Mean reversion · daily rule · Energy & power
Bollinger Reversion on TransAlta
What the play says
TA with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +0.5% | +3.9% | +3.5% | +8.1% |
| Total return | +10% | +129% | +19% | +48% |
| Worst drawdown | −60.1% | −84.1% | −21.0% | −44.2% |
| Volatility | 18.4% | 29.9% | 17.9% | 33.3% |
| Sharpe ratio | 0.02 | 0.22 | 0.07 | 0.29 |
| Time invested | 26% | 100% | ||
| Switches per year | 8.3 | 0 |
Every call, graded
Right on 114 of 180 closed calls (63%). In calls averaged +0.1%; out calls saw TA move +1.9% on average.
| Called | Call | Price | Until | TA moved | Result |
|---|---|---|---|---|---|
| Sep 17, 2026 | OUT | C$17.18 | now | +9.3% | open |
| Sep 15, 2026 | IN | C$16.02 | Sep 17, 2026 | +7.2% | ✓ right |
| Sep 8, 2026 | OUT | C$17.11 | Sep 15, 2026 | −6.4% | ✓ right |
| Sep 1, 2026 | IN | C$16.40 | Sep 8, 2026 | +4.3% | ✓ right |
| Aug 26, 2026 | OUT | C$17.48 | Sep 1, 2026 | −6.2% | ✓ right |
| Jul 28, 2026 | IN | C$17.91 | Aug 26, 2026 | −2.4% | ✕ wrong |
| Jul 21, 2026 | OUT | C$19.63 | Jul 28, 2026 | −8.7% | ✓ right |
| Jul 16, 2026 | IN | C$18.51 | Jul 21, 2026 | +6.0% | ✓ right |
| May 8, 2026 | OUT | C$17.35 | Jul 16, 2026 | +6.7% | ✕ wrong |
| Apr 21, 2026 | IN | C$16.51 | May 8, 2026 | +5.1% | ✓ right |
| Mar 24, 2026 | OUT | C$17.44 | Apr 21, 2026 | −5.3% | ✓ right |
| Mar 6, 2026 | IN | C$17.19 | Mar 24, 2026 | +1.5% | ✓ 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 181 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.