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 -52.8% while buying once on the first day and never touching it returned 275.8% — 328.5% worse. Not one of the 16 parameter settings tested beat the benchmark. The median setting returned -79.4%.
It spent 3141 days below its previous high at the longest stretch — 99% of the whole period under water.
110 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 |
|---|---|---|---|---|---|---|---|
| -74.5% | -44.8% | -28.3% | 0.8% | 32.4% | 75.3% | 113.4% | 45% |
The headline above uses one parameter setting. Here is every setting tested: 16 combinations, median -79.4%, best 0.0%, worst -91.8%. 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 | -92% | -91% | -90% | -86% |
| mult 2 | -90% | -53% | -90% | -79% |
| mult 2.5 | -72% | -65% | -84% | -68% |
| mult 3 | 0% | -21% | -54% | -56% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|
| Return | -72% | -9% | 75% | 116% | -18% | 35% | -2% | 4% | -44% |
| Max DD | 79% | 42% | 17% | 24% | 49% | 10% | 30% | 30% | 52% |
| Trades | 8 | 7 | 4 | 7 | 6 | 6 | 5 | 8 | 2 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-06-16 | -1144.00 | 31 bars |
| 2026-02-26 | -2540.76 | 36 bars |
| 2025-12-03 | -1735.65 | 29 bars |
| 2025-10-02 | +1077.72 | 6 bars |
| 2025-06-30 | +715.95 | 8 bars |
| 2025-06-10 | +806.31 | 4 bars |
| 2025-04-23 | +733.18 | 16 bars |
| 2025-03-25 | -1439.07 | 28 bars |
| 2025-02-21 | -422.51 | 18 bars |
| 2025-02-01 | +562.15 | 3 bars |
| 2025-01-04 | +408.27 | 15 bars |
| 2024-09-20 | +1.55 | 23 bars |
| 2024-08-22 | -1076.55 | 19 bars |
| 2024-07-15 | -710.17 | 33 bars |
| 2024-04-28 | +697.80 | 14 bars |
| 2024-04-01 | +1150.21 | 12 bars |
| 2023-09-16 | +394.57 | 4 bars |
| 2023-08-30 | -351.07 | 13 bars |
| 2023-06-21 | +149.19 | 10 bars |
| 2023-05-24 | +218.26 | 12 bars |
| 2023-03-14 | +1000.95 | 4 bars |
| 2023-02-16 | +584.73 | 5 bars |
| 2023-01-03 | +202.87 | 17 bars |
| 2022-11-30 | +493.69 | 20 bars |
| 2022-10-05 | +83.45 | 16 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 | 863b4eb1fad7595b |