Mean reversion · daily rule · Real estate
Bollinger Reversion on Crombie REIT
What the play says
CRR.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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CRR.UN over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.4% | +8.6% | +2.9% | +2.9% |
| Total return | +99% | +434% | +16% | +15% |
| Worst drawdown | −32.2% | −56.2% | −15.2% | −31.1% |
| Volatility | 13.0% | 20.9% | 11.5% | 18.6% |
| Sharpe ratio | 0.20 | 0.42 | −0.02 | 0.04 |
| Time invested | 19% | 100% | ||
| Switches per year | 8.3 | 0 |
Every call, graded
Right on 108 of 170 closed calls (64%). In calls averaged +0.7%; out calls saw CRR.UN move +1.7% on average.
| Called | Call | Price | Until | CRR.UN moved | Result |
|---|---|---|---|---|---|
| Sep 28, 2026 | OUT | C$15.75 | now | −0.5% | open |
| Jul 30, 2026 | IN | C$17.24 | Sep 28, 2026 | −8.6% | ✕ wrong |
| Apr 1, 2026 | OUT | C$15.55 | Jul 30, 2026 | +10.8% | ✕ wrong |
| Mar 20, 2026 | IN | C$15.10 | Apr 1, 2026 | +3.0% | ✓ right |
| Nov 7, 2025 | OUT | C$14.39 | Mar 20, 2026 | +5.0% | ✕ wrong |
| Oct 30, 2025 | IN | C$13.97 | Nov 7, 2025 | +3.0% | ✓ right |
| Aug 7, 2025 | OUT | C$13.83 | Oct 30, 2025 | +1.0% | ✕ wrong |
| Jul 28, 2025 | IN | C$13.35 | Aug 7, 2025 | +3.6% | ✓ right |
| Apr 9, 2025 | OUT | C$13.01 | Jul 28, 2025 | +2.7% | ✕ wrong |
| Apr 8, 2025 | IN | C$12.37 | Apr 9, 2025 | +5.1% | ✓ right |
| Jan 20, 2025 | OUT | C$12.07 | Apr 8, 2025 | +2.5% | ✕ wrong |
| Nov 1, 2024 | IN | C$13.06 | Jan 20, 2025 | −7.6% | ✕ 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 171 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.