Mean reversion · Bollinger band reversion
Gold Band Reversion 20·1.5σ · 15m
Bollinger band reversion on XAU/USD CFDs, evaluated on completed 15m bars and executed at live bid/ask.
Annual return−5.4%Backtest
Max drawdown−8.0%Volatility 8.2%
Sharpe-2.70Trades 318
Since go-live—awaiting first trade
Backtest on real market data
Annual return−5.4%
Max drawdown−8.0%
Sharpe-2.70
Trades318
Winning trades61%
Time in market55%
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. (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 12% annualised volatility (risk level 3/5), capped at 10:1 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 | -2.0 | -1.2 | -2.6 | 0.4 | -5.4% |