Bollinger band bounce backtest on real data
Mean reversion with Bollinger bands (20, 2): buy a close below the lower band and exit when price gets back to the middle band (the 20 SMA).
66trades
59%win rate
1.43profit factor
+0.18Raverage trade
-4.1%max drawdown
+11.9%return at 1% risk
ES · S&P 500 · daily candles · 2016-11-09 to 2026-11-09 · Yahoo Finance data · equity in %, 1% risk per trade
A positive edge in this period after costs. Check the year-by-year table: an edge that only shows up in one year is fragile.
The exact rules tested
Buy when price closes below the lower Bollinger band. Exit when price crosses above the 20 SMA. Stop at 2x ATR.
How WickCheck reads these rules:
- Long: Close < BB(20,2) lower
- Stop: 2×ATR(14)
- Exit: Close ↗ SMA(20)
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Same rules on 8 markets
| Market | Trades | Win rate | Profit factor | Avg trade | Max DD | Return | Period |
|---|---|---|---|---|---|---|---|
| ES · S&P 500 | 66 | 59% | 1.43 | +0.18R | -4.1% | +11.9% | 2016-11 – 2026-11 |
| NQ · Nasdaq 100 | 63 | 57% | 1.29 | +0.12R | -3.4% | +7.5% | 2016-11 – 2026-11 |
| EUR/USD | 68 | 62% | 1.14 | +0.05R | -4.6% | +3.4% | 2016-11 – 2026-11 |
| XAU/USD · Gold | 59 | 61% | 1.39 | +0.15R | -5.1% | +9.2% | 2016-11 – 2026-11 |
| YM · Dow 30 | 63 | 54% | 1.14 | +0.06R | -6.2% | +3.7% | 2016-11 – 2026-11 |
| SPY · S&P 500 ETF | 69 | 58% | 1.26 | +0.11R | -7.5% | +7.7% | 2016-11 – 2026-11 |
| QQQ · Nasdaq 100 ETF | 61 | 51% | 1.00 | -0.00R | -5.0% | -0.4% | 2016-11 – 2026-11 |
| AAPL · Apple | 53 | 51% | 1.09 | +0.04R | -6.0% | +1.9% | 2016-11 – 2026-11 |
Click a market to open that exact test in WickCheck.
Year by year (ES)
| Year | Trades | Win rate | Result |
|---|---|---|---|
| 2017 | 3 | 100% | +1.9R |
| 2018 | 8 | 38% | -1.9R |
| 2019 | 7 | 57% | +1.3R |
| 2020 | 5 | 40% | -1.0R |
| 2021 | 4 | 100% | +3.9R |
| 2022 | 9 | 56% | -0.8R |
| 2023 | 8 | 50% | -0.3R |
| 2024 | 7 | 57% | +2.1R |
| 2025 | 6 | 50% | +0.4R |
| 2026 | 9 | 78% | +6.0R |
How this test was run
- Real historical candles from Yahoo Finance, daily timeframe, 2016-11-09 to 2026-11-09.
- Signals only on closed candles, so a candle never uses information from its own future.
- Spread and commission included, at typical levels for each market.
- 1% of the account risked per trade. When stop and target both fall inside the same candle, 1-minute data decides which came first (where available).
- Results refresh automatically as new candles come in. Last updated 2026-11-09.
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