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Mean reversion · Bollinger band reversion

IWM Band Reversion 20·2σ · 1D

Bollinger band reversion on IWM CFDs, evaluated on completed 1D bars and executed at live bid/ask.

Annual return−3.9%Backtest
Max drawdown−4.2%Volatility 7.6%
Sharpe-6.28Trades 1
Since go-live+0.23% 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+0.21%−0.04%−0.28%
Live trade history

No trades closed yet — open positions are shown above.

Backtest on real market data
Sep 2Sep 9Sep 17Sep 24Oct 20%−2%−4%
Annual return−3.9%
Max drawdown−4.2%
Sharpe-6.28
Trades1
Winning trades0%
Time in market77%

Backtest on real historical prices from Sep 2, 2026 to Oct 2, 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 − 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. Long-only: short signals mean the position is flat.
  5. Position size targets 12% annualised volatility (risk level 3/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
JanFebMarAprMayJunJulAugSepOctNovDecΣ
2026-3.90.0-3.9%