Members:
This group developed and backtested a mean reversion trading strategy using Bollinger Bands, specifically targeting volatile assets AMD and XLE from 2020 to 2024. The strategy aimed to buy when both assets dipped below their lower Bollinger Bands and sell when either crossed above the middle band, incorporating confirmation signals and Kalman Filters to improve signal reliability. Their backtest showed the strategy achieved a significant total return (183.94%) with a reasonable Sharpe Ratio (1.129), demonstrating the potential of combining Bollinger Bands with filtering techniques to systematically trade mean reversion in specific assets.