Mean reversion · daily rule · Energy & power
Bollinger Reversion on Strathcona Resources
What the play says
SCR with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SCR over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.0% | +5.0% | +4.6% | +9.3% |
| Total return | +378% | +121% | +25% | +56% |
| Worst drawdown | −90.2% | −95.2% | −36.8% | −78.1% |
| Volatility | 47.8% | 91.1% | 25.8% | 48.4% |
| Sharpe ratio | 0.40 | 0.48 | 0.16 | 0.35 |
| Time invested | 30% | 100% | ||
| Switches per year | 9.7 | 0 |
Every call, graded
Right on 113 of 160 closed calls (71%). In calls averaged +3.3%; out calls saw SCR move +4.0% on average.
| Called | Call | Price | Until | SCR moved | Result |
|---|---|---|---|---|---|
| Oct 13, 2026 | OUT | C$41.35 | now | 0.0% | open |
| Sep 21, 2026 | IN | C$40.70 | Oct 13, 2026 | +1.6% | ✓ right |
| Jul 13, 2026 | OUT | C$40.22 | Sep 21, 2026 | +1.2% | ✕ wrong |
| Jun 17, 2026 | IN | C$41.14 | Jul 13, 2026 | −2.2% | ✕ wrong |
| Feb 3, 2026 | OUT | C$26.27 | Jun 17, 2026 | +56.6% | ✕ wrong |
| Dec 19, 2025 | IN | C$28.85 | Feb 3, 2026 | −8.9% | ✕ wrong |
| Oct 27, 2025 | OUT | C$26.33 | Dec 19, 2025 | +9.6% | ✕ wrong |
| Oct 21, 2025 | IN | C$25.32 | Oct 27, 2025 | +4.0% | ✓ right |
| Oct 14, 2025 | OUT | C$26.65 | Oct 21, 2025 | −5.0% | ✓ right |
| Oct 10, 2025 | IN | C$25.64 | Oct 14, 2025 | +4.0% | ✓ right |
| Oct 3, 2025 | OUT | C$27.21 | Oct 10, 2025 | −5.8% | ✓ right |
| Sep 15, 2025 | IN | C$26.65 | Oct 3, 2025 | +2.1% | ✓ 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 161 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.