Mean reversion · daily rule · Consumer & retail
Bollinger Reversion on Keurig Dr Pepper
What the play says
KDP with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding KDP over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.9% | +14.7% | −0.2% | +0.8% |
| Total return | +103% | +1,126% | −1% | +4% |
| Worst drawdown | −41.1% | −55.1% | −24.4% | −31.2% |
| Volatility | 14.2% | 25.1% | 11.3% | 22.0% |
| Sharpe ratio | 0.24 | 0.61 | −0.29 | −0.03 |
| Time invested | 20% | 100% | ||
| Switches per year | 8.5 | 0 |
Every call, graded
Right on 101 of 155 closed calls (65%). In calls averaged +0.9%; out calls saw KDP move +3.3% on average.
| Called | Call | Price | Until | KDP moved | Result |
|---|---|---|---|---|---|
| Sep 25, 2026 | OUT | $31.72 | now | +3.0% | open |
| Sep 18, 2026 | IN | $30.74 | Sep 25, 2026 | +3.2% | ✓ right |
| Apr 9, 2026 | OUT | $26.04 | Sep 18, 2026 | +18.0% | ✕ wrong |
| Mar 12, 2026 | IN | $26.31 | Apr 9, 2026 | −1.0% | ✕ wrong |
| Feb 3, 2026 | OUT | $27.33 | Mar 12, 2026 | −3.7% | ✓ right |
| Jan 28, 2026 | IN | $26.10 | Feb 3, 2026 | +4.7% | ✓ right |
| Oct 13, 2025 | OUT | $25.60 | Jan 28, 2026 | +1.9% | ✕ wrong |
| Aug 25, 2025 | IN | $29.87 | Oct 13, 2025 | −14.3% | ✕ wrong |
| Aug 6, 2025 | OUT | $32.09 | Aug 25, 2025 | −6.9% | ✓ right |
| Jul 31, 2025 | IN | $31.36 | Aug 6, 2025 | +2.3% | ✓ right |
| May 30, 2025 | OUT | $32.11 | Jul 31, 2025 | −2.3% | ✓ right |
| May 13, 2025 | IN | $31.55 | May 30, 2025 | +1.8% | ✓ 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 156 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.