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Mean reversion · Bollinger band reversion

US500 Band Reversion 20·1.8σ · 1D

Bollinger band reversion on US500 CFDs, evaluated on completed 1D bars and executed at live bid/ask.

Annual return+14.2%Backtest
Max drawdown−0.4%Volatility 2.7%
Sharpe4.86Trades 4
Since go-live—awaiting first trade
Use in my package All strategies
Backtest on real market data
Jun 10Jul 8Aug 6Sep 3Oct 2+4%+2%0%
Annual return+14.2%
Max drawdown−0.4%
Sharpe4.86
Trades4
Winning trades100%
Time in market18%

Backtest on real historical prices from Jun 10, 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
  1. Buy a close below the lower band (20-bar mean − 1.8σ), sell short a close above the upper band.
  2. Exit when price returns to the moving average.
  3. Protective stop: exit if price moves 3× ATR(14) against the entry; no re-entry in the same direction until the signal flips.
  4. Long-only: short signals mean the position is flat.
  5. Position size targets 5% annualised volatility (risk level 1/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
JanFebMarAprMayJunJulAugSepOctNovDecΣ
20261.40.60.71.50.04.2%