Strategy Report Card — Bollinger Band Reversion (EEM)

VERDICT: BORDERLINE — paper trade first

No real capital yet. Forward-test on a demo/stress account until live Sharpe holds for 60+ days.

A Bollinger Bands mean-reversion strategy that goes long when the closing price falls below the lower band and goes short when it rises above the upper band. It is designed for range-bound or mean-reverting market regimes.

Family bollinger · direction long_short · params period=20, mult=2

Translation warnings

The script does not have explicit exit logic; positions are reversed when the opposite signal triggers. The built-in bollinger template matches this behaviour.

Metric	Original ★	Improved +low_vol+flat
OOS Sharpe	0.171	-0.511
Stress Sharpe (3x cost)	-0.177	-0.833
Ann return	1.3%	-2.2%
Max drawdown	-12.9%	-17.9%
Ann turnover	25.9	14.4
PSR (P[Sharpe>0])	0.675	0.085
Bootstrap p(mean<=0)	0.369	0.908

Recommended: original — OOS Sharpe 0.171, PSR 0.675, bootstrap p 0.369.

Breadth — does the same edge hold elsewhere?

BROAD — edge holds across many assets and timeframes (low overfit risk)

Across assets: 6/8 positive (4/8 under stress), median Sharpe 0.193

Asset	Sharpe	Stress
SPY	0.52	0.13
QQQ	0.55	0.20
IWM	-0.23	-0.51
EEM	0.17	-0.18
EWZ	0.22	0.01
GLD	-0.62	-1.17
AAPL	0.14	-0.13
MSFT	0.80	0.54

Timeframe	Sharpe	Stress
D	0.17	-0.18
W	0.10	0.03
M	0.09	0.05

Want your strategy checked like this — out-of-sample, net of cost?

Request a free analysis of any strategy →

Out-of-sample, net of cost. PSR / bootstrap / stress-test robustness is what a TradingView backtest cannot show. Not investment advice.