Mean reversion · daily rule · Energy & power
Bollinger Reversion on Gibson Energy
What the play says
GEI 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 GEI over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.4% | +9.8% | +10.2% | +15.6% |
| Total return | +63% | +291% | +62% | +106% |
| Worst drawdown | −51.3% | −63.6% | −19.3% | −24.7% |
| Volatility | 19.0% | 29.0% | 11.1% | 21.6% |
| Sharpe ratio | 0.18 | 0.41 | 0.59 | 0.60 |
| Time invested | 21% | 100% | ||
| Switches per year | 8.9 | 0 |
Every call, graded
Right on 80 of 130 closed calls (62%). In calls averaged +0.8%; out calls saw GEI move +1.8% on average.
| Called | Call | Price | Until | GEI moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2026 | OUT | C$27.98 | now | +17.4% | open |
| Apr 10, 2026 | IN | C$27.75 | Apr 28, 2026 | +0.8% | ✓ right |
| Jan 12, 2026 | OUT | C$24.02 | Apr 10, 2026 | +15.5% | ✕ wrong |
| Jan 7, 2026 | IN | C$23.13 | Jan 12, 2026 | +3.8% | ✓ right |
| Nov 11, 2025 | OUT | C$22.30 | Jan 7, 2026 | +3.7% | ✕ wrong |
| Oct 7, 2025 | IN | C$23.61 | Nov 11, 2025 | −5.5% | ✕ wrong |
| Mar 12, 2025 | OUT | C$19.55 | Oct 7, 2025 | +20.7% | ✕ wrong |
| Jan 28, 2025 | IN | C$21.75 | Mar 12, 2025 | −10.1% | ✕ wrong |
| Nov 14, 2024 | OUT | C$20.28 | Jan 28, 2025 | +7.3% | ✕ wrong |
| Nov 5, 2024 | IN | C$19.50 | Nov 14, 2024 | +4.0% | ✓ right |
| Aug 23, 2024 | OUT | C$18.89 | Nov 5, 2024 | +3.2% | ✕ wrong |
| Aug 1, 2024 | IN | C$18.76 | Aug 23, 2024 | +0.7% | ✓ 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 131 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.