Mean reversion · daily rule · Financials
Bollinger Reversion on Sprott
What the play says
SII with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SII over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.8% | +8.2% | +23.2% | +32.3% |
| Total return | +65% | +313% | +183% | +303% |
| Worst drawdown | −54.2% | −78.7% | −18.7% | −43.4% |
| Volatility | 24.4% | 43.6% | 18.4% | 37.4% |
| Sharpe ratio | 0.18 | 0.36 | 1.02 | 0.83 |
| Time invested | 25% | 100% | ||
| Switches per year | 8.9 | 0 |
Every call, graded
Right on 106 of 161 closed calls (66%). In calls averaged +0.9%; out calls saw SII move +3.8% on average.
| Called | Call | Price | Until | SII moved | Result |
|---|---|---|---|---|---|
| Sep 28, 2026 | IN | C$170.06 | now | −3.6% | open |
| Jul 3, 2026 | OUT | C$167.12 | Sep 28, 2026 | +1.8% | ✕ wrong |
| Jun 24, 2026 | IN | C$150.85 | Jul 3, 2026 | +10.8% | ✓ right |
| Jun 15, 2026 | OUT | C$179.04 | Jun 24, 2026 | −15.7% | ✓ right |
| Jun 10, 2026 | IN | C$157.00 | Jun 15, 2026 | +14.0% | ✓ right |
| May 6, 2026 | OUT | C$206.30 | Jun 10, 2026 | −23.9% | ✓ right |
| Apr 21, 2026 | IN | C$177.29 | May 6, 2026 | +16.4% | ✓ right |
| Apr 1, 2026 | OUT | C$202.57 | Apr 21, 2026 | −12.5% | ✓ right |
| Mar 19, 2026 | IN | C$186.88 | Apr 1, 2026 | +8.4% | ✓ right |
| Aug 29, 2025 | OUT | C$89.27 | Mar 19, 2026 | +109.3% | ✕ wrong |
| Aug 19, 2025 | IN | C$85.53 | Aug 29, 2025 | +4.4% | ✓ right |
| Apr 11, 2025 | OUT | C$64.25 | Aug 19, 2025 | +33.1% | ✕ 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 162 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.