Mean reversion · daily rule · Financials
Bollinger Reversion on Definity Financial
What the play says
DFY with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DFY over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.6% | +21.7% | +8.6% | +21.7% |
| Total return | +49% | +157% | +49% | +157% |
| Worst drawdown | −19.4% | −21.0% | −19.4% | −21.0% |
| Volatility | 11.9% | 23.3% | 11.9% | 23.3% |
| Sharpe ratio | 0.42 | 0.79 | 0.42 | 0.79 |
| Time invested | 22% | 100% | ||
| Switches per year | 8.5 | 0 |
Every call, graded
Right on 25 of 41 closed calls (61%). In calls averaged +1.3%; out calls saw DFY move +4.1% on average.
| Called | Call | Price | Until | DFY moved | Result |
|---|---|---|---|---|---|
| Oct 6, 2026 | IN | C$66.77 | now | +3.2% | open |
| Sep 16, 2026 | OUT | C$73.31 | Oct 6, 2026 | −8.9% | ✓ right |
| Aug 18, 2026 | IN | C$76.04 | Sep 16, 2026 | −3.6% | ✕ wrong |
| Apr 15, 2026 | OUT | C$65.27 | Aug 18, 2026 | +16.5% | ✕ wrong |
| Mar 26, 2026 | IN | C$65.37 | Apr 15, 2026 | −0.2% | ✕ wrong |
| Feb 23, 2026 | OUT | C$67.39 | Mar 26, 2026 | −3.0% | ✓ right |
| Jan 19, 2026 | IN | C$72.29 | Feb 23, 2026 | −6.8% | ✕ wrong |
| Nov 5, 2025 | OUT | C$66.57 | Jan 19, 2026 | +8.6% | ✕ wrong |
| Sep 26, 2025 | IN | C$69.53 | Nov 5, 2025 | −4.3% | ✕ wrong |
| Sep 3, 2025 | OUT | C$71.33 | Sep 26, 2025 | −2.5% | ✓ right |
| Jul 30, 2025 | IN | C$74.24 | Sep 3, 2025 | −3.9% | ✕ wrong |
| Jan 22, 2025 | OUT | C$55.61 | Jul 30, 2025 | +33.5% | ✕ 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 42 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.