Mean reversion · daily rule · Semiconductors
Bollinger Reversion on STMicroelectronics
What the play says
STM 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 STM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.1% | +7.0% | +3.2% | +4.6% |
| Total return | +2% | +334% | +17% | +25% |
| Worst drawdown | −67.7% | −80.6% | −30.2% | −66.7% |
| Volatility | 24.2% | 42.7% | 25.6% | 47.7% |
| Sharpe ratio | 0.05 | 0.33 | 0.10 | 0.25 |
| Time invested | 24% | 100% | ||
| Switches per year | 8.4 | 0 |
Every call, graded
Right on 109 of 184 closed calls (59%). In calls averaged +0.1%; out calls saw STM move +4.1% on average.
| Called | Call | Price | Until | STM moved | Result |
|---|---|---|---|---|---|
| Aug 17, 2026 | OUT | $55.69 | now | −11.0% | open |
| Jul 16, 2026 | IN | $62.66 | Aug 17, 2026 | −11.1% | ✕ wrong |
| Mar 25, 2026 | OUT | $33.32 | Jul 16, 2026 | +88.0% | ✕ wrong |
| Mar 20, 2026 | IN | $30.68 | Mar 25, 2026 | +8.6% | ✓ right |
| Dec 1, 2025 | OUT | $22.95 | Mar 20, 2026 | +33.7% | ✕ wrong |
| Oct 23, 2025 | IN | $25.03 | Dec 1, 2025 | −8.3% | ✕ wrong |
| Aug 20, 2025 | OUT | $25.68 | Oct 23, 2025 | −2.5% | ✓ right |
| Jul 24, 2025 | IN | $26.40 | Aug 20, 2025 | −2.7% | ✕ wrong |
| Apr 22, 2025 | OUT | $20.54 | Jul 24, 2025 | +28.5% | ✕ wrong |
| Mar 26, 2025 | IN | $22.73 | Apr 22, 2025 | −9.6% | ✕ wrong |
| Feb 13, 2025 | OUT | $23.46 | Mar 26, 2025 | −3.1% | ✓ right |
| Jan 30, 2025 | IN | $22.09 | Feb 13, 2025 | +6.2% | ✓ 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 185 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.