SPECIMEN 005 / STRATEGY AUTOPSYCRYPTO · WALK-FORWARD · 2020–2026

Bollinger Band Bounce

Price hit the lower band, so it's due a bounce, right? Buy the band on crypto and you buy the knife.

Mean reversion Spot · daily · Bollinger(20,2) 10 coins · out-of-sample Failed walk-forward

01 The seduction

Price touches the lower Bollinger band = two standard deviations cheap = oversold = due a bounce back to the middle. It's the textbook mean-reversion trade, and on a range-bound chart it prints.

Bollinger Band Bounce · BTC

−16%

$1,000 → $841 vs $7,626 holding

Beat buy & hold

1 / 10

almost never

Out-of-sample

6 / 10

held up in recent years

02 The one line that ends it

Bollinger Band Bounce vs. doing nothinglog scale

The strategyBuy & hold (doing nothing)

Bollinger Band Bounce beat holding on 1 of 10 majors — and 6 of 10 out-of-sample. Same money, same window, fees included — measured against simply buying Bitcoin once and never touching it.

03 The evidence

Coin	Trades	Win %	Strategy	Buy & hold	Verdict
BTC	41	68	−16%	+663%	lost
ETH	38	71	+65%	+1356%	lost
BNB	39	69	+53%	+2914%	lost
SOL	33	61	−49%	+2911%	lost
XRP	42	76	+13%	+364%	lost
LINK	35	66	+76%	+174%	lost
LTC	38	68	−1%	−28%	beat
DOGE	33	48	+44%	+2140%	lost
ADA	36	50	−71%	+174%	lost
AVAX	29	55	−93%	+49%	lost

Long/flat spot, no leverage, next-bar fills, 0.06% fee per side. Beat holding on 1 of 10 coins — and on 6 of 10 in the recent out-of-sample period (the test that separates a real edge from a bull-market coincidence).

04 Verdict

The worst in the set. It beat simply holding on one coin out of ten. Mean reversion is a bet that price comes back; crypto majors trend, so mostly it doesn't, and you're left holding the fall.

Method — long/flat spot, next-bar execution (no look-ahead) · 0.06% fee both sides · each coin over its full Binance history from 2019 with indicator warm-up · benchmarked against buy-and-hold on the identical window · out-of-sample = the most recent ~45% of each coin's history. Reproducible.

The honest other side

There isn't much of an other side to this one. It assumes the range holds. When the range breaks — which on crypto is most of the time — the band just gets ridden all the way down and you're long the entire way.

05 Your turn

Think yours is the exception?

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