Mean reversion · daily rule · Indexes & ETFs
Bollinger Reversion on S&P 500 ETF
What the play says
SPY 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 SPY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.8% | +11.0% | +11.8% | +13.9% |
| Total return | +240% | +861% | +74% | +91% |
| Worst drawdown | −36.6% | −55.2% | −10.4% | −24.5% |
| Volatility | 13.3% | 18.9% | 11.5% | 17.1% |
| Sharpe ratio | 0.36 | 0.55 | 0.70 | 0.62 |
| Time invested | 19% | 100% | ||
| Switches per year | 9.1 | 0 |
Every call, graded
Right on 126 of 198 closed calls (64%). In calls averaged +1.1%; out calls saw SPY move +1.5% on average.
| Called | Call | Price | Until | SPY moved | Result |
|---|---|---|---|---|---|
| Sep 21, 2026 | OUT | $773.50 | now | +0.6% | open |
| Sep 16, 2026 | IN | $752.18 | Sep 21, 2026 | +2.8% | ✓ right |
| Jul 31, 2026 | OUT | $745.18 | Sep 16, 2026 | +0.9% | ✕ wrong |
| Jul 29, 2026 | IN | $727.65 | Jul 31, 2026 | +2.4% | ✓ right |
| Jun 15, 2026 | OUT | $751.02 | Jul 29, 2026 | −3.1% | ✓ right |
| Jun 10, 2026 | IN | $721.77 | Jun 15, 2026 | +4.1% | ✓ right |
| Apr 6, 2026 | OUT | $655.61 | Jun 10, 2026 | +10.1% | ✕ wrong |
| Mar 6, 2026 | IN | $667.17 | Apr 6, 2026 | −1.7% | ✕ wrong |
| Feb 6, 2026 | OUT | $685.27 | Mar 6, 2026 | −2.6% | ✓ right |
| Feb 5, 2026 | IN | $672.37 | Feb 6, 2026 | +1.9% | ✓ right |
| Jan 22, 2026 | OUT | $683.64 | Feb 5, 2026 | −1.6% | ✓ right |
| Jan 20, 2026 | IN | $672.33 | Jan 22, 2026 | +1.7% | ✓ 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 199 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.