Bollinger Band Reversion

The claim

Price closing outside a 2-standard-deviation band is stretched and should revert to the mean. The most common way retail traders use Bollinger Bands.

Where it comes from

John Bollinger developed the bands in the 1980s. Bollinger himself warns that a band touch is not automatically a signal — the reversion read is the folklore version.

The exact rule we graded

Long while %B(20, 2σ) < 0 (close below the lower band), short while %B > 1 (close above the upper band), on 1-hour candles. Exits: 2.5% stop, 2.5% target, 48-bar time exit.

• ✕OOS net expectancy > 0
• ✕Clears the cost hurdle
• ✕Robust, not lucky
• ✕Survivable drawdown
• ✓Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

No closed forward trades recorded yet — the record accrues nightly as trades complete their full exit windows.

Honest port notes

• Graded exactly as the folklore states it, including trading every band breach rather than waiting for re-entry into the bands.

{
  "name": "Bollinger Band Reversion",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "bb_pband",
            "period": 20,
            "op": "<",
            "value": 0
          }
        ],
        "short": [
          {
            "indicator": "bb_pband",
            "period": 20,
            "op": ">",
            "value": 1
          }
        ]
      },
      "exit": {
        "stop_loss_pct": 2.5,
        "take_profit_pct": 2.5,
        "time_exit_bars": 48
      }
    }
  ]
}