Mean reversion · Bollinger band reversion
US500 Band Reversion 20·2σ · 4H
Bollinger band reversion on US500 CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return+2.4%Backtest
Max drawdown−2.4%Volatility 3.9%
Sharpe0.61Trades 31
Since go-live—awaiting first trade
In the OctoHex System since Oct 5, 06:30 AM — client money follows this strategy.
Live trade history
No trades closed yet — open positions are shown above.
Backtest on real market data
Annual return+2.4%
Max drawdown−2.4%
Sharpe0.61
Trades31
Winning trades68%
Time in market50%
Backtest on real historical prices from Apr 1, 2026 to Oct 2, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Alpaca)
Methodology
- Buy a close below the lower band (20-bar mean − 2σ), sell short a close above the upper band.
- Exit when price returns to the moving average.
- Trades both directions (long and short).
- Position size targets 5% annualised volatility (risk level 1/5), capped at 8:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.7 | -0.1 | -0.2 | 1.3 | -0.1 | 0.6 | 0.3 | 1.2% |