Mean reversion · daily rule · Consumer & retail
Bollinger Reversion on Ross Stores
What the play says
ROST 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 ROST over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.8% | +18.6% | +4.7% | +17.5% |
| Total return | +238% | +3,946% | +26% | +124% |
| Worst drawdown | −46.3% | −51.4% | −24.6% | −40.7% |
| Volatility | 18.0% | 30.2% | 17.8% | 29.5% |
| Sharpe ratio | 0.30 | 0.66 | 0.14 | 0.57 |
| Time invested | 22% | 100% | ||
| Switches per year | 8.7 | 0 |
Every call, graded
Right on 120 of 190 closed calls (63%). In calls averaged +1.2%; out calls saw ROST move +4.0% on average.
| Called | Call | Price | Until | ROST moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | OUT | $231.25 | now | −2.4% | open |
| Aug 20, 2026 | IN | $228.55 | Sep 21, 2026 | +1.2% | ✓ right |
| Jul 15, 2026 | OUT | $225.37 | Aug 20, 2026 | +1.4% | ✕ wrong |
| Jun 25, 2026 | IN | $214.72 | Jul 15, 2026 | +5.0% | ✓ right |
| May 22, 2026 | OUT | $233.90 | Jun 25, 2026 | −8.2% | ✓ right |
| May 11, 2026 | IN | $213.72 | May 22, 2026 | +9.4% | ✓ right |
| Apr 1, 2025 | OUT | $127.34 | May 11, 2026 | +67.8% | ✕ wrong |
| Feb 7, 2025 | IN | $140.18 | Apr 1, 2025 | −9.2% | ✕ wrong |
| Jan 30, 2025 | OUT | $150.34 | Feb 7, 2025 | −6.8% | ✓ right |
| Jan 27, 2025 | IN | $143.54 | Jan 30, 2025 | +4.7% | ✓ right |
| Oct 16, 2024 | OUT | $144.94 | Jan 27, 2025 | −1.0% | ✓ right |
| Oct 1, 2024 | IN | $145.34 | Oct 16, 2024 | −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 191 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.