Since 2022 Sort Finance

Bollinger Band To Band

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Each bar, compute the 20-bar simple moving average of the close and its Bollinger Bands two standard deviations above and below.
  2. Buy when the close drops below the lower band — price is unusually cheap relative to its own recent range, and stretched moves tend to snap back.
  3. Hold through the bounce and sell only when the close rises above the upper band, capturing the full ride from one edge of the channel to the other.
Score
Total Score Mean Of Real And Resampled 25 / 100
Real Data 27 / 100
Resampled Data 23 / 100
Overall Rank Top 85% 44 of 52
Rank In Mean Reversion Top 78% 7 of 9
Score By Metric
Beats Hold Real 2 · Resampled 4 3 / 100
Risk Adjusted Real 23 · Resampled 12 17 / 100
Profitability Real 11 · Resampled 4 7 / 100
Win Rate Real 95 · Resampled 96 96 / 100
Fee Efficiency Real 72 · Resampled 72 72 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.