Mean reversion · daily rule · Micro caps
Bollinger Reversion on Quantum X
What the play says
QUTX with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding QUTX over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +89.5% | −83.1% | −40.3% | −95.0% |
| Total return | +1,760,056% | −100% | −92% | −100% |
| Worst drawdown | −99.8% | −100.0% | −95.3% | −100.0% |
| Volatility | 319,664.6% | 319,667.6% | 85.5% | 451.0% |
| Sharpe ratio | 0.26 | 0.26 | −0.22 | 0.55 |
| Time invested | 22% | 100% | ||
| Switches per year | 6.3 | 0 |
Every call, graded
Right on 79 of 96 closed calls (82%). In calls averaged +26,305.2%; out calls saw QUTX move +1,942.6% on average.
| Called | Call | Price | Until | QUTX moved | Result |
|---|---|---|---|---|---|
| Feb 16, 2023 | OUT | $3.70 | now | −100.0% | open |
| Nov 15, 2022 | IN | $29.80 | Feb 16, 2023 | −87.6% | ✕ wrong |
| Nov 9, 2022 | OUT | $107.50 | Nov 15, 2022 | −72.3% | ✓ right |
| Oct 21, 2022 | IN | $77.10 | Nov 9, 2022 | +39.4% | ✓ right |
| Jul 11, 2022 | OUT | $90.00 | Oct 21, 2022 | −14.3% | ✓ right |
| Jun 3, 2022 | IN | $80.00 | Jul 11, 2022 | +12.5% | ✓ right |
| May 26, 2022 | OUT | $160.00 | Jun 3, 2022 | −50.0% | ✓ right |
| Apr 27, 2022 | IN | $150.00 | May 26, 2022 | +6.7% | ✓ right |
| Mar 15, 2022 | OUT | $400.00 | Apr 27, 2022 | −62.5% | ✓ right |
| Dec 2, 2021 | IN | $1,350.00 | Mar 15, 2022 | −70.4% | ✕ wrong |
| Nov 5, 2021 | OUT | $2,400.00 | Dec 2, 2021 | −43.8% | ✓ right |
| Oct 28, 2021 | IN | $2,200.00 | Nov 5, 2021 | +9.1% | ✓ 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 97 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.