Strategies / Mean reversion / ATR Envelope Pullback (long and short)

ATR Envelope Pullback (long and short)

Buys pullbacks above the 200-period average and sells short rallies below it, each measured from the 20-period average by the 20-period ATR. Long trades exit above the 20-period average plus that ATR, short trades below the average minus it.

Mean reversionLong & shortSwingGoldDaily

1.39Profit factor

13,146Net profit EUR

67.06%Win rate

255Trades

-4,655Max drawdown

51.55Avg trade

Best run of 2. Gold, Daily, spread 0.6, from run pf:2026-10-11-GOLD-D.tsv:21.

Entry rules, long

The close is above the 200-period SMA

Entry rules, short

The close is below the 200-period SMA

Exit rules

The close falls below the 20-period SMA minus the 20-period ATR, closing a short

Test conditions

Period	Up to 2026-10-11
Instrument	Gold, Daily
Spread	0.6 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
GoldBest run	Daily	1.39	255	67.06	13,146 EUR	-4,655
EUR/USD	Daily	1.23	246	64.63	4,733 USD	-3,961

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false
ONCE capital = 10000

27 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

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 Envelope Pullback (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 2 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 1.39 over 255 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,655 EUR at the tested position size, against a net result of 13,146 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

ATR Scaled Dip Buying (long and short)

Also a mean reversion strategy.

1.38 PF · 236 trades

Want strategies that are already part of a live portfolio? Join the ProRealAlgos waitlist.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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