Mean reversion · daily rule · Energy & power
Bollinger Reversion on Athabasca Oil
What the play says
ATH 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 ATH over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.4% | +0.4% | +19.7% | +65.7% |
| Total return | +46% | +6% | +145% | +1,134% |
| Worst drawdown | −74.3% | −99.4% | −23.0% | −43.4% |
| Volatility | 32.7% | 57.5% | 22.0% | 48.9% |
| Sharpe ratio | 0.19 | 0.27 | 0.75 | 1.20 |
| Time invested | 26% | 100% | ||
| Switches per year | 9.3 | 0 |
Every call, graded
Right on 102 of 152 closed calls (67%). In calls averaged +1.3%; out calls saw ATH move +6.1% on average.
| Called | Call | Price | Until | ATH moved | Result |
|---|---|---|---|---|---|
| Oct 2, 2026 | OUT | C$10.58 | now | +15.5% | open |
| Sep 21, 2026 | IN | C$10.10 | Oct 2, 2026 | +4.8% | ✓ right |
| Aug 11, 2026 | OUT | C$10.59 | Sep 21, 2026 | −4.6% | ✓ right |
| Aug 4, 2026 | IN | C$10.06 | Aug 11, 2026 | +5.3% | ✓ right |
| Jul 8, 2026 | OUT | C$10.71 | Aug 4, 2026 | −6.1% | ✓ right |
| Jun 24, 2026 | IN | C$10.08 | Jul 8, 2026 | +6.2% | ✓ right |
| Jun 3, 2026 | OUT | C$11.84 | Jun 24, 2026 | −14.9% | ✓ right |
| May 27, 2026 | IN | C$11.07 | Jun 3, 2026 | +7.0% | ✓ right |
| Jan 13, 2026 | OUT | C$6.95 | May 27, 2026 | +59.3% | ✕ wrong |
| Dec 12, 2025 | IN | C$7.11 | Jan 13, 2026 | −2.3% | ✕ wrong |
| Oct 23, 2025 | OUT | C$6.78 | Dec 12, 2025 | +4.9% | ✕ wrong |
| Oct 16, 2025 | IN | C$6.13 | Oct 23, 2025 | +10.6% | ✓ 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 153 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.