Mean reversion · Bollinger band reversion
Brent Band Reversion 20·1.5σ · 1H
Bollinger band reversion on Brent Crude Oil CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−40.5%Backtest
Max drawdown−25.5%Volatility 15.9%
Sharpe-3.27Trades 140
Since go-live—awaiting first trade
Backtest on real market data
Annual return−40.5%
Max drawdown−25.5%
Sharpe-3.27
Trades140
Winning trades56%
Time in market55%
Backtest on real historical prices from Apr 6, 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 − 1.5σ), sell short a close above the upper band.
- Exit when price returns to the moving average.
- Protective stop: exit if price moves 4× ATR(14) against the entry; no re-entry in the same direction until the signal flips.
- Trades both directions (long and short).
- Position size targets 18% annualised volatility (risk level 4/5), capped at 5:1 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 | -8.3 | -1.8 | -5.6 | -10.1 | -0.3 | 1.1 | 0.6 | -22.5% |