Mean reversion · Bollinger band reversion
AAPL · MSFT · JPM Band Reversion 20·1.8σ · 1D
Bollinger band reversion on AAPL, MSFT, JPM CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−0.8%Backtest
Max drawdown−0.9%Volatility 1.7%
Sharpe-3.52Trades 0
Since go-live—market closed
Backtest on real market data
Annual return−0.8%
Max drawdown−0.9%
Sharpe-3.52
Trades0
Winning trades0%
Time in market33%
Backtest on real historical prices from Aug 13, 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 − 1.8σ), sell short a close above the upper band.
- Exit when price returns to the moving average.
- Protective stop: exit if price moves 3× ATR(14) against the entry; no re-entry in the same direction until the signal flips.
- Long-only: short signals mean the position is flat.
- Position size targets 8% annualised volatility (risk level 2/5), capped at 2:1 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 | 0.0 | -0.8 | 0.0 | -0.8% |