Mean reversion · daily rule · Software & devices
Bollinger Reversion on Lumentum
What the play says
LITE with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LITE over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +26.8% | +41.3% | +28.1% | +63.7% |
| Total return | +1,300% | +4,560% | +243% | +1,060% |
| Worst drawdown | −29.4% | −66.9% | −22.8% | −66.5% |
| Volatility | 29.0% | 56.9% | 29.0% | 64.3% |
| Sharpe ratio | 0.89 | 0.86 | 0.87 | 1.03 |
| Time invested | 24% | 100% | ||
| Switches per year | 9.7 | 0 |
Every call, graded
Right on 76 of 108 closed calls (70%). In calls averaged +5.1%; out calls saw LITE move +8.5% on average.
| Called | Call | Price | Until | LITE moved | Result |
|---|---|---|---|---|---|
| Aug 3, 2026 | OUT | $779.89 | now | +26.7% | open |
| Jul 28, 2026 | IN | $651.93 | Aug 3, 2026 | +19.6% | ✓ right |
| Jul 21, 2026 | OUT | $837.56 | Jul 28, 2026 | −22.2% | ✓ right |
| Jul 2, 2026 | IN | $728.32 | Jul 21, 2026 | +15.0% | ✓ right |
| Oct 16, 2025 | OUT | $163.23 | Jul 2, 2026 | +346.2% | ✕ wrong |
| Oct 10, 2025 | IN | $149.61 | Oct 16, 2025 | +9.1% | ✓ right |
| Apr 24, 2025 | OUT | $58.77 | Oct 10, 2025 | +154.6% | ✕ wrong |
| Apr 3, 2025 | IN | $53.45 | Apr 24, 2025 | +10.0% | ✓ right |
| Mar 17, 2025 | OUT | $68.31 | Apr 3, 2025 | −21.8% | ✓ right |
| Mar 10, 2025 | IN | $57.41 | Mar 17, 2025 | +19.0% | ✓ right |
| Feb 5, 2025 | OUT | $89.19 | Mar 10, 2025 | −35.6% | ✓ right |
| Jan 27, 2025 | IN | $74.17 | Feb 5, 2025 | +20.3% | ✓ 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 109 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.