Mean reversion · daily rule · Energy & power
Bollinger Reversion on Parex Resources
What the play says
PXT with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PXT over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.5% | +12.7% | +11.8% | +10.2% |
| Total return | +8% | +472% | +74% | +62% |
| Worst drawdown | −64.1% | −61.0% | −42.4% | −58.8% |
| Volatility | 25.9% | 43.1% | 22.3% | 40.1% |
| Sharpe ratio | 0.09 | 0.46 | 0.45 | 0.35 |
| Time invested | 26% | 100% | ||
| Switches per year | 8.7 | 0 |
Every call, graded
Right on 77 of 127 closed calls (61%). In calls averaged +0.6%; out calls saw PXT move +4.8% on average.
| Called | Call | Price | Until | PXT moved | Result |
|---|---|---|---|---|---|
| Oct 8, 2026 | OUT | C$28.21 | now | +0.7% | open |
| Sep 22, 2026 | IN | C$26.45 | Oct 8, 2026 | +6.7% | ✓ right |
| Jul 13, 2026 | OUT | C$22.86 | Sep 22, 2026 | +15.7% | ✕ wrong |
| Jun 24, 2026 | IN | C$22.31 | Jul 13, 2026 | +2.5% | ✓ right |
| Jun 2, 2026 | OUT | C$26.57 | Jun 24, 2026 | −16.0% | ✓ right |
| May 28, 2026 | IN | C$23.68 | Jun 2, 2026 | +12.2% | ✓ right |
| Apr 22, 2026 | OUT | C$25.97 | May 28, 2026 | −8.8% | ✓ right |
| Apr 17, 2026 | IN | C$23.98 | Apr 22, 2026 | +8.3% | ✓ right |
| Dec 15, 2025 | OUT | C$17.46 | Apr 17, 2026 | +37.3% | ✕ wrong |
| Dec 11, 2025 | IN | C$16.57 | Dec 15, 2025 | +5.4% | ✓ right |
| Apr 28, 2025 | OUT | C$10.54 | Dec 11, 2025 | +57.2% | ✕ wrong |
| Apr 4, 2025 | IN | C$10.14 | Apr 28, 2025 | +4.0% | ✓ 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 128 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.