The Ledger · Public record

Bollinger Band Reversion

Spec frozenspec 0f9b…4ea1 ✓ verifiedby houseForward-tested 0 days1d

Execution model · Paper trading on end-of-day data: signals are evaluated on the daily close and filled per the strategy's entry price field with the same slippage assumption as backtests. The deployed spec is frozen (hash-verified); the ledger is append-only.

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Original backtest (in-sample, 2016 →)

CAGR
3.15%
Total return
+39%
Max drawdown
7.4%
Sharpe
0.72

Live forward test (out-of-sample, since 2026-08-05)

Forward return
+0.00%
Max drawdown
0.0%
Days live
0
Ledger signals
0

Forward paper equity

Not enough forward history to chart yet — check back after a few trading days.

Signals ledger

append-only — rows can never be edited or deleted

No signals yet — this strategy is waiting for its rules to fire on live end-of-day data. That's the ledger being honest.
Frozen strategy rules (immutable since deployment)
{
  "backtest_timeframe": "1d",
  "description": "Close below sma_20 - 2*stddev_20 while above sma_200; exit at the middle band.",
  "entry_price_field": "close",
  "entry_rule_long": "(close < sma_20 - 2 * stddev_20) & (close > sma_200)",
  "exit_rule": "close > sma_20",
  "indicators": [
    {
      "length": 20,
      "name": "sma_20",
      "source": "close",
      "type": "sma"
    },
    {
      "length": 20,
      "name": "stddev_20",
      "source": "close",
      "type": "stddev"
    },
    {
      "length": 200,
      "name": "sma_200",
      "source": "close",
      "type": "sma"
    }
  ],
  "max_holding_days": 15,
  "max_positions": 5,
  "name": "Bollinger Band Reversion",
  "position_size_mode": "notional_pct",
  "position_size_pct": 10,
  "stop_loss_pct": 0,
  "symbols": [
    "AAPL",
    "MSFT",
    "AMZN",
    "GOOGL",
    "META",
    "NVDA",
    "JPM",
    "V",
    "HD",
    "UNH"
  ],
  "take_profit_pct": 0
}

Forward testing has no survivorship bias — signals are recorded as they happen, on the symbols the strategy actually watches. Historical simulation for research and education. Not financial advice. Past performance does not predict future results.