Z-Score Reversion, Ranging-Only — Amazon strategy backtest
Fades a stretch below the 60-day Bollinger band (about a -2-sigma z-score) only while ADX is below 30 (a ranging market); exits back at the 60-day mean.
A curated strategy — a well-known mechanism with sensible risk management built in. Still not a recommendation — it's a mechanism you test yourself.
- • Buys when Close price is below Bollinger Band(60,2) lower — but only while ADX / DMI (trend strength)(14) adx is below 30.
- • Sells when Close price is above Bollinger Band(60,2) mid.
- • Uses a 8% stop-loss.
- • Exits after 15 bars if still open.
| Worst drawdowns · peak → trough | Depth | To trough | Underwater | Recovered |
|---|---|---|---|---|
| 2022-05-04 → 2022-11-09 | -23.5% | 189d | 832d | yes |
| 2024-08-21 → 2026-02-13 | -14.3% | 541d | 751d | still underwater |
| 2018-10-17 → 2018-12-24 | -13.6% | 68d | 79d | yes |
How this is computed → (closed-bar, costs on, vs buy & hold — the full method.)
Past performance is not a reliable indicator of future results. This is an educational, analytical tool — not investment advice, and not a recommendation to buy or sell anything. You make all decisions and execute on your own broker.
Hypothetical performance disclaimer (CFTC Rule 4.41)
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
- Data
- Yahoo Finance / Binance daily OHLC, split-adjusted. Recomputed on each run.
- Costs
- Commission + tiered slippage on every fill. No leverage.
- Execution
- Signals act on the next open after a bar closes — never on a price you couldn't have known.
- Look-ahead & survivorship
- Indicators use closed bars only; the forming bar is dropped. Survivorship is labelled, not hidden.
- Benchmark
- Measured against buy & hold of the same asset over the same window.
- What it isn't
- Not advice, not a prediction, no profit claim. I hold no funds and place no orders.