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Mean reversion · Bollinger band reversion

BTC Band Reversion 20·2.2σ · 15m

Bollinger band reversion on BTC/USD CFDs, evaluated on completed 15m bars and executed at live bid/ask.

Annual return−7.2%Backtest
Max drawdown−10.4%Volatility 11.5%
Sharpe-2.59Trades 274
Since go-live−0.05% Live
Use in my package All strategies
Outside the System since Oct 5, 08:51 AM (live result below zero). It keeps running here and rejoins automatically once positive.
Live equity
06:15 AM08:15 AM10:15 AM12:15 PM02:15 PM−0.005%−0.088%−0.171%
Live trade history

No trades closed yet — open positions are shown above.

Backtest on real market data
Jul 7Jul 29Aug 20Sep 11Oct 4+3%−2%−7%
Annual return−7.2%
Max drawdown−10.4%
Sharpe-2.59
Trades274
Winning trades61%
Time in market32%

Backtest on real historical prices from Jul 7, 2026 to Oct 4, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)

Methodology
  1. Buy a close below the lower band (20-bar mean − 2.2σ), sell short a close above the upper band.
  2. Exit when price returns to the moving average.
  3. Protective stop: exit if price moves 3× ATR(14) against the entry; no re-entry in the same direction until the signal flips.
  4. Trades both directions (long and short).
  5. Position size targets 18% annualised volatility (risk level 4/5), capped at 3:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
JanFebMarAprMayJunJulAugSepOctNovDecΣ
20262.8-5.6-2.6-1.8-7.2%