Buy the lower band, sell back at the mean. A range trade with an ugly tail risk.
Over 2018-01-01 → 2026-09-23 it returned -45.6% while buying once on the first day and never touching it returned 529.9% — 575.5% worse. Not one of the 16 parameter settings tested beat the benchmark. The median setting returned -17.3%.
It spent 3118 days below its previous high at the longest stretch — 99% of the whole period under water.
102 fills. Signals are taken on the close and filled at the next open.
A single return is one chosen start date. These are 95 runs of the same rules with the start shifted forward 30 days at a time.
| Worst | p10 | p25 | Median | p75 | p90 | Best | Losing starts |
|---|---|---|---|---|---|---|---|
| -44.3% | -34.7% | -25.3% | 3.5% | 15.7% | 32.1% | 53.3% | 47% |
The headline above uses one parameter setting. Here is every setting tested: 16 combinations, median -17.3%, best 31.4%, worst -45.6%. 0 of them beat buy & hold.
Bollinger Reversion run across its own parameter range over the full period. The same rules flip from profit to loss depending only on the numbers you picked — which is why a single headline return is meaningless on its own.
| length 10 | length 20 | length 30 | length 50 | |
|---|---|---|---|---|
| mult 1.5 | -22% | -33% | -30% | -31% |
| mult 2 | -36% | -46% | -8% | -2% |
| mult 2.5 | 16% | 31% | 27% | -17% |
| mult 3 | 0% | 26% | -14% | -27% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|
| Return | -42% | 11% | -21% | 18% | -28% | 44% | 16% | 16% | -23% |
| Max DD | 55% | 24% | 49% | 26% | 45% | 10% | 20% | 20% | 30% |
| Trades | 7 | 6 | 3 | 6 | 6 | 6 | 5 | 9 | 3 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-07-04 | +226.90 | 8 bars |
| 2026-06-21 | -930.33 | 29 bars |
| 2026-03-03 | -906.14 | 30 bars |
| 2025-12-31 | +142.96 | 15 bars |
| 2025-12-03 | -796.65 | 28 bars |
| 2025-09-30 | +336.39 | 4 bars |
| 2025-09-09 | +106.69 | 14 bars |
| 2025-08-08 | +84.09 | 7 bars |
| 2025-06-10 | +550.11 | 4 bars |
| 2025-04-12 | +378.08 | 5 bars |
| 2025-03-03 | +161.92 | 6 bars |
| 2025-02-21 | +15.37 | 16 bars |
| 2024-09-14 | +639.77 | 7 bars |
| 2024-08-22 | -46.83 | 19 bars |
| 2024-07-15 | -490.78 | 30 bars |
| 2024-05-05 | +500.16 | 3 bars |
| 2024-04-23 | +221.30 | 9 bars |
| 2023-08-30 | -208.44 | 13 bars |
| 2023-08-09 | +92.82 | 15 bars |
| 2023-06-20 | +327.84 | 5 bars |
| 2023-06-07 | +263.54 | 1 bars |
| 2023-03-14 | +730.37 | 4 bars |
| 2023-02-16 | +408.90 | 6 bars |
| 2022-12-01 | -303.98 | 22 bars |
| 2022-09-10 | +85.67 | 21 bars |
Listed as convention, not as established fact.
| Period | 2018-01-01 → 2026-09-23 |
| Parameters | {"length":20,"mult":2} |
| Fees | 0.10% taker + 0.05% slippage, both legs |
| Starting capital | 10,000 USDT · long-only spot, no leverage |
| Rolling test | 365 bars × 95 start dates |
| Input hash | 8cd64583791bc019 |