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Mean reversion · Bollinger band reversion

ETH Band Reversion 20·1.5σ · 15m

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

Annual return−12.3%Backtest
Max drawdown−16.3%Volatility 16.1%
Sharpe-3.37Trades 438
Since go-live+0.15% Live
Use in my package All strategies
Outside the System since Oct 5, 08:54 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+0.16%+0.07%−0.02%
Live trade history · last 1: 1 in profit · 0 at a loss
ClosedMarketEntryExitResult
Oct 5, 01:17 PM
opened Oct 5, 12:46 PM
▲ ETHUSD2,711.202,720.40+0.33%
Backtest on real market data
Jul 7Jul 29Aug 20Sep 11Oct 4+3%−5%−13%
Annual return−12.3%
Max drawdown−16.3%
Sharpe-3.37
Trades438
Winning trades66%
Time in market53%

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 − 1.5σ), sell short a close above the upper band.
  2. Exit when price returns to the moving average.
  3. Protective stop: exit if price moves 4× 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
20261.1-7.5-6.60.4-12.3%