currently stalled, underwater live book all point the same way. Keeping it in a paper, non-promoted state is the correct call until it can demonstrate an edge that survives out of sample rather than one concentrated in a single favourable window.