Mean reversion bollinger

Bollinger Bands

Bullish: Price crosses above upper Bollinger Band. Bearish: Price crosses below lower Bollinger Band. Bands = SMA ± N standard deviations.

Signal family

Mean reversion — Oscillator-based signals that fire at overbought or oversold extremes — typically fade the prevailing move.

Parameters

Name Description Default Range
period SMA period 20 5–100
ub_factor Upper band std dev factor 2.0 0.5–4.0
lb_factor Lower band std dev factor 2.0 0.5–4.0

Historical context

2,481,722 triggers on 24,141 tickers, 1988-03-31 → 2026-05-01. Universe: US large-cap (mcap ≥ $100,000,000, price ≥ $1). Long-only convention: BUY at open T+1, hold the horizon, compare to S&P 500 Equal Weight over the same window.

Methodology footnotes

Benchmarks shown in the detail tables: spxew (S&P 500 Equal Weight — primary, median-stock view, avoids the 2020+ megacap-concentration distortion), spx (S&P 500 cap-weighted, distorted post-2020), msci (MSCI World USD). Per-stock regime tags: trending = ADX(14) ≥ 25, high vol = 20d realized annualized vol ≥ 20%. 1d return = intraday T+1 open→close; 20d = open T+1 to close T+20.

At a glance — alpha vs S&P 500 Equal Weight, US-only

Holding-period sensitivity. Bullish columns: positive = signal worked (long the trigger beat the index). Bearish columns: negative = signal worked (the flagged stock underperformed).

Horizon Bullish α Bearish α
5-day +0.12% -0.06%
20-day +0.09% +0.17%
60-day +0.30% +0.58%
1-year +1.66% +3.51%

Sign flip across horizons. Bearish triggers go from -0.06% (5d) to +3.51% (1y) — short-term works as a sell signal but at 1-year horizon stocks mean-revert and outperform.

Random-date null check (20-day): Bullish: beats random (p=0.005).
Bearish: worse than random (p=0.995).

Where does BOLLINGER actually fire?

The bucket distribution often reveals what the signal really is, regardless of its textbook label. Heavy concentration in "non-trending + high vol" = it's mostly a chop-market event. Heavy in "trending + low vol" = it picks up the smooth grinds. Read the chart before the alpha numbers — context shapes everything that follows.

Bollinger Bands (bollinger) — trigger count distribution by per-stock regime quadrant (trending/non-trending × high/low realized volatility) for , US-only universe

Does it work in every regime?

Trigger alpha split by the host stock's own regime on the trigger date — trending or ranging, high-vol or low-vol. The 20d alpha you'd actually capture if you took the trade. Bars matching your direction's "right" sign (green) = the signal worked in that regime; opposite sign = avoid it there. A signal with one strong-positive bar and three flat ones isn't a "20d alpha" signal — it's a "20d alpha when the stock is X" signal.

Bollinger Bands (bollinger) — mean 20-day alpha versus S&P 500 Equal Weight by per-stock regime quadrant, side by side
Trending + Low vol
Stock in a clean directional move with low realized volatility. Textbook "trend-following paradise" — smooth grind with little whipsaw risk.
Trending + High vol
Violent directional moves — parabolic rallies, crisis selloffs. Trend exists but the path is noisy. Signal timing may be imprecise.
Non-trending + Low vol
Quiet chop, summer doldrums, consolidations. No directional bias but also no big swings — small edges become reliable if they exist at all.
Non-trending + High vol
Choppy and violent — the classical "whipsaw zone" for momentum signals. Crossovers and breakouts fire repeatedly without follow-through.

Does it work in every era?

A multi-year average can hide major instability. The sample splits into three windows: 2015–2019 (pre-COVID), 2020–2022 (pandemic + 2022 bear), and 2023+ (post-ZIRP + AI megacap rally). All three matching your direction's "right" sign = the signal is durable. One era doing all the work = a regime-specific edge that may not repeat. The bigger the variance across eras, the smaller the position you should run.

Bollinger Bands (bollinger) — 20-day alpha split by historical sub-period (2015-2019, 2020-2022, 2023+) to check consistency across market regimes

↑ Bullish triggers

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.00% +0.33% +1.37% +3.41% +12.78%
Bench % +0.00% +0.23% +1.51% +3.67% +14.73%
Alpha % -0.03% +0.06% -0.17% -0.25% -1.92%
Median alpha -0.07% -0.17% -0.99% -2.32% -10.32%
Hit rate (α>0) 48.2% 48.2% 45.0% 43.6% 37.9%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,108,791 1,075,952 1,071,270 1,037,449 955,796
msci Stock % -0.00% +0.33% +1.37% +3.41% +12.78%
Bench % +0.03% +0.24% +1.32% +3.29% +12.31%
Alpha % -0.04% +0.06% -0.03% +0.13% -0.05%
Median alpha -0.10% -0.19% -0.86% -1.98% -8.23%
Hit rate (α>0) 47.5% 47.9% 45.6% 44.4% 40.0%
p (naive) <0.001 <0.001 0.0128 <0.001 0.3138
p (HAC) <0.001 <0.001 0.0368 <0.001 0.7438
N 1,100,296 1,063,976 1,054,584 1,028,583 938,807
spxew Stock % -0.00% +0.33% +1.37% +3.41% +12.78%
Bench % -0.00% +0.16% +1.22% +3.13% +10.90%
Alpha % -0.03% +0.12% +0.09% +0.30% +1.66%
Median alpha -0.09% -0.12% -0.72% -1.72% -6.58%
Hit rate (α>0) 47.9% 48.7% 46.3% 45.1% 41.7%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,102,436 1,068,209 1,055,380 1,026,908 939,635
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Bollinger Bands (bollinger) — bullish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
Bollinger Bands (bollinger) — bullish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. Both observed and null are baseline-centered per ticker (each ticker's own baseline alpha is subtracted), so the null distribution is centered on ~0 and the comparison tests signal effect alone — not the universe-selection lift that all surviving large-caps share. pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish).
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spx +0.08% +0.09% [+0.08%, +0.09%] 0.557
1d msci +0.12% +0.09% [+0.08%, +0.09%] 0.005
1d spxew +0.11% +0.08% [+0.07%, +0.08%] 0.005
5d spx +0.48% +0.36% [+0.35%, +0.37%] 0.005
5d msci +0.48% +0.37% [+0.35%, +0.38%] 0.005
5d spxew +0.51% +0.34% [+0.33%, +0.36%] 0.005
20d spx +1.17% +1.15% [+1.13%, +1.17%] 0.030
20d msci +1.21% +1.17% [+1.15%, +1.19%] 0.005
20d spxew +1.20% +1.12% [+1.10%, +1.14%] 0.005
60d spx +2.85% +2.47% [+2.43%, +2.51%] 0.005
60d msci +2.82% +2.49% [+2.45%, +2.53%] 0.005
60d spxew +2.67% +2.41% [+2.36%, +2.44%] 0.005
252d spx +5.85% +5.10% [+5.01%, +5.17%] 0.005
252d msci +5.52% +5.05% [+4.97%, +5.12%] 0.005
252d spxew +5.42% +4.76% [+4.68%, +4.84%] 0.005

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bullish BOLLINGER triggers on US mega-caps. Top three: the signal's best outcomes. Bottom three: the worst. Catalyst-driven outliers (|α| > 25%) excluded so what's left is the signal's own typical good and bad days, not earnings shocks.

Strongest outcomes (what BOLLINGER looks like when it works)
Bollinger Bands (bollinger) — strongest bullish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Bollinger Bands (bollinger) — strongest bullish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Bollinger Bands (bollinger) — strongest bullish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what BOLLINGER looks like when it fails)
Bollinger Bands (bollinger) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Bollinger Bands (bollinger) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Bollinger Bands (bollinger) — weakest bullish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 90,593 +0.19% +1.16% -0.96% <0.001 +0.19% +1.00% -0.80% <0.001 +0.19% +0.91% -0.67% <0.001
Trending + High vol Crisis selloff or parabolic rally 401,207 +2.26% +1.79% +0.41% <0.001 +2.26% +1.52% +0.63% <0.001 +2.26% +1.39% +0.75% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 140,021 +0.20% +1.17% -0.95% <0.001 +0.20% +1.05% -0.82% <0.001 +0.20% +0.92% -0.68% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 509,367 +1.21% +1.52% -0.27% <0.001 +1.21% +1.36% -0.17% <0.001 +1.21% +1.30% -0.07% 0.0001
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 347,704 -0.19% <0.001 +0.02% 0.3053 -0.12% <0.001
2020-2022 2020-01-01 → 2023-01-01 349,798 -0.02% 0.5113 +0.24% <0.001 -0.04% 0.0657
2023-2026 2023-01-01 → 2099-01-01 443,216 -0.29% <0.001 -0.28% <0.001 +0.36% <0.001

↓ Bearish triggers negative alpha = signal was right (stock underperformed market)

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.01% +0.13% +0.81% +2.63% +13.25%
Bench % +0.02% +0.20% +0.89% +2.92% +13.64%
Alpha % -0.03% -0.07% -0.04% -0.27% -0.41%
Median alpha -0.10% -0.40% -1.10% -2.84% -9.85%
Hit rate (α>0) 47.3% 45.9% 44.7% 42.4% 38.5%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 0.0025 <0.001 0.0398
N 1,299,164 1,259,132 1,244,496 1,221,418 1,065,817
msci Stock % -0.01% +0.13% +0.81% +2.63% +13.25%
Bench % +0.04% +0.19% +0.78% +2.50% +11.17%
Alpha % -0.04% -0.05% +0.08% +0.17% +2.03%
Median alpha -0.12% -0.38% -0.98% -2.41% -7.43%
Hit rate (α>0) 47.0% 46.1% 45.2% 43.4% 41.2%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,290,758 1,249,550 1,241,787 1,212,349 1,060,619
spxew Stock % -0.01% +0.13% +0.81% +2.63% +13.25%
Bench % +0.03% +0.19% +0.69% +2.09% +9.90%
Alpha % -0.04% -0.06% +0.17% +0.58% +3.51%
Median alpha -0.11% -0.36% -0.85% -1.93% -5.82%
Hit rate (α>0) 47.3% 46.3% 45.9% 44.7% 42.8%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 1,287,604 1,239,226 1,233,197 1,205,768 1,053,050
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
Bollinger Bands (bollinger) — bearish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
Bollinger Bands (bollinger) — bearish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. Both observed and null are baseline-centered per ticker (each ticker's own baseline alpha is subtracted), so the null distribution is centered on ~0 and the comparison tests signal effect alone — not the universe-selection lift that all surviving large-caps share. pperm = one-sided fraction of null iters with mean in the "signal was right" tail (right for bullish, left for bearish).
Horizon Bench Observed lift Null mean Null 95% CI pperm
1d spx +0.09% +0.09% [+0.08%, +0.09%] 1.000
1d msci +0.10% +0.09% [+0.08%, +0.10%] 1.000
1d spxew +0.09% +0.08% [+0.07%, +0.08%] 1.000
5d spx +0.34% +0.36% [+0.35%, +0.37%] 0.005
5d msci +0.35% +0.36% [+0.35%, +0.37%] 0.015
5d spxew +0.31% +0.34% [+0.33%, +0.36%] 0.005
20d spx +1.17% +1.14% [+1.12%, +1.16%] 0.990
20d msci +1.18% +1.15% [+1.13%, +1.18%] 0.970
20d spxew +1.14% +1.11% [+1.09%, +1.13%] 0.995
60d spx +2.23% +2.48% [+2.44%, +2.52%] 0.005
60d msci +2.26% +2.50% [+2.46%, +2.54%] 0.005
60d spxew +2.33% +2.41% [+2.37%, +2.45%] 0.005
252d spx +4.65% +4.94% [+4.87%, +5.01%] 0.005
252d msci +4.72% +4.89% [+4.82%, +4.95%] 0.005
252d spxew +4.43% +4.59% [+4.51%, +4.65%] 0.005

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bearish BOLLINGER triggers on US mega-caps. Top three: the signal's best outcomes. Bottom three: the worst. Catalyst-driven outliers (|α| > 25%) excluded so what's left is the signal's own typical good and bad days, not earnings shocks.

Strongest outcomes (what BOLLINGER looks like when it works)
Bollinger Bands (bollinger) — strongest bearish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Bollinger Bands (bollinger) — strongest bearish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window Bollinger Bands (bollinger) — strongest bearish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what BOLLINGER looks like when it fails)
Bollinger Bands (bollinger) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed Bollinger Bands (bollinger) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed Bollinger Bands (bollinger) — weakest bearish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 116,618 +0.59% +0.64% -0.04% 0.1562 +0.59% +0.50% +0.12% <0.001 +0.59% +0.35% +0.28% <0.001
Trending + High vol Crisis selloff or parabolic rally 578,778 +0.97% +0.94% +0.09% 0.0004 +0.97% +0.81% +0.22% <0.001 +0.97% +0.72% +0.33% <0.001
Non-trending + Low vol Quiet chop, summer doldrums 151,671 +0.53% +0.68% -0.16% <0.001 +0.53% +0.54% -0.01% 0.6075 +0.53% +0.42% +0.11% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 493,454 +0.83% +0.96% -0.11% <0.001 +0.83% +0.88% -0.01% 0.6020 +0.83% +0.82% +0.02% 0.2677
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 400,529 -0.65% <0.001 -0.43% <0.001 -0.37% <0.001
2020-2022 2020-01-01 → 2023-01-01 395,813 +0.28% <0.001 +0.40% <0.001 +0.06% 0.0329
2023-2026 2023-01-01 → 2099-01-01 543,666 +0.19% <0.001 +0.25% <0.001 +0.67% <0.001

Methodology and caveats

How to read. Entry at open of T+1 (one trading day after the signal fires on close of T). 20d = open T+1 to close T+20. Alpha = stock return − benchmark return over the same window (Convention A, single-sided, textbook). For bullish triggers, POSITIVE alpha = signal was right. For bearish triggers, NEGATIVE alpha = signal was right (stock underperformed market). No sign-flipping; the direction of the bet determines what "good" looks like. Per-stock regime is each stock's own ADX(14) and RV(20) at the trigger date — not market-wide state.

Three p-values, three robustness tests. (a) p_naive: scipy one-sample t-test on winsorized alphas. Optimistic because overlapping 20d windows on the same ticker inflate effective N. (b) p_hac: Newey-West HAC with lag = horizon — corrects for the overlap and is the academic-finance standard. (c) p_perm: fraction of 200 random-date null iterations with mean ≥ observed. Tests whether the signal beats random date selection at all. A signal that clears all three (pnaive, phac, pperm all < 0.05) has real information; a signal that fails pperm has zero edge even if the t-test says "significant."

Caveats. (i) Universe reflects today's active tickers; delisted losers pruned → survivorship bias. (ii) Mcap ≥ $100M filter uses today's snapshot, not point-in-time — mild lookahead on which stocks enter the sample, not on returns. (iii) Means and p-values use winsorized alphas (1/99 percentile) to prevent data errors from dominating. Medians and hit rates use raw data. (iv) Zero transaction costs assumed. Realistic bid-ask + commissions remove 20–40bps from 20d alpha on US large-caps, more on small-cap. Sub-20bps alpha is noise in practice. (v) Past performance does not predict future results.

How to use this

1 · When to reach for this signal

Caution recommended. Bearish 20d alpha is -0.04% and worse than random . Either direction fails the "beats random" test. Don't use Bollinger Bands as a standalone entry trigger. It may still be useful as part of a composite (section 4).

2 · When it works — the setups that drive it

  • Best bullish setup: Trending + High vol — alpha +0.41% / 20d on 401,207 historical triggers.
  • Best bearish setup: Trending + High vol — alpha +0.09% / 20d on 578,778 historical triggers.
  • Best era for bullish: 2020-2022 — alpha -0.02% / 20d.
  • Best era for bearish: 2020-2022 — alpha +0.28% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Trending + Low vol — alpha -0.96% / 20d on 90,593 triggers.
  • Weakest bearish cell: Non-trending + Low vol — alpha -0.16% / 20d on 151,671 triggers.
  • Worst era for bullish: 2023-2026 — alpha -0.29% / 20d.
  • Worst era for bearish: 2015-2019 — alpha -0.65% / 20d.

Signal-specific failure patterns

Bullish Bollinger fails against every benchmark, every horizon
Lower-band touch bullish signal produces negative alpha at 1d, 5d, 20d and 60d across all four benchmarks (p_perm=1.000 vs each). The band-touch thesis — 'price has stretched too far from its mean, expect reversion' — does not survive outside of a bounded range-bound stock. In a trending universe (US large-caps 2015-2026), stocks touching the lower band are usually doing so because they have real bad news, not because they've randomly wandered below a statistical envelope.
evidence: bullish 20d vs SPX α=−0.16 p_perm=1.000; 60d α=−0.10 p_perm=1.000
Bullish worst in trending regimes, marginal in high-vol chop
Within the bullish side, the least damaging regime is non-trend high-vol at α=+0.05 (essentially zero). The deepest loss is trending_low_vol at α=−0.66. Translation: lower-band touches in clean uptrends are catching falling stocks — the trend just broke. Don't dip-buy Bollinger lower touches on winners that have started to crack.
evidence: 20d bullish by regime vs SPX: trending_low_vol −0.66 (worst), nontrend_high_vol +0.05 (least bad)
Bearish side has consistent, compounding short-side edge
Upper-band touch bearish delivers α=−0.22 at 20d (p(HAC)<1e-11, p_perm=0.005) and widens to −0.62 at 60d (p<1e-14, p_perm=0.005). The effect is robust across sub-periods (2015-2019 −0.49, 2023-2026 −0.17; only 2020-2022 is noisy at +0.02). Upper-band stretched stocks tend to mean-revert while the broader market continues up.
evidence: bearish vs SPX: 20d α=−0.22 p_perm=0.005; 60d α=−0.62 p_perm=0.005
Pre-COVID 2015-2019 bullish was positive — bullish broke post-pandemic
Sub-period breakdown shows bullish α=+0.22 in 2015-2019 (small but positive), then −0.25 in 2020-2022 and −0.37 in 2023-2026. Like RSI, Bollinger bullish is a pre-QE artifact. Whatever mean-reversion dynamic worked in the low-rate low-growth 2015-2019 market evaporated when stimulus-driven capital concentration took over.
evidence: bullish 20d vs SPX: 2015-2019 +0.22, 2020-2022 −0.25, 2023-2026 −0.37

4 · Pairing inside a screen

The statements below describe how this signal relates to others by construction — which indicator family it belongs to, and where same-family redundancy might reduce the independence of evidence inside a Daily Report. These are taxonomic classifications drawn from standard technical-analysis texts; they are not pairing backtests. A multi-signal convergence backtest is planned but not yet run.

Volatility-envelope construction

Bollinger Bands are a volatility envelope: a 20-period simple moving average ± 2 standard deviations of price (Bollinger, Bollinger on Bollinger Bands, 2001). This construction is distinct from momentum oscillators (RSI, Stochastics, Williams %R, CCI) and from moving-average crossover signals, so pairing Bollinger with any one of them does not produce same-family redundancy.

What would likely rescue this signal

This block calls out the data or conditions that could turn a technically weak signal into a usable one in a composite screen. Based on signal mechanics and the observed failure patterns above; individual combinations are not yet backtested.

  • Volume-filter the bullish side — A lower-band touch on HIGH volume is capitulation; on low volume is drift. A bullish filter requiring volume > 1.5× average + a follow-through close above T+1 open might isolate real reversals from continuing drawdowns. Not currently implemented in the screen filter layer.
  • Regime gate the bullish side — Bullish Bollinger worked 2015-2019 and broke 2020+. A filter requiring 'market breadth > 55%' (most stocks above 50DMA) or 'SPX not within 5% of ATH' might carve out the residual mean-reversion regime.
  • Hold the bearish trade to 60d — Bearish edge doubles from 20d to 60d (−0.22 → −0.62). Short-horizon exits on Bollinger bearish leave alpha on the table. This argues for a time-stop rather than a profit-target exit — hold the full 60d window absent a structural invalidation (stock taking out its upper-band high by > 2%).

See also Why technical-only signals don't survive on their own for the broader argument.

5 · Before you act — a 5-point checklist

  1. Normal trading day? Rule out earnings (within ±3 days), ex-dividend, or known corporate-action dates — the signal is almost certainly reading noise, not momentum, in those windows.
  2. Where is price vs its own 50 / 200 DMA? A mean-reversion signal firing against the long-term trend (e.g. oversold in a clean uptrend) is much more reliable than one firing with it.
  3. What's the sector breadth doing? An isolated signal in a broadly down-trending sector is a lower-confidence setup than one firing with the rest of its peer group.
  4. Is ADV20 enough for your size? If the trigger is on a $500M name and you want to move $1M notional, you're the tape. Consider adv20d ≥ 5% of your intended position.
  5. What invalidates you? Define a price level (for longs: a close below the trigger-day low; for shorts: close above the trigger-day high) and honor it. The backtest alpha is an average; any one trade can be at either tail.

Execution notes

Bearish upper-band touches are the only tradable direction here. 20d and 60d both deliver real alpha; 60d compounds more but adds event risk. Entry = open T+1. The bullish lower-touch trade is a structural loser — stocks touching their lower band in a bull market are usually breaking down, not pausing. Note: Bollinger Bands period/std-dev parameters matter a lot; this backtest uses 20-period / 2 stdev which is the Lambert default. Tighter parameters (shorter window, lower stdev) would fire more often on smaller deviations — likely noisier.