Mean reversion · daily rule · Energy & power
Bollinger Reversion on PrairieSky Royalty
What the play says
PSK with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2014
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PSK over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −2.9% | +2.9% | +6.6% | +23.2% |
| Total return | −30% | +42% | +38% | +182% |
| Worst drawdown | −64.2% | −80.7% | −16.0% | −25.4% |
| Volatility | 19.0% | 32.8% | 11.5% | 25.3% |
| Sharpe ratio | −0.16 | 0.19 | 0.29 | 0.80 |
| Time invested | 25% | 100% | ||
| Switches per year | 8.4 | 0 |
Every call, graded
Right on 62 of 104 closed calls (60%). In calls averaged −0.5%; out calls saw PSK move +2.3% on average.
| Called | Call | Price | Until | PSK moved | Result |
|---|---|---|---|---|---|
| Oct 13, 2026 | OUT | C$34.95 | now | 0.0% | open |
| Sep 21, 2026 | IN | C$34.37 | Oct 13, 2026 | +1.7% | ✓ right |
| Jul 8, 2026 | OUT | C$32.55 | Sep 21, 2026 | +5.6% | ✕ wrong |
| Jun 16, 2026 | IN | C$32.14 | Jul 8, 2026 | +1.3% | ✓ right |
| Apr 22, 2026 | OUT | C$31.43 | Jun 16, 2026 | +2.3% | ✕ wrong |
| Apr 17, 2026 | IN | C$30.35 | Apr 22, 2026 | +3.6% | ✓ right |
| Jan 12, 2026 | OUT | C$26.08 | Apr 17, 2026 | +16.4% | ✕ wrong |
| Jan 5, 2026 | IN | C$25.48 | Jan 12, 2026 | +2.4% | ✓ right |
| May 12, 2025 | OUT | C$22.39 | Jan 5, 2026 | +13.8% | ✕ wrong |
| Apr 4, 2025 | IN | C$22.58 | May 12, 2025 | −0.8% | ✕ wrong |
| Mar 19, 2025 | OUT | C$24.71 | Apr 4, 2025 | −8.6% | ✓ right |
| Feb 25, 2025 | IN | C$24.77 | Mar 19, 2025 | −0.3% | ✕ 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 105 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.