Strategies / Breakout / Adaptive Volatility Band Breakout

Adaptive Volatility Band Breakout

Upper and lower bands are 100-bar averages of the close, scaled by a range-based volatility measure. It buys when the high crosses above the upper band, sells short when the low crosses below the lower band, and exits at the midline.

BreakoutLong & shortIntradayDAX 405 min

n/aProfit factor

2,302Net profit EUR

36.15%Win rate

758Trades

-2,286Max drawdown

3.04Avg trade

Best run of 16. DAX 40, 5 min, spread 3, from run sweeps:2026-10-11-DAX40-5m-opt.tsv:14.

Entry rules, long

If a short is open, this buy reverses it to a long.

Entry rules, short

If a long is open, this sell short reverses it.

Exit rules

A short is closed when the close crosses over the midline.

Test conditions

Period	Up to 2026-10-11
Instrument	DAX 40, 5 minutes
Spread	3 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
DAX 40Best run	5 min	n/a	758	36.15	2,302 EUR	-2,286
USD/JPY	Daily	n/a	36	44.44	1,012,050 USD	-367,300
USD/JPY	10 min	n/a	595	42.86	383,840 USD	-122,010
USD/JPY	30 min	n/a	563	41.39	344,280 USD	-183,430
USD/JPY	15 min	n/a	587	39.35	327,100 USD	-97,070
EUR/USD	1 hour	n/a	428	43.46	33,562 USD	-12,680
EUR/USD	10 min	n/a	611	40.10	26,321 USD	-25,472
Nikkei 225	2 min	n/a	681	38.77	18,322 USD	-8,228
Silver	30 min	n/a	625	39.84	17,731 USD	-17,257
GBP/USD	Daily	n/a	30	56.67	8,095 USD	-3,990
US Crude Oil	Daily	n/a	22	36.36	5,177 EUR	-3,824
Gold	15 min	n/a	584	39.90	1,900 EUR	-617
Gold	30 min	n/a	586	43.17	991 EUR	-840
Gold	1 hour	n/a	322	39.44	946 EUR	-641
Gold	Daily	n/a	35	37.14	900 EUR	-869
Gold	5 min	n/a	664	37.35	850 EUR	-521

Charts

Results by run

Top 10 of 16 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Adaptive Volatility Band Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE vx = 0

hh = highest[100](close)
ll = lowest[100](close)

20 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

SMA

Read this firstKnown weaknesses3 points

No profit factor is available, because only sweep results exist for this strategy.
The maximum drawdown of 2,286 EUR is large next to the net profit of 2,302 EUR.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Adaptive Volatility Band Breakout in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 16 market and timeframe combinations. The best run by trade count was DAX 40, 5 minutes, with 758 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,286 EUR at the tested position size, against a net result of 2,302 EUR.

Does it trade long, short or both?

It trades both long and short.

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Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs