Mean reversion · daily rule · Metals & mining
Bollinger Reversion on Ivanhoe Mines
What the play says
IVN 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 IVN over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.6% | +7.0% | +12.1% | +4.1% |
| Total return | +25% | +156% | +76% | +22% |
| Worst drawdown | −78.7% | −89.8% | −34.1% | −53.9% |
| Volatility | 33.0% | 56.8% | 30.6% | 52.2% |
| Sharpe ratio | 0.16 | 0.37 | 0.40 | 0.27 |
| Time invested | 26% | 100% | ||
| Switches per year | 8.6 | 0 |
Every call, graded
Right on 74 of 119 closed calls (62%). In calls averaged +0.9%; out calls saw IVN move +4.5% on average.
| Called | Call | Price | Until | IVN moved | Result |
|---|---|---|---|---|---|
| Oct 8, 2026 | IN | C$11.16 | now | +0.4% | open |
| Jul 21, 2026 | OUT | C$10.77 | Oct 8, 2026 | +3.6% | ✕ wrong |
| Jun 24, 2026 | IN | C$10.27 | Jul 21, 2026 | +4.9% | ✓ right |
| Apr 10, 2026 | OUT | C$11.50 | Jun 24, 2026 | −10.7% | ✓ right |
| Feb 23, 2026 | IN | C$15.05 | Apr 10, 2026 | −23.6% | ✕ wrong |
| Nov 25, 2025 | OUT | C$13.21 | Feb 23, 2026 | +13.9% | ✕ wrong |
| Nov 4, 2025 | IN | C$12.99 | Nov 25, 2025 | +1.7% | ✓ right |
| Jul 2, 2025 | OUT | C$10.65 | Nov 4, 2025 | +22.0% | ✕ wrong |
| May 26, 2025 | IN | C$10.77 | Jul 2, 2025 | −1.1% | ✕ wrong |
| Apr 23, 2025 | OUT | C$12.74 | May 26, 2025 | −15.5% | ✓ right |
| Mar 31, 2025 | IN | C$12.22 | Apr 23, 2025 | +4.3% | ✓ right |
| Mar 17, 2025 | OUT | C$14.52 | Mar 31, 2025 | −15.8% | ✓ 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 120 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.