Bollinger Band mean reversion on QQQ — Published Backtest & Verdict

We tested it in public: Bollinger Band mean reversion on QQQ (2019-01-30 to 2026-10-02) returned +16.2% vs +374.3% buy-and-hold across 28 trades. Exact rules, full stats, and our honest verdict.

• Total return: +16.2% (trailed buy-and-hold at +374.3%)
• CAGR: +2.0% vs +22.5% buy-and-hold
• Max drawdown: -22.4% vs -35.1% buy-and-hold
• Win rate: 75% over 28 trades
• Period: 2019-01-30 to 2026-10-02 (QQQ), published 2026-10-03

The claim on trial

Buy a close at the lower Bollinger Band and sell back at the middle band — the bounce beats buy-and-hold.

The exact rules

• Bands: 20-period Bollinger Bands — middle = 20-day SMA, upper/lower = middle ± 2 × population standard deviation of the same 20 closes.
• Warmup 19 bars; first possible signal 2019-01-30.
• Signal observed at bar i close; trade prints at bar i close.
• Entry on bar i starts earning on bar i+1 (NO look-ahead: the signal bar's own move is not credited to the new position).
• Exit on bar i retains bar i's return (position was held during the bar).
• Close ≤ lower band → buy at close. Close ≥ middle band (20-day SMA) → sell at close. This is the documented reading of the queue's "sell at middle/upper".
• Long only, fully invested when long, cash earns 0%. No transaction costs, no taxes modeled.

Our honest verdict

The strategy made +16.2% over 7.7 years but was crushed by buy-and-hold (+374.3%). 75% win rate with avg loss (-4.13%) nearly double avg win (+2.19%); it sat in cash 81% of the time during a historic bull run and caught falling knives in the COVID crash (-10.71%) and 2022 bear (-10.25%).

Original X thread · StratIQ track record · All published backtests

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Not financial advice — research and education only; do your own due diligence.