Bollinger Mean Reversion

How this strategy trades, what it scored, and the measurements the score was read from: every symbol and timeframe, on real and resampled history.

At A Glance

28/ 100
Total Score
41of 52
Overall Rank
4of 9
In Mean Reversion
27,099
Trades Taken

Across 24 runs of real history, one for every market and bar size it trades, this strategy scored highest on DOGEUSDT · 30m (64 / 100) and lowest on ETHUSDT · 1h (12 / 100).

What A $100.00 Stake Became

Score
Total Score Mean Of Real And Resampled 28 / 100
Real Data 27 / 100
Resampled Data 29 / 100
Overall Rank Top 79% 41 of 52
Rank In Mean Reversion Top 45% 4 of 9
By Metric
Beats Hold Real 9 · Resampled 17 13 / 100
Risk Adjusted Real 20 · Resampled 18 19 / 100
Profitability Real 14 · Resampled 15 15 / 100
Win Rate Real 99 · Resampled 99 99 / 100
Fee Efficiency Real 53 · Resampled 52 52 / 100

Where It Works

How It Trades

  1. Each bar, compute the 20-bar simple moving average of the close and its Bollinger Bands two standard deviations above and below.
  2. Buy when the close drops below the lower band: an unusually stretched move to the downside.
  3. Sell as soon as the close recovers above the middle band (the 20-bar average itself): taking the quicker, more reliable half of the bounce instead of waiting for the far band.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// Bollinger Mean Reversion — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("Bollinger Mean Reversion", overlay=true,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
[middle, upper, lower] = ta.bb(close, 20, 2)
enterNow = close[1] >= lower[1] and close < lower
exitNow = close[1] <= middle[1] and close > middle

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(upper, "Upper Band", color=#8a92a0)
plot(middle, "Middle Band", color=#4d8dff)
plot(lower, "Lower Band", color=#8a92a0)
Show

Total Score

27 29 / 100

Score = 0.25 Sbeats_hold + 0.35 Srisk + 0.20 Sprofit + 0.10 Swin + 0.10 Sfee

One 0–100 number per symbol × timeframe cell. Every strategy is run on every cell, on both real and resampled price history, and the total beside its name is this number averaged over all of them.

Beats Hold

25% of the total

9 17 / 100

Sbeats_hold = clamp0100(50 + 25 log2EnetEhold)

Compares final net equity to what simply holding the asset would have returned over the same window. 50 is break-even; every doubling versus buy-and-hold adds 25 points.

Read From Net Equity · Price Change %

Net Equity

The account after fees, trade by trade.

Price Change %

What holding the asset made over the same stretch: the hold the account is measured against.

Risk Adjusted

35% of the total

20 18 / 100

Srisk = clamp0100(55 · Sharpe + 5)

A linear read on the rolling annualized Sharpe ratio at the last trade: 0 Sharpe scores 5, roughly 1.7 Sharpe maxes out the scale.

Read From Rolling Sharpe

Rolling Sharpe

The account's annualized Sharpe ratio at each trade's close.

Profitability

20% of the total

14 15 / 100

Sprofit = clamp0100(20 log2EnetE0)

How many times the starting cash multiplied, on a log scale: each doubling of capital is worth 20 points.

Read From Net Equity · Cumulative P&L %

Net Equity

The account after fees, against the cash it started with.

Cumulative P&L %

Not in the formula: every trade's return added up rather than compounded.

Win Rate

10% of the total

99 99 / 100

Swin = clamp0100(2.5 (W% − 20))

The share of trades that closed profitable, rescaled so a 20% win rate scores 0 and a 60% win rate maxes out the scale.

Read From Win Rate % · Trades

Win Rate %

The share of trades so far that closed in profit.

Trades

How many trades that share is taken over.

Fee Efficiency

10% of the total

53 52 / 100

Sfee = clamp0100(Enet/Egross − 0.40.6 × 100)

The share of the fee-free (gross) result that survives after fees: 60% survival scores 0, keeping the full gross result scores 100.

Read From Equity, Net And Gross · Cumulative Fees

Equity, Net And Gross

The account with the fees taken and, fainter, without them.

Cumulative Fees

Not in the formula: what the exchange took, which is the gap between net and gross above.