Mean reversion · daily rule · Metals & mining
Bollinger Reversion on Triple Flag Precious Metals
What the play says
TFPM with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TFPM over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.2% | +22.2% | +20.4% | +33.7% |
| Total return | +111% | +188% | +152% | +325% |
| Worst drawdown | −31.7% | −35.4% | −18.2% | −35.4% |
| Volatility | 16.8% | 37.0% | 15.7% | 36.9% |
| Sharpe ratio | 0.71 | 0.63 | 1.02 | 0.87 |
| Time invested | 23% | 100% | ||
| Switches per year | 8.5 | 0 |
Every call, graded
Right on 31 of 45 closed calls (69%). In calls averaged +3.1%; out calls saw TFPM move +3.2% on average.
| Called | Call | Price | Until | TFPM moved | Result |
|---|---|---|---|---|---|
| Sep 28, 2026 | IN | C$43.67 | now | +0.3% | open |
| Jun 15, 2026 | OUT | C$42.85 | Sep 28, 2026 | +1.9% | ✕ wrong |
| Jun 10, 2026 | IN | C$37.42 | Jun 15, 2026 | +14.5% | ✓ right |
| May 11, 2026 | OUT | C$48.39 | Jun 10, 2026 | −22.7% | ✓ right |
| Apr 28, 2026 | IN | C$43.90 | May 11, 2026 | +10.2% | ✓ right |
| Mar 31, 2026 | OUT | C$48.13 | Apr 28, 2026 | −8.8% | ✓ right |
| Mar 18, 2026 | IN | C$46.56 | Mar 31, 2026 | +3.4% | ✓ right |
| Feb 11, 2026 | OUT | C$50.45 | Mar 18, 2026 | −7.7% | ✓ right |
| Jan 30, 2026 | IN | C$45.68 | Feb 11, 2026 | +10.4% | ✓ right |
| Jul 21, 2025 | OUT | C$32.21 | Jan 30, 2026 | +41.8% | ✕ wrong |
| Jul 8, 2025 | IN | C$31.24 | Jul 21, 2025 | +3.1% | ✓ right |
| Jul 7, 2025 | OUT | C$33.24 | Jul 8, 2025 | −6.0% | ✓ 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 46 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.