Mean reversion · daily rule · Industrials & materials
Bollinger Reversion on CCL Industries
What the play says
CCL.B with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CCL.B over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.6% | +17.9% | +10.5% | +9.3% |
| Total return | +304% | +3,458% | +65% | +56% |
| Worst drawdown | −33.9% | −57.0% | −11.2% | −23.5% |
| Volatility | 14.0% | 28.7% | 9.7% | 22.7% |
| Sharpe ratio | 0.40 | 0.65 | 0.69 | 0.34 |
| Time invested | 19% | 100% | ||
| Switches per year | 7.3 | 0 |
Every call, graded
Right on 105 of 158 closed calls (66%). In calls averaged +1.6%; out calls saw CCL.B move +4.2% on average.
| Called | Call | Price | Until | CCL.B moved | Result |
|---|---|---|---|---|---|
| May 14, 2026 | OUT | C$86.42 | now | +11.1% | open |
| Apr 29, 2026 | IN | C$83.40 | May 14, 2026 | +3.6% | ✓ right |
| Feb 4, 2026 | OUT | C$85.04 | Apr 29, 2026 | −1.9% | ✓ right |
| Jan 28, 2026 | IN | C$83.18 | Feb 4, 2026 | +2.2% | ✓ right |
| Jan 21, 2026 | OUT | C$85.96 | Jan 28, 2026 | −3.2% | ✓ right |
| Jan 19, 2026 | IN | C$83.72 | Jan 21, 2026 | +2.7% | ✓ right |
| Oct 21, 2025 | OUT | C$76.92 | Jan 19, 2026 | +8.8% | ✕ wrong |
| Sep 29, 2025 | IN | C$76.96 | Oct 21, 2025 | −0.1% | ✕ wrong |
| Aug 11, 2025 | OUT | C$77.47 | Sep 29, 2025 | −0.7% | ✓ right |
| Jul 28, 2025 | IN | C$76.52 | Aug 11, 2025 | +1.2% | ✓ right |
| Apr 24, 2025 | OUT | C$67.78 | Jul 28, 2025 | +12.9% | ✕ wrong |
| Apr 4, 2025 | IN | C$65.99 | Apr 24, 2025 | +2.7% | ✓ 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 159 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.