FINAXIONResearch
Finaxion Research · Bounce off the lower Bollinger band · single stocks · Recomputed 2026-09-10

Does Bounce off the lower Bollinger band work on CME?

Bounce off the lower Bollinger band does not beat buy-and-hold on CME: -13.7 points a year over 24 years.

Total return
291.4%
Buy and hold
×70
CAGR
5.9%
Sharpe
0.19
Max drawdown
-51.0%
Trades
180
Out of sample
overfit
Years
24
1×10×76×200320052007200920112013201520172019202120232025
StrategyCME

Findings

  1. Bounce off the lower Bollinger band does not beat buy-and-hold on CME: -13.7 points a year over 24 years.
  2. Against the S&P 500 over the same window: -5.4 points a year.
  3. Total return +291.4% versus ×70 for buy-and-hold, with 180 trades.
  4. The result does not hold out of sample: it is overfit.
  5. Maximum drawdown -51.0%.
  6. It beats in neither half of the history (split at 2014).
  7. It ranks #30 of 235 markets for this strategy by annual excess over the S&P 500.

Findings derived from the full panel. Each carries its number and its denominator; the computations are reproducible with artifact 30497848a621.

Exactly what was tested

Close crosses back above the lower band (20, 2σ) after piercing it → entry. Close reaches the 20-day mean → exit.

How to read it

The verdict compares the strategy with buying and holding CME over the same window, with round-trip costs per asset class. “Out of sample” is walk-forward: the rule is fit on one stretch and judged on the next. A result that beats in the full sample but not out of it is overfit. Full methodology in the protocol. How we test.

Open this backtest with its trades   Trades (CSV)

Every strategy on CME → · Full page for Bounce off the lower Bollinger band →

How to cite

Finaxion Research (2026). Does Bounce off the lower Bollinger band work on CME?. Daily backtest 1962-01-01–2026-08-31, artifact 30497848a621. https://finaxion.app/en/research/bollinger-bounce/cme

Not a recommendation. Past performance does not guarantee future results.