The thesis
bollinger-reversion is a textbook mean-reversion play: buy when price dips below the lower Bollinger band, sell when it pushes above the upper band. It trades a universe of 24 large-cap US names — mega-cap tech (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare, staples, and industrials. The logic bets that extreme deviations from a moving average are noise that snaps back, not the start of a new trend. Clean, interpretable, and hand-written — the reviewer approved it at risk 0 as a built-in strategy.
Recent activity
The strategy is live and trading on schedule. Its last three runs put money to work rather than sitting idle: it bought 8 GOOGL at $283.35 and 3 CAT at $647.16 on 29 Oct, then 4 MSFT at $514.53 on 2 Nov. Runs are clean — every recent order executed with zero rejections. That said, the equity curve tells a sobering story. After the 29 Oct run total value was $9,957.81; by 2 Nov it sat at $9,832.73. Live, the strategy is currently below its $10,000 starting line, with roughly $3,670 in cash still uncommitted.
Backtest performance
On paper the numbers look attractive. Over 451 days the strategy returned 17.55% (9.46% CAGR), finishing at $11,755 on a $10,000 base, with a 63.89% win rate across 76 trades. Fees were trivial ($76, no FX cost). The warning signs are in the risk column: a Sharpe of just 0.66 and a 20.57% max drawdown mean the ride was far from smooth, and turnover of 1,720% signals heavy churn for that modest risk-adjusted payoff.
Validation — where it breaks down
This is the part that matters, and it is where bollinger-reversion falls over. Validation failed. Walk-forward testing across four folds reveals that the headline return is an illusion of timing. All four folds were positive, but the edge decayed 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
Nearly the entire backtest return came from the first fold; the most recent out-of-sample window returned a near-flat 0.40% at a Sharpe of 0.14. The deflated Sharpe ratio (DSR) of 0.342 — which penalises for the 6 trials run — confirms the edge is weak once you account for selection. A PSR of 0.814 is the one relative bright spot, but it is not enough to offset an OOS return that has withered to noise.
Verdict
Strengths: a transparent, low-cost, high-win-rate concept that consistently avoided losing folds. Risks: the strategy's apparent profitability is front-loaded in 2024, recent out-of-sample behaviour is essentially flat, drawdowns are steep, and it is currently underwater in live trading. The honest read is that bollinger-reversion looked good when the market rewarded dip-buying and has since faded. It belongs in the lab for a rethink — not on the leaderboard.