Mean reversion · daily rule · Crypto
Bollinger Reversion on Ether
What the play says
ETH with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2017
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ETH over exactly the same dates, after costs.
| Play, since 2017 | Hold, since 2017 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −10.4% | +22.0% | −8.9% | −7.1% |
| Total return | −62% | +484% | −37% | −31% |
| Worst drawdown | −82.0% | −94.0% | −58.6% | −79.4% |
| Volatility | 46.8% | 84.0% | 40.9% | 68.7% |
| Sharpe ratio | −0.06 | 0.63 | −0.12 | 0.18 |
| Time invested | 28% | 100% | ||
| Switches per year | 12.1 | 0 |
Every call, graded
Right on 68 of 107 closed calls (64%). In calls averaged −0.4%; out calls saw ETH move +12.0% on average.
| Called | Call | Price | Until | ETH moved | Result |
|---|---|---|---|---|---|
| Oct 7, 2026 | IN | $2,573.53 | now | −3.0% | open |
| Jun 15, 2026 | OUT | $1,794.96 | Oct 7, 2026 | +43.4% | ✕ wrong |
| May 15, 2026 | IN | $2,223.33 | Jun 15, 2026 | −19.3% | ✕ wrong |
| Feb 25, 2026 | OUT | $2,054.63 | May 15, 2026 | +8.2% | ✕ wrong |
| Jan 20, 2026 | IN | $2,935.61 | Feb 25, 2026 | −30.0% | ✕ wrong |
| Dec 2, 2025 | OUT | $2,997.94 | Jan 20, 2026 | −2.1% | ✓ right |
| Nov 3, 2025 | IN | $3,602.31 | Dec 2, 2025 | −16.8% | ✕ wrong |
| Oct 1, 2025 | OUT | $4,351.11 | Nov 3, 2025 | −17.2% | ✓ right |
| Sep 25, 2025 | IN | $3,868.33 | Oct 1, 2025 | +12.5% | ✓ right |
| Jun 29, 2025 | OUT | $2,500.96 | Sep 25, 2025 | +54.7% | ✕ wrong |
| Jun 21, 2025 | IN | $2,300.50 | Jun 29, 2025 | +8.7% | ✓ right |
| Jun 9, 2025 | OUT | $2,681.52 | Jun 21, 2025 | −14.2% | ✓ 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 108 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.