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Strategies / Mean reversion / ATR Band Mean Reversion (long only)

ATR Band Mean Reversion (long only)

Buys when the close falls below the 3-bar average minus the 10-bar average true range. Sells when the close rises above the 3-bar average plus that range.

Mean reversionLong onlySwingUS Crude OilDaily
1.68Profit factor
36,925Net profit EUR
65.69%Win rate
137Trades
-8,097Max drawdown
270Avg trade

Best run of 2. US Crude Oil, Daily, spread 5, from run pf:2026-10-10-CRUDE-D.tsv:4.

Entry rules, long

Exit rules

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

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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
US Crude OilBest runDaily1.68 13765.6936,925 EUR-8,097
GoldDaily1.47 15362.0913,231 EUR-9,264

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false
ONCE capital = 10000

20 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
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run ATR Band Mean Reversion (long only) 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 2 market and timeframe combinations. The best run was US Crude Oil, Daily, with a profit factor of 1.68 over 137 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,097 EUR at the tested position size, against a net result of 36,925 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Short Term RSI Pullback Long Short

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1.33 PF · 493 trades

RSI Pullback Trailing Stop Long

Also a mean reversion strategy.

1.69 PF · 402 trades

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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