FAILED
Bollinger Bands (10/2σ)
Price spends 95% of the time inside the bands, so touching them means being statistically cheap or dear. The band adjusts itself to volatility — widening in an agitated market and narrowing in a calm one — which avoids the false signal a fixed threshold gives when volatility changes.
Measured in crypto — Binance spot · 540 pairs, delisted ones included · 0.2% per round trip
Net per trade
−4.87%
after feesThe fee is charged on both legs: every trade pays to open and pays to close.
Died at
costs
the 0.20% fee eats the whole edge
Worst drawdown
not measured
Equity was not measured for this claim.
Timeframe
1 day
The time grid this was measured on. The same technique on a coarser or finer grid is a different measurement, and can earn a different verdict.
- ✓invariance
- ✗costs
- ✗placebo
- ✗benchmark
- ?out of sample
- ✗multiple testing
The technique against chance
Same number of trades, same holding time, same assets — only the dates were drawn at random.
The average trade and the typical one
The mean sits BELOW the median: most trades win a little and the tail loses a lot. It is the lottery inverted, and no less dangerous — what decides the outcome is the rare loss.
What was measured
We coded the rule exactly as it is described and let it trade on its own from 2017-08-17 to 2026-07-28. It found trades in 104 coins, 1,076 in total. Each one enters and exits at the price that existed on that day — the program never sees what comes next, which is the most common mistake people make testing strategies at home. Wherever the description was ambiguous we took the reading least favourable to the technique; whatever was left open is stated in the hypothesis, at the foot of this page.
How many of those trades actually count
Only 41 of the 1,076. Cryptocurrencies rise and fall almost in unison, so the same rule fires on dozens of coins on the same day — and that is one bet repeated, not dozens of different bets. Counting them all separately is the trick that makes a bad test look impressive.
What it paid, before any deductions
-4.67% per trade. Look at the sign: the average is already negative before any fee is taken out. The controls below still hold, but here they are not knocking down an edge — they are confirming there never was one.
Why it did not pass — it died here · the broker's fee
We subtract the fee the broker charges to open and to close each trade — every trade pays on both legs. The edge existed on paper and vanished at that subtraction. A result that only survives without the fee does not survive in the real world.
What this result does NOT say
For an edge to be assertable here it would have to reach 4.54% per trade — that is the size that survives this archive's multiple-testing correction, and it rises as the archive grows. So FAILED means “we found nothing above that size”, and never “it cannot possibly work”. The instrument is far more sensitive than that: on synthetic data, with a clean effect, it separates from 0.69% upwards. The distance between the two numbers is the price of a real market and the price of publishing many claims. The difference matters, and it is the rule of this house: the card confronts the claim, never the person who made it.
What this card does not measure
Every verdict holds for the conditions it was measured under. These are this card's — and outside them the result does not apply.
- One market, one universe
- Measured on 104 spot cryptocurrency pairs, delisted ones included. It says nothing about futures, equities or indices, nor about how the same technique behaves in another market.
- One window of time, not every window
- The measured period runs from 2017-08-17 to 2026-07-28. A market moves through regimes, and a technique can work in one and fail in another — the card measures the regimes that fit inside this window, not the ones still to come.
- One cost structure
- The cost charged is 0.10% per leg, in and out. Anyone paying more than that gets a worse result, and anyone paying less gets a better one — the verdict holds for this fee.
- One exit rule
- The trade was closed by: the technique itself (held until the opposite signal). The same entry measured with a different exit is a different strategy, and can earn a different verdict — it happens in this archive.
- The number of trades is not the sample size
- There are 1,076 trades, but only 41 independent market episodes: a single move fires the technique across dozens of assets at once, and counting those as separate observations inflates any result. It is the smaller number that governs the arithmetic. With 41 episodes, what the data supports is a range from -43.85% to +34.50% per trade — the published average is the centre of it, not the exact measurement.
- Daily bars
- Measured at the daily close. Nothing here measures what happens inside the day, and an intraday technique is not auditable with this data.
Numbers and reproducibility
The six controls
| control | status | t | threshold | episodes |
|---|---|---|---|---|
| invariance | passed | — | — | — |
| costs | failed | -0.25 | 2.02 | 41 |
| placebo | failed | -0.24 | 2.02 | 41 |
| benchmark | failed | — | — | — |
| out of sample | inconclusive | — | — | — |
| multiple testing | failed | — | — | — |
- invariance1076 signals across 140496 bars
- costsgross -4.674% · cost 0.200% · net -4.874% (t=-0.25)
- placeboactual -4.874% · placebo -0.094% · excess -4.780% ± 19.613% (t=-0.24 against a threshold of 2.02, 41 real groups, 53,800 sham dates, draw error ±1.142%)
- benchmarktechnique -4.87% · buy and hold (same horizon) +10.69% · excess -15.56%
- out of sampleasset half A: -0.483% (t=-0.02, 38 groups) · asset half B: -9.604% (t=-0.52, 41 groups) · earlier period: -15.544% (t=-0.53, 27 groups) · recent period: +5.796% (t=1.13, 15 groups)
- multiple testing36 variation(s) tested · t=-0.25 across 41 episodes (equivalent to t=-0.24) · p≈0.8073 · false positives expected by chance ≈ 29.06
Reproducibility
- period
- 2017-08-17 to 2026-07-28
- assets that traded
- 104
- variations tested before this one
- 36
- gross per trade
- −4.67%
- net per trade
- −4.87%
- exit rule
- the technique itself (held until the opposite signal)
- median duration bars
- 80
- mean duration bars
- 112.3
- max duration bars
- 1282
- fee per leg
- 0.001
- episode days
- 80
- band period
- 10
- deviations
- 2.5
Binance spot klines (delisted pairs included) · collected from 2026-07-27 23:31 to 2026-07-27 23:31 · 106 assets · 140,496 bars · 2017-08-17 to 2026-07-28
Seed not recorded: audits before 2026-07-29 used 20260728 by convention in the code, and the value is not in the record.
Hypothesis, filed before the result
The 'bollinger' family contains no combination with a real edge: the ones that look good are the tails of the grid itself. I expect the best `t` in the sweep not to survive the multiple-testing control.
the filing date is not in this audit's record
The original, as it was filed
A família 'bollinger' não contém uma combinação com vantagem real: as que parecem boas são as caudas da própria grade. Espero que o melhor `t` da varredura não sobreviva ao controle de múltiplos testes.
Pre-registration exists to keep prediction apart from rationalisation: written after the number, every hypothesis is right.