Mean reversion · daily rule · Healthcare
Bollinger Reversion on Sienna Senior Living
What the play says
SIA 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 SIA over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.1% | +11.5% | +0.6% | +13.3% |
| Total return | +19% | +490% | +3% | +86% |
| Worst drawdown | −48.7% | −53.2% | −23.4% | −28.6% |
| Volatility | 14.0% | 21.3% | 10.1% | 19.8% |
| Sharpe ratio | 0.04 | 0.55 | −0.26 | 0.54 |
| Time invested | 18% | 100% | ||
| Switches per year | 7.4 | 0 |
Every call, graded
Right on 73 of 121 closed calls (60%). In calls averaged +0.3%; out calls saw SIA move +3.4% on average.
| Called | Call | Price | Until | SIA moved | Result |
|---|---|---|---|---|---|
| Oct 6, 2026 | IN | C$19.43 | now | −0.6% | open |
| Sep 23, 2026 | OUT | C$20.61 | Oct 6, 2026 | −5.7% | ✓ right |
| Jul 31, 2026 | IN | C$22.12 | Sep 23, 2026 | −6.8% | ✕ wrong |
| Apr 2, 2026 | OUT | C$21.93 | Jul 31, 2026 | +0.9% | ✕ wrong |
| Mar 20, 2026 | IN | C$21.62 | Apr 2, 2026 | +1.5% | ✓ right |
| Aug 6, 2025 | OUT | C$17.53 | Mar 20, 2026 | +23.4% | ✕ wrong |
| Jul 22, 2025 | IN | C$17.18 | Aug 6, 2025 | +2.0% | ✓ right |
| Jan 20, 2025 | OUT | C$14.04 | Jul 22, 2025 | +22.3% | ✕ wrong |
| Dec 12, 2024 | IN | C$14.81 | Jan 20, 2025 | −5.2% | ✕ wrong |
| Nov 20, 2024 | OUT | C$15.46 | Dec 12, 2024 | −4.2% | ✓ right |
| Nov 12, 2024 | IN | C$15.03 | Nov 20, 2024 | +2.9% | ✓ right |
| Oct 15, 2024 | OUT | C$15.29 | Nov 12, 2024 | −1.8% | ✓ 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 122 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.