Mean reversion · daily rule · Industrials & materials
Bollinger Reversion on 5N Plus
What the play says
VNP with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of C$10,000 since 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding VNP over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −1.9% | +8.7% | +16.5% | +61.1% |
| Total return | −30% | +372% | +113% | +974% |
| Worst drawdown | −87.1% | −92.7% | −49.8% | −65.3% |
| Volatility | 31.8% | 55.4% | 29.4% | 54.4% |
| Sharpe ratio | 0.06 | 0.40 | 0.54 | 1.08 |
| Time invested | 25% | 100% | ||
| Switches per year | 8.4 | 0 |
Every call, graded
Right on 101 of 156 closed calls (65%). In calls averaged +0.3%; out calls saw VNP move +6.1% on average.
| Called | Call | Price | Until | VNP moved | Result |
|---|---|---|---|---|---|
| Sep 11, 2026 | OUT | C$26.80 | now | +11.0% | open |
| Jul 15, 2026 | IN | C$36.34 | Sep 11, 2026 | −26.3% | ✕ wrong |
| Jun 19, 2026 | OUT | C$43.88 | Jul 15, 2026 | −17.2% | ✓ right |
| Jun 10, 2026 | IN | C$36.78 | Jun 19, 2026 | +19.3% | ✓ right |
| Jan 5, 2026 | OUT | C$18.60 | Jun 10, 2026 | +97.7% | ✕ wrong |
| Dec 16, 2025 | IN | C$17.50 | Jan 5, 2026 | +6.3% | ✓ right |
| Nov 26, 2025 | OUT | C$20.18 | Dec 16, 2025 | −13.3% | ✓ right |
| Nov 21, 2025 | IN | C$18.40 | Nov 26, 2025 | +9.7% | ✓ right |
| Sep 4, 2025 | OUT | C$15.27 | Nov 21, 2025 | +20.5% | ✕ wrong |
| Sep 2, 2025 | IN | C$14.36 | Sep 4, 2025 | +6.3% | ✓ right |
| Apr 7, 2025 | OUT | C$5.48 | Sep 2, 2025 | +162.0% | ✕ wrong |
| Mar 3, 2025 | IN | C$6.21 | Apr 7, 2025 | −11.8% | ✕ wrong |
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 157 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.