Mean reversion · daily rule · Metals & mining
Bollinger Reversion on Ero Copper
What the play says
ERO with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2017
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ERO over exactly the same dates, after costs.
| Play, since 2017 | Hold, since 2017 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.4% | +26.7% | −2.2% | +16.8% |
| Total return | −4% | +713% | −11% | +117% |
| Worst drawdown | −54.5% | −62.8% | −38.5% | −57.9% |
| Volatility | 27.8% | 52.9% | 24.0% | 53.4% |
| Sharpe ratio | 0.03 | 0.66 | −0.13 | 0.49 |
| Time invested | 24% | 100% | ||
| Switches per year | 7.7 | 0 |
Every call, graded
Right on 40 of 68 closed calls (59%). In calls averaged +0.5%; out calls saw ERO move +5.6% on average.
| Called | Call | Price | Until | ERO moved | Result |
|---|---|---|---|---|---|
| Aug 13, 2025 | OUT | C$19.28 | now | +170.0% | open |
| Jul 9, 2025 | IN | C$19.51 | Aug 13, 2025 | −1.2% | ✕ wrong |
| Apr 23, 2025 | OUT | C$16.50 | Jul 9, 2025 | +18.2% | ✕ wrong |
| Apr 3, 2025 | IN | C$15.84 | Apr 23, 2025 | +4.2% | ✓ right |
| Mar 14, 2025 | OUT | C$18.11 | Apr 3, 2025 | −12.5% | ✓ right |
| Feb 21, 2025 | IN | C$18.18 | Mar 14, 2025 | −0.4% | ✕ wrong |
| Feb 10, 2025 | OUT | C$19.88 | Feb 21, 2025 | −8.6% | ✓ right |
| Jan 28, 2025 | IN | C$18.94 | Feb 10, 2025 | +5.0% | ✓ right |
| Jan 3, 2025 | OUT | C$19.95 | Jan 28, 2025 | −5.1% | ✓ right |
| Nov 4, 2024 | IN | C$24.75 | Jan 3, 2025 | −19.4% | ✕ wrong |
| Aug 15, 2024 | OUT | C$27.39 | Nov 4, 2024 | −9.6% | ✓ right |
| Jul 18, 2024 | IN | C$27.13 | Aug 15, 2024 | +1.0% | ✓ 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 69 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.