Mean reversion · daily rule · Real estate
Bollinger Reversion on Allied Properties REIT
What the play says
AP.UN with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AP.UN over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −1.6% | −1.1% | −17.0% | −26.4% |
| Total return | −26% | −18% | −61% | −78% |
| Worst drawdown | −63.5% | −83.9% | −63.5% | −81.8% |
| Volatility | 17.2% | 27.2% | 19.6% | 31.3% |
| Sharpe ratio | −0.09 | 0.05 | −1.04 | −0.93 |
| Time invested | 22% | 100% | ||
| Switches per year | 8.5 | 0 |
Every call, graded
Right on 104 of 153 closed calls (68%). In calls averaged +0.3%; out calls saw AP.UN move +0.9% on average.
| Called | Call | Price | Until | AP.UN moved | Result |
|---|---|---|---|---|---|
| Aug 6, 2026 | IN | C$9.45 | now | −38.1% | open |
| Mar 16, 2026 | OUT | C$8.96 | Aug 6, 2026 | +5.4% | ✕ wrong |
| Feb 11, 2026 | IN | C$9.63 | Mar 16, 2026 | −6.9% | ✕ wrong |
| Dec 10, 2025 | OUT | C$12.50 | Feb 11, 2026 | −23.0% | ✓ right |
| Oct 8, 2025 | IN | C$17.64 | Dec 10, 2025 | −29.1% | ✕ wrong |
| Aug 13, 2025 | OUT | C$16.19 | Oct 8, 2025 | +9.0% | ✕ wrong |
| Jul 30, 2025 | IN | C$15.57 | Aug 13, 2025 | +4.0% | ✓ right |
| Apr 24, 2025 | OUT | C$13.63 | Jul 30, 2025 | +14.2% | ✕ wrong |
| Apr 4, 2025 | IN | C$13.51 | Apr 24, 2025 | +0.9% | ✓ right |
| Jan 20, 2025 | OUT | C$14.70 | Apr 4, 2025 | −8.1% | ✓ right |
| Jan 13, 2025 | IN | C$14.08 | Jan 20, 2025 | +4.4% | ✓ right |
| Jan 6, 2025 | OUT | C$14.96 | Jan 13, 2025 | −5.9% | ✓ 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 154 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.