Mean reversion · daily rule · Metals & mining
Bollinger Reversion on Allied Gold
What the play says
AAUC with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2023
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AAUC over exactly the same dates, after costs.
| Play, since 2023 | Hold, since 2023 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +42.2% | +29.7% | +42.2% | +29.7% |
| Total return | +188% | +118% | +188% | +118% |
| Worst drawdown | −23.0% | −45.1% | −23.0% | −45.1% |
| Volatility | 26.4% | 53.3% | 26.4% | 53.3% |
| Sharpe ratio | 1.31 | 0.67 | 1.31 | 0.67 |
| Time invested | 23% | 100% | ||
| Switches per year | 10.0 | 0 |
Every call, graded
Right on 23 of 30 closed calls (77%). In calls averaged +6.9%; out calls saw AAUC move +2.1% on average.
| Called | Call | Price | Until | AAUC moved | Result |
|---|---|---|---|---|---|
| Sep 18, 2026 | OUT | C$32.30 | now | −14.7% | open |
| Sep 15, 2026 | IN | C$29.39 | Sep 18, 2026 | +9.9% | ✓ right |
| Aug 7, 2026 | OUT | C$30.49 | Sep 15, 2026 | −3.6% | ✓ right |
| Jul 16, 2026 | IN | C$29.63 | Aug 7, 2026 | +2.9% | ✓ right |
| Jul 3, 2026 | OUT | C$35.33 | Jul 16, 2026 | −16.1% | ✓ right |
| Jun 24, 2026 | IN | C$32.89 | Jul 3, 2026 | +7.4% | ✓ right |
| Jun 15, 2026 | OUT | C$36.96 | Jun 24, 2026 | −11.0% | ✓ right |
| Apr 27, 2026 | IN | C$41.65 | Jun 15, 2026 | −11.3% | ✕ wrong |
| Nov 17, 2025 | OUT | C$23.18 | Apr 27, 2026 | +79.7% | ✕ wrong |
| Oct 31, 2025 | IN | C$21.34 | Nov 17, 2025 | +8.6% | ✓ right |
| Aug 18, 2025 | OUT | C$18.01 | Oct 31, 2025 | +18.5% | ✕ wrong |
| Aug 7, 2025 | IN | C$16.60 | Aug 18, 2025 | +8.5% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 31 calls shown.
How the play works
- In on a close below the lower band (20-day average − 2 standard deviations).
- Out on a close above the 20-day average.
This runs against Bollinger's advice that tags of the bands are not signals. It is shown because so many traders use it.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.