Mean reversion · daily rule · Sectors
Bollinger Reversion on Communication Services Select Sector ETF
What the play says
XLC with the play, last two years
Shading shows the play's call from the close that triggered it.
Growth of $10,000 since 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XLC over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.7% | +11.1% | +9.9% | +8.4% |
| Total return | +70% | +137% | +60% | +49% |
| Worst drawdown | −23.8% | −46.7% | −12.2% | −44.2% |
| Volatility | 14.7% | 22.2% | 12.6% | 21.0% |
| Sharpe ratio | 0.33 | 0.46 | 0.51 | 0.31 |
| Time invested | 19% | 100% | ||
| Switches per year | 8.0 | 0 |
Every call, graded
Right on 47 of 66 closed calls (71%). In calls averaged +1.2%; out calls saw XLC move +1.9% on average.
| Called | Call | Price | Until | XLC moved | Result |
|---|---|---|---|---|---|
| Jul 1, 2026 | OUT | $109.38 | now | +2.7% | open |
| Jun 2, 2026 | IN | $112.90 | Jul 1, 2026 | −3.1% | ✕ wrong |
| Apr 8, 2026 | OUT | $113.14 | Jun 2, 2026 | −0.2% | ✓ right |
| Mar 18, 2026 | IN | $112.63 | Apr 8, 2026 | +0.5% | ✓ right |
| Jan 23, 2026 | OUT | $115.90 | Mar 18, 2026 | −2.8% | ✓ right |
| Jan 16, 2026 | IN | $114.13 | Jan 23, 2026 | +1.6% | ✓ right |
| Oct 20, 2025 | OUT | $114.82 | Jan 16, 2026 | −0.6% | ✓ right |
| Oct 9, 2025 | IN | $113.51 | Oct 20, 2025 | +1.1% | ✓ right |
| Apr 24, 2025 | OUT | $92.08 | Oct 9, 2025 | +23.3% | ✕ wrong |
| Apr 3, 2025 | IN | $90.86 | Apr 24, 2025 | +1.3% | ✓ right |
| Mar 24, 2025 | OUT | $96.91 | Apr 3, 2025 | −6.2% | ✓ right |
| Feb 27, 2025 | IN | $98.42 | Mar 24, 2025 | −1.5% | ✕ 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 67 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.