Mean reversion · Bollinger band reversion
BTC Band Reversion 20·1.5σ · 15m
Bollinger band reversion on BTC/USD CFDs, evaluated on completed 15m bars and executed at live bid/ask.
Annual return−9.6%Backtest
Max drawdown−12.8%Volatility 14.4%
Sharpe-2.97Trades 460
Since go-live—awaiting first trade
Backtest on real market data
Annual return−9.6%
Max drawdown−12.8%
Sharpe-2.97
Trades460
Winning trades66%
Time in market52%
Backtest on real historical prices from Jul 7, 2026 to Oct 4, 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. (Binance)
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 3:1 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 | 2.4 | -9.8 | 0.7 | -2.8 | -9.6% |