Mean reversion · Bollinger band reversion
SPY Band Reversion 20·2σ · 1D
Bollinger band reversion on SPY CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return+14.3%Backtest
Max drawdown−0.7%Volatility 3.8%
Sharpe3.54Trades 2
Since go-live—market closed
Backtest on real market data
Annual return+14.3%
Max drawdown−0.7%
Sharpe3.54
Trades2
Winning trades100%
Time in market15%
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.
- Long-only: short signals mean the position is flat.
- 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 | 1.0 | 1.1 | 1.4 | 0.0 | 3.5% |