Since 2022 Sort Finance

Bollinger Mean Reversion

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 — an unusually stretched move to the downside.
  3. Sell as soon as the close recovers above the middle band (the 20-bar average itself) — taking the quicker, more reliable half of the bounce instead of waiting for the far band.
Score
Total Score Mean Of Real And Resampled 26 / 100
Real Data 27 / 100
Resampled Data 24 / 100
Overall Rank Top 79% 41 of 52
Rank In Mean Reversion Top 45% 4 of 9
Score By Metric
Beats Hold Real 4 · Resampled 9 6 / 100
Risk Adjusted Real 21 · Resampled 13 17 / 100
Profitability Real 12 · Resampled 6 9 / 100
Win Rate Real 98 · Resampled 98 98 / 100
Fee Efficiency Real 58 · Resampled 58 58 / 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.