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Strategies / Mean reversion / ATR Band Mean Reversion (long and short)

ATR Band Mean Reversion (long and short)

Buys when the close falls below the 3-bar average minus the 10-bar average true range, and sells short when it rises above the 3-bar average plus that range. Each position closes when the close reaches the opposite band.

Mean reversionLong & shortSwingUS Crude OilDaily
1.28Profit factor
32,356Net profit EUR
61.09%Win rate
275Trades
-12,015Max drawdown
118Avg trade

Best run of 1. US Crude Oil, Daily, spread 5, from run pf:2026-10-10-CRUDE-D.tsv:15.

Entry rules, long

  1. The close is below the 3-period SMA minus the 10-period ATR

Entry rules, short

  1. The close is above the 3-period SMA plus the 10-period ATR

Exit rules

  2. The close is below the 3-period SMA minus the 10-period ATR, closing a short

Test conditions

PeriodUp to 2026-10-10
InstrumentUS Crude Oil, Daily
Spread5 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
US Crude OilBest runDaily1.28 27561.0932,356 EUR-12,015

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// ATR Band Mean Reversion (long and short)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

26 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. 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".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

SMAATR
Read this firstKnown weaknesses2 points
  • It was only tested on US Crude Oil, so there is no evidence from other markets.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run ATR Band Mean Reversion (long and short) 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 one combination, US Crude Oil, Daily, with a profit factor of 1.28 over 275 trades.

How large was the drawdown?

The best run had a maximum drawdown of 12,015 EUR at the tested position size, against a net result of 32,356 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.comStatsDocs