Mean reversion · daily rule · Metals & mining
Bollinger Reversion on Labrador Iron Ore Royalty
What the play says
LIF with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LIF over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.0% | +7.9% | +6.4% | −3.1% |
| Total return | −52% | +292% | +36% | −14% |
| Worst drawdown | −72.5% | −76.5% | −27.6% | −46.5% |
| Volatility | 22.9% | 37.8% | 14.1% | 27.2% |
| Sharpe ratio | −0.12 | 0.35 | 0.24 | −0.12 |
| Time invested | 25% | 100% | ||
| Switches per year | 8.8 | 0 |
Every call, graded
Right on 98 of 159 closed calls (62%). In calls averaged −0.4%; out calls saw LIF move +4.2% on average.
| Called | Call | Price | Until | LIF moved | Result |
|---|---|---|---|---|---|
| Sep 24, 2026 | IN | C$24.60 | now | −15.7% | open |
| Sep 22, 2026 | OUT | C$25.86 | Sep 24, 2026 | −4.9% | ✓ right |
| Sep 10, 2026 | IN | C$25.35 | Sep 22, 2026 | +2.0% | ✓ right |
| Jul 31, 2026 | OUT | C$26.42 | Sep 10, 2026 | −4.1% | ✓ right |
| Jul 15, 2026 | IN | C$26.23 | Jul 31, 2026 | +0.8% | ✓ right |
| May 25, 2026 | OUT | C$27.71 | Jul 15, 2026 | −5.3% | ✓ right |
| May 19, 2026 | IN | C$26.80 | May 25, 2026 | +3.4% | ✓ right |
| Mar 30, 2026 | OUT | C$28.05 | May 19, 2026 | −4.5% | ✓ right |
| Mar 12, 2026 | IN | C$27.54 | Mar 30, 2026 | +1.9% | ✓ right |
| Feb 11, 2026 | OUT | C$29.63 | Mar 12, 2026 | −7.1% | ✓ right |
| Jan 30, 2026 | IN | C$28.55 | Feb 11, 2026 | +3.8% | ✓ right |
| Jan 5, 2026 | OUT | C$29.05 | Jan 30, 2026 | −1.7% | ✓ 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 160 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.