Strategy Report Card — Bollinger Band Reversion (SPY)

VERDICT: DEPLOYABLE (small size)

Start at <=25% of your per-strategy risk budget; scale up only after live confirms the backtest.

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 +none+flat ★
OOS Sharpe	0.521	0.521
Stress Sharpe (3x cost)	0.127	0.127
Ann return	3.6%	3.6%
Max drawdown	-7.6%	-7.6%
Ann turnover	27.4	27.4
PSR (P[Sharpe>0])	0.934	0.934
Bootstrap p(mean<=0)	0.097	0.097

Recommended: improved — OOS Sharpe 0.521, PSR 0.934, bootstrap p 0.097.

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	0.52	0.13
W	0.50	0.45
M	0.14	0.09

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. Full methodology → · Why most backtests lie →