Mean reversion · daily rule · Market indexes
Bollinger Reversion on Nasdaq-100 index
What the play says
Nasdaq-100 with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of 10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding Nasdaq-100 over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.7% | +14.5% | +5.4% | +15.7% |
| Total return | +169% | +1,806% | +30% | +107% |
| Worst drawdown | −43.1% | −53.7% | −16.1% | −35.6% |
| Volatility | 14.9% | 22.0% | 14.5% | 23.2% |
| Sharpe ratio | 0.26 | 0.65 | 0.17 | 0.58 |
| Time invested | 20% | 100% | ||
| Switches per year | 8.6 | 0 |
Every call, graded
Right on 115 of 188 closed calls (61%). In calls averaged +0.9%; out calls saw Nasdaq-100 move +2.7% on average.
| Called | Call | Price | Until | Nasdaq-100 moved | Result |
|---|---|---|---|---|---|
| Aug 3, 2026 | OUT | 28,777 | now | +6.2% | open |
| Jul 17, 2026 | IN | 28,593 | Aug 3, 2026 | +0.6% | ✓ right |
| Apr 7, 2026 | OUT | 24,202 | Jul 17, 2026 | +18.1% | ✕ wrong |
| Mar 13, 2026 | IN | 24,381 | Apr 7, 2026 | −0.7% | ✕ wrong |
| Feb 25, 2026 | OUT | 25,329 | Mar 13, 2026 | −3.7% | ✓ right |
| Feb 4, 2026 | IN | 24,891 | Feb 25, 2026 | +1.8% | ✓ right |
| Jan 22, 2026 | OUT | 25,518 | Feb 4, 2026 | −2.5% | ✓ right |
| Jan 20, 2026 | IN | 24,988 | Jan 22, 2026 | +2.1% | ✓ right |
| Nov 26, 2025 | OUT | 25,237 | Jan 20, 2026 | −1.0% | ✓ right |
| Nov 18, 2025 | IN | 24,503 | Nov 26, 2025 | +3.0% | ✓ right |
| Apr 23, 2025 | OUT | 18,693 | Nov 18, 2025 | +31.1% | ✕ wrong |
| Apr 3, 2025 | IN | 18,522 | Apr 23, 2025 | +0.9% | ✓ 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 189 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.