Bollinger Band Reversion strategy — on every asset
Bollinger Bands sit a number of standard deviations around a moving average. Buy when price closes below the lower band (statistically stretched down) and exit when it reverts to the middle band. Mean-reversion; a hard stop limits the trades where price keeps falling (a gap can still open past it).
Read the honest study: Do Bollinger Bands actually work? We tested BOTH ways traders use them
An illustration of where the rule triggers — not real prices, and not a signal to act. The dashed forks mean the outcome is undetermined; whether the rule made money is what a backtest measures.
When price is stretched from its mean — By construction it fades a stretched down-move — it enters below the lower band and exits back toward the middle, with a hard stop on the trade.
In a sustained one-way move — A sustained downtrend runs it over — it buys into a falling market again and again; the hard stop limits each loss, though a gap can open past it, and a real trend never mean-reverts.
Whether that behaviour produced excess return on your asset over your window is exactly what your backtest measures — we publish no profit claims.
How it works — step by step
- • Entry — Go long when price closes below the lower band.
- • Exit — Go flat when price reverts to the middle band; a hard stop limits a move that keeps falling.
- • Fills, scoring & data — Every backtest fills at the next real open and scores on the real price against a real buy-and-hold, never a smoothed or derived series; the stop fills during the day at its level, or at that day's open if the day opened past it.
Most of these did not beat buy & hold — but a real few did, and finding out which is the whole point. This one strategy was tested on 91 different assets. With that many attempts, some will beat buy & hold by chance alone — which is why these are listed neutrally, not ranked by which ones came out ahead. To see whether any single result survives scrutiny, run the out-of-sample, walk-forward and multiple-testing checks on its backtest.
Of the 91 with enough data to judge, 22 beat buy & hold. Results are simulated backtests over the last ~5 years (less for younger assets), shown whole — losses included — not live or future performance. These are famous names that still trade today. Names that delisted, went bankrupt or were wound down aren't in the set (survivorship bias) — and that history isn't available from the free public data this tool runs on — so this rate isn't a representative base rate for every stock or ETF that has ever traded.
Listed in a neutral catalog order — not ranked by performance. Combinations we can't judge yet — too little data — are grouped separately below.
Here, “beat” means only a higher total return than buy & hold over this one past window — not risk-adjusted, not luck-checked. The out-of-sample, walk-forward and luck checks live on each individual backtest.
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 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.
On the 91 assets with enough data to judge, the same rule swung from +148 pts vs buy & hold on XRP to -1165 pts on Micron Technology. The typical (median) result was -40.4 pts — and even across these runs, the deepest drawdown you'd have sat through was -93% on Avalanche.
That range is the whole point: one rule is not universally good or bad — it depends entirely on the asset, and with 91 tried, some beat by chance. Shown to reveal the variation, not to pick one to trade.
Bollinger Band Reversion on stocks
Razor-thin margin — effectively a tie.
Razor-thin margin — effectively a tie.
Bollinger Band Reversion on etfs
Bollinger Band Reversion on commodities
Bollinger Band Reversion on crypto
Backtesting is one stage of preparing to trade, not the finish line. The full discipline runs five: Understand, Test, Stress-test, Forward-test, then Decide — eyes open. The rare idea that survives all five is the one worth taking into the market with your eyes open — and every stage before it is a place to stop, for free, as most ideas wash out in the first three. Finding that rare idea before you risk a cent is the whole point.