Mean reversion · daily rule · Energy & power
Bollinger Reversion on Hydro One
What the play says
H with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding H over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.1% | +12.1% | +5.1% | +14.5% |
| Total return | +13% | +241% | +28% | +96% |
| Worst drawdown | −29.5% | −27.7% | −11.8% | −17.1% |
| Volatility | 9.8% | 15.9% | 8.1% | 15.0% |
| Sharpe ratio | −0.07 | 0.65 | 0.19 | 0.72 |
| Time invested | 22% | 100% | ||
| Switches per year | 7.4 | 0 |
Every call, graded
Right on 41 of 80 closed calls (51%). In calls averaged 0.0%; out calls saw H move +3.4% on average.
| Called | Call | Price | Until | H moved | Result |
|---|---|---|---|---|---|
| Oct 6, 2026 | OUT | C$51.26 | now | +0.4% | open |
| Aug 5, 2026 | IN | C$56.70 | Oct 6, 2026 | −9.6% | ✕ wrong |
| Jun 16, 2026 | OUT | C$56.77 | Aug 5, 2026 | −0.1% | ✓ right |
| May 29, 2026 | IN | C$55.97 | Jun 16, 2026 | +1.4% | ✓ right |
| Jan 27, 2026 | OUT | C$52.82 | May 29, 2026 | +6.0% | ✕ wrong |
| Jan 15, 2026 | IN | C$51.48 | Jan 27, 2026 | +2.6% | ✓ right |
| Sep 24, 2025 | OUT | C$47.99 | Jan 15, 2026 | +7.3% | ✕ wrong |
| Sep 2, 2025 | IN | C$48.16 | Sep 24, 2025 | −0.4% | ✕ wrong |
| Jul 22, 2025 | OUT | C$47.34 | Sep 2, 2025 | +1.7% | ✕ wrong |
| Jul 17, 2025 | IN | C$46.40 | Jul 22, 2025 | +2.0% | ✓ right |
| Jun 30, 2025 | OUT | C$47.54 | Jul 17, 2025 | −2.4% | ✓ right |
| May 13, 2025 | IN | C$46.94 | Jun 30, 2025 | +1.3% | ✓ 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 81 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.