Mean reversion · daily rule · Crypto
Bollinger Reversion on Bitcoin
What the play says
BTC with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2014
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BTC over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −5.3% | +58.1% | +0.1% | +7.7% |
| Total return | −48% | +24,617% | +1% | +45% |
| Worst drawdown | −80.0% | −83.4% | −54.9% | −76.6% |
| Volatility | 39.0% | 65.9% | 30.6% | 51.1% |
| Sharpe ratio | 0.01 | 1.00 | 0.04 | 0.33 |
| Time invested | 23% | 100% | ||
| Switches per year | 10.5 | 0 |
Every call, graded
Right on 76 of 126 closed calls (60%). In calls averaged −0.4%; out calls saw BTC move +18.1% on average.
| Called | Call | Price | Until | BTC moved | Result |
|---|---|---|---|---|---|
| Jul 3, 2026 | OUT | $62,544 | now | +32.9% | open |
| Jun 25, 2026 | IN | $59,722 | Jul 3, 2026 | +4.7% | ✓ right |
| Jun 20, 2026 | OUT | $64,240 | Jun 25, 2026 | −7.0% | ✓ right |
| May 22, 2026 | IN | $75,488 | Jun 20, 2026 | −14.9% | ✕ wrong |
| Mar 2, 2026 | OUT | $68,776 | May 22, 2026 | +9.8% | ✕ wrong |
| Jan 31, 2026 | IN | $78,621 | Mar 2, 2026 | −12.5% | ✕ wrong |
| Dec 30, 2025 | OUT | $88,430 | Jan 31, 2026 | −11.1% | ✓ right |
| Dec 15, 2025 | IN | $86,420 | Dec 30, 2025 | +2.3% | ✓ right |
| Dec 2, 2025 | OUT | $91,350 | Dec 15, 2025 | −5.4% | ✓ right |
| Nov 4, 2025 | IN | $101,591 | Dec 2, 2025 | −10.1% | ✕ wrong |
| Sep 29, 2025 | OUT | $114,400 | Nov 4, 2025 | −11.2% | ✓ right |
| Sep 25, 2025 | IN | $109,049 | Sep 29, 2025 | +4.9% | ✓ 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 127 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.