Bollinger Band Dip Buy (20, 2σ) — Disproof verdict

"Buy the lower band, sell the middle" — sold as a high-win-rate mean-reversion system because price does usually revert to the average.

Verdict: dead — grade F, 0 of 2 markets survived, tested on BTCUSDT from 2023-05-16 to 2026-08-30.

At zero cost: +31.3%
With real costs (15bps + 2bps slippage): +23.3%
Out-of-sample: -27.1%
Buy and hold over the same window: +190.9% (the strategy is 167.6 points behind buy and hold)

Rules tested

strategy "Bollinger Band Dip Buy (20, 2σ)"  (long)
indicators:
  z = zscore(20)

entry: when z < -2
exit:  when z >= 0
# fills next open · fees+slippage on · 70/30 OOS · deflated-Sharpe gate

How this was reconstructed

Expressed as a z-score, which is algebraically identical to the 20/2σ Bollinger construction: entry below −2σ is entry below the lower band, exit at z ≥ 0 is exit at the middle band.