Mean reversion · daily rule · Financials
Bollinger Reversion on Laurentian Bank of Canada
What the play says
LB with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.8% | +7.3% | −6.4% | +5.8% |
| Total return | +18% | +359% | −28% | +32% |
| Worst drawdown | −57.6% | −49.5% | −51.7% | −41.4% |
| Volatility | 13.7% | 24.5% | 13.7% | 26.1% |
| Sharpe ratio | −0.00 | 0.34 | −0.68 | 0.20 |
| Time invested | 23% | 100% | ||
| Switches per year | 8.7 | 0 |
Every call, graded
Right on 120 of 192 closed calls (62%). In calls averaged +0.2%; out calls saw LB move +1.7% on average.
| Called | Call | Price | Until | LB moved | Result |
|---|---|---|---|---|---|
| Oct 23, 2025 | OUT | C$30.93 | now | +30.7% | open |
| Oct 16, 2025 | IN | C$30.41 | Oct 23, 2025 | +1.7% | ✓ right |
| Oct 15, 2025 | OUT | C$31.07 | Oct 16, 2025 | −2.1% | ✓ right |
| Oct 10, 2025 | IN | C$30.60 | Oct 15, 2025 | +1.6% | ✓ right |
| Aug 12, 2025 | OUT | C$29.07 | Oct 10, 2025 | +5.3% | ✕ wrong |
| Aug 1, 2025 | IN | C$28.70 | Aug 12, 2025 | +1.3% | ✓ right |
| Apr 9, 2025 | OUT | C$24.58 | Aug 1, 2025 | +16.8% | ✕ wrong |
| Apr 4, 2025 | IN | C$23.73 | Apr 9, 2025 | +3.6% | ✓ right |
| Mar 17, 2025 | OUT | C$24.70 | Apr 4, 2025 | −3.9% | ✓ right |
| Feb 28, 2025 | IN | C$24.39 | Mar 17, 2025 | +1.3% | ✓ right |
| Feb 26, 2025 | OUT | C$25.26 | Feb 28, 2025 | −3.5% | ✓ right |
| Jan 31, 2025 | IN | C$25.50 | Feb 26, 2025 | −0.9% | ✕ wrong |
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 193 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.