Mean reversion · daily rule · Financials
Bollinger Reversion on Trisura Group
What the play says
TSU with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2017
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TSU over exactly the same dates, after costs.
| Play, since 2017 | Hold, since 2017 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.9% | +21.7% | +4.4% | −0.7% |
| Total return | +19% | +473% | +24% | −4% |
| Worst drawdown | −30.0% | −40.1% | −27.2% | −39.3% |
| Volatility | 16.9% | 33.5% | 17.6% | 32.5% |
| Sharpe ratio | 0.04 | 0.67 | 0.12 | 0.02 |
| Time invested | 22% | 100% | ||
| Switches per year | 7.6 | 0 |
Every call, graded
Right on 43 of 68 closed calls (63%). In calls averaged +0.2%; out calls saw TSU move +8.7% on average.
| Called | Call | Price | Until | TSU moved | Result |
|---|---|---|---|---|---|
| Aug 13, 2026 | OUT | C$42.75 | now | −5.0% | open |
| Aug 10, 2026 | IN | C$40.70 | Aug 13, 2026 | +5.0% | ✓ right |
| Jun 4, 2026 | OUT | C$41.44 | Aug 10, 2026 | −1.8% | ✓ right |
| May 8, 2026 | IN | C$42.16 | Jun 4, 2026 | −1.7% | ✕ wrong |
| Feb 4, 2026 | OUT | C$44.50 | May 8, 2026 | −5.3% | ✓ right |
| Jan 28, 2026 | IN | C$41.76 | Feb 4, 2026 | +6.6% | ✓ right |
| Oct 22, 2025 | OUT | C$38.45 | Jan 28, 2026 | +8.6% | ✕ wrong |
| Sep 23, 2025 | IN | C$38.79 | Oct 22, 2025 | −0.9% | ✕ wrong |
| Sep 17, 2025 | OUT | C$40.20 | Sep 23, 2025 | −3.5% | ✓ right |
| Jul 30, 2025 | IN | C$42.52 | Sep 17, 2025 | −5.5% | ✕ wrong |
| Mar 27, 2025 | OUT | C$33.40 | Jul 30, 2025 | +27.3% | ✕ wrong |
| Mar 10, 2025 | IN | C$31.74 | Mar 27, 2025 | +5.2% | ✓ 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 69 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.