Mean reversion · Bollinger band reversion
Gold Band Reversion 20·2.2σ · 1H
Bollinger band reversion on XAU/USD CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−16.0%Backtest
Max drawdown−16.1%Volatility 8.3%
Sharpe-2.07Trades 142
Since go-live+0.07% Live
Live equity
Backtest on real market data
Annual return−16.0%
Max drawdown−16.1%
Sharpe-2.07
Trades142
Winning trades59%
Time in market34%
Backtest on real historical prices from Dec 15, 2025 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 − 2.2σ), 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.
- 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -3.0 | -3.0% | |||||||||||
| 2026 | -0.8 | -0.0 | -7.0 | -1.3 | -1.7 | -0.4 | -0.1 | -0.6 | 0.3 | 1.1 | -10.3% |