Mean reversion · daily rule · Industrials & materials
Bollinger Reversion on GFL Environmental
What the play says
GFL with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GFL over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.9% | +17.3% | +17.9% | +4.6% |
| Total return | +192% | +182% | +127% | +25% |
| Worst drawdown | −15.7% | −39.3% | −15.7% | −39.3% |
| Volatility | 15.0% | 31.0% | 15.0% | 29.0% |
| Sharpe ratio | 0.98 | 0.57 | 0.92 | 0.17 |
| Time invested | 18% | 100% | ||
| Switches per year | 8.9 | 0 |
Every call, graded
Right on 44 of 58 closed calls (76%). In calls averaged +3.4%; out calls saw GFL move +0.5% on average.
| Called | Call | Price | Until | GFL moved | Result |
|---|---|---|---|---|---|
| Jun 4, 2026 | OUT | C$49.75 | now | +22.1% | open |
| May 28, 2026 | IN | C$47.24 | Jun 4, 2026 | +5.3% | ✓ right |
| Mar 31, 2026 | OUT | C$57.98 | May 28, 2026 | −18.5% | ✓ right |
| Mar 20, 2026 | IN | C$55.92 | Mar 31, 2026 | +3.7% | ✓ right |
| Feb 17, 2026 | OUT | C$59.00 | Mar 20, 2026 | −5.2% | ✓ right |
| Feb 12, 2026 | IN | C$56.21 | Feb 17, 2026 | +5.0% | ✓ right |
| Jan 15, 2026 | OUT | C$59.33 | Feb 12, 2026 | −5.3% | ✓ right |
| Jan 7, 2026 | IN | C$57.73 | Jan 15, 2026 | +2.8% | ✓ right |
| Nov 18, 2025 | OUT | C$63.53 | Jan 7, 2026 | −9.1% | ✓ right |
| Oct 29, 2025 | IN | C$61.14 | Nov 18, 2025 | +3.9% | ✓ right |
| Oct 22, 2025 | OUT | C$64.47 | Oct 29, 2025 | −5.2% | ✓ right |
| Oct 16, 2025 | IN | C$62.54 | Oct 22, 2025 | +3.1% | ✓ 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 59 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.