Mean reversion · Bollinger band reversion
JPM Band Reversion 20·2σ · 4H
Bollinger band reversion on JPM CFDs, evaluated on completed 4H bars and executed at live bid/ask.
Annual return+7.7%Backtest
Max drawdown−1.4%Volatility 4.8%
Sharpe1.59Trades 5
Since go-live—market closed
Backtest on real market data
Annual return+7.7%
Max drawdown−1.4%
Sharpe1.59
Trades5
Winning trades100%
Time in market53%
Backtest on real historical prices from Jul 1, 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 − 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 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 | 0.4 | 0.4 | 0.9 | 0.1 | 1.9% |