Mean reversion · daily rule · Industrials & materials
Bollinger Reversion on Element Fleet Management
What the play says
EFN with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding EFN over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.4% | +12.3% | +7.3% | +12.3% |
| Total return | +148% | +451% | +42% | +78% |
| Worst drawdown | −55.3% | −80.1% | −32.1% | −42.6% |
| Volatility | 21.2% | 33.5% | 13.2% | 24.5% |
| Sharpe ratio | 0.32 | 0.47 | 0.31 | 0.44 |
| Time invested | 24% | 100% | ||
| Switches per year | 9.6 | 0 |
Every call, graded
Right on 95 of 141 closed calls (67%). In calls averaged +2.0%; out calls saw EFN move +2.1% on average.
| Called | Call | Price | Until | EFN moved | Result |
|---|---|---|---|---|---|
| Aug 6, 2026 | IN | C$28.42 | now | −24.0% | open |
| Jun 15, 2026 | OUT | C$27.46 | Aug 6, 2026 | +3.5% | ✕ wrong |
| May 4, 2026 | IN | C$30.44 | Jun 15, 2026 | −9.8% | ✕ wrong |
| Feb 2, 2026 | OUT | C$34.47 | May 4, 2026 | −11.7% | ✓ right |
| Jan 7, 2026 | IN | C$33.93 | Feb 2, 2026 | +1.6% | ✓ right |
| Nov 24, 2025 | OUT | C$36.48 | Jan 7, 2026 | −7.0% | ✓ right |
| Nov 13, 2025 | IN | C$35.23 | Nov 24, 2025 | +3.6% | ✓ right |
| Oct 3, 2025 | OUT | C$36.02 | Nov 13, 2025 | −2.2% | ✓ right |
| Sep 24, 2025 | IN | C$35.10 | Oct 3, 2025 | +2.6% | ✓ right |
| Mar 24, 2025 | OUT | C$27.83 | Sep 24, 2025 | +26.1% | ✕ wrong |
| Mar 13, 2025 | IN | C$26.27 | Mar 24, 2025 | +6.0% | ✓ right |
| Dec 31, 2024 | OUT | C$28.13 | Mar 13, 2025 | −6.6% | ✓ 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 142 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.