Mean reversion · daily rule · Industrials & materials
Bollinger Reversion on Air Canada
What the play says
AC with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AC over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −6.0% | +14.7% | −14.3% | −0.6% |
| Total return | −64% | +849% | −54% | −3% |
| Worst drawdown | −71.2% | −78.9% | −61.8% | −51.4% |
| Volatility | 27.1% | 45.9% | 19.8% | 36.2% |
| Sharpe ratio | −0.15 | 0.49 | −0.87 | 0.06 |
| Time invested | 24% | 100% | ||
| Switches per year | 7.4 | 0 |
Every call, graded
Right on 70 of 121 closed calls (58%). In calls averaged −0.6%; out calls saw AC move +8.8% on average.
| Called | Call | Price | Until | AC moved | Result |
|---|---|---|---|---|---|
| Sep 28, 2026 | IN | C$26.15 | now | −14.7% | open |
| Jul 27, 2026 | OUT | C$24.25 | Sep 28, 2026 | +7.8% | ✕ wrong |
| Jul 14, 2026 | IN | C$22.87 | Jul 27, 2026 | +6.0% | ✓ right |
| Mar 25, 2026 | OUT | C$18.58 | Jul 14, 2026 | +23.1% | ✕ wrong |
| Mar 2, 2026 | IN | C$19.25 | Mar 25, 2026 | −3.5% | ✕ wrong |
| Feb 2, 2026 | OUT | C$19.58 | Mar 2, 2026 | −1.7% | ✓ right |
| Jan 20, 2026 | IN | C$18.75 | Feb 2, 2026 | +4.4% | ✓ right |
| Oct 8, 2025 | OUT | C$18.46 | Jan 20, 2026 | +1.6% | ✕ wrong |
| Sep 24, 2025 | IN | C$18.38 | Oct 8, 2025 | +0.4% | ✓ right |
| Aug 22, 2025 | OUT | C$19.81 | Sep 24, 2025 | −7.2% | ✓ right |
| Jul 29, 2025 | IN | C$19.34 | Aug 22, 2025 | +2.4% | ✓ right |
| Apr 23, 2025 | OUT | C$14.10 | Jul 29, 2025 | +37.2% | ✕ wrong |
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 122 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.