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Strategies / Mean reversion / ATR Envelope Pullback (long only)

ATR Envelope Pullback (long only)

Buys a pullback when the close is above its 200-period average but below the 20-period average minus the 20-period ATR. Sells when the close rises above the 20-period average plus that ATR.

Mean reversionLong onlySwingGoldDaily
1.95Profit factor
16,072Net profit EUR
70.39%Win rate
152Trades
-3,221Max drawdown
106Avg trade

Best run of 3. Gold, Daily, spread 0.6, from run pf:2026-10-11-GOLD-D.tsv:10.

Entry rules, long

  1. The close is above the 200-period SMA

Exit rules

  1. The close rises above the 20-period SMA plus the 20-period ATR

Test conditions

PeriodUp to 2026-10-11
InstrumentGold, Daily
Spread0.6 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
GoldBest runDaily1.95 15270.3916,072 EUR-3,221
USD/JPYDaily4.39 1275.001,200 USD-609
EUR/USDDaily1.53 11866.104,101 USD-2,402

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false
ONCE capital = 10000

21 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 Envelope Pullback (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 3 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 1.95 over 152 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,221 EUR at the tested position size, against a net result of 16,072 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Trend Surfer

Uses the same indicator.

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CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

Overnight Dip

Also a mean reversion strategy.

1.95 PF · 219 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