Strategies / Breakout / Bollinger 120 Breakout With SMA Exit

Bollinger 120 Breakout With SMA Exit

The strategy buys when close moves above the upper 120-bar Bollinger Band and sells short below the lower band. Longs exit when close falls below the 110-bar SMA, shorts when it rises above, and each trade has a 6% stop loss.

BreakoutLong & shortSwingUSD/JPYDaily

2.21Profit factor

2,330,220Net profit USD

48.51%Win rate

101Trades

-459,100Max drawdown

23,071Avg trade

Best run of 18. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:52.

Entry rules, long

The position is flat and the close is above the upper band, which is the 120-bar SMA plus 2 standard deviations.

Entry rules, short

The position is flat and the close is below the lower band, which is the 120-bar SMA minus 2 standard deviations.

Exit rules

A short is bought to cover when the close rises above the 110-bar SMA.
Each trade has a stop loss of 6% from the fill price.

Test conditions

Period	Up to 2026-10-12
Instrument	USD/JPY, Daily
Spread	1 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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	2.21	101	48.51	2,330,220 USD	-459,100
EUR/USD	Daily	1.95	100	45.00	132,390 USD	-32,840
USD/JPY	10 min	n/a	1,684	35.04	535,900 USD	-160,940
USD/JPY	30 min	n/a	1,628	35.01	491,630 USD	-229,820
USD/JPY	15 min	n/a	1,641	34.25	429,720 USD	-239,870
Nikkei 225	Daily	n/a	91	42.86	34,765 USD	-14,037
Silver	30 min	n/a	1,644	32.18	33,365 USD	-15,697
Nikkei 225	2 min	n/a	1,766	31.65	19,132 USD	-6,775
Nikkei 225	1 hour	n/a	786	35.50	13,001 USD	-9,252
GBP/USD	Daily	n/a	109	33.94	9,165 USD	-4,737
Brent Crude	30 min	n/a	1,052	35.08	6,188 EUR	-5,098
Gold	30 min	n/a	1,602	38.64	3,226 EUR	-851
Gold	Daily	n/a	101	42.57	2,479 EUR	-1,033
Gold	1 hour	n/a	922	37.85	2,419 EUR	-846
Gold	10 min	n/a	1,802	30.91	1,384 EUR	-878
Gold	5 min	n/a	1,780	30.90	1,337 EUR	-579
Gold	3 min	n/a	1,755	32.54	1,325 EUR	-689
Gold	15 min	n/a	1,671	33.45	1,236 EUR	-660

Charts

Results by run

Top 10 of 18 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger 120 Breakout With SMA Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[120](close)
dev = 2 * STD[120](close)
upper = basis + dev
lower = basis - dev
smaexit = Average[110](close)

19 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

Bollinger BandsSMAStandard Deviation

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Bollinger 120 Breakout With SMA Exit 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 18 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 2.21 over 101 trades.

How large was the drawdown?

The best run had a maximum drawdown of 459,100 USD at the tested position size, against a net result of 2,330,220 USD.

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

EMA 8 21 RSI Filtered Bracket

Best run on the same market, USD/JPY.

1.09 PF · 6,194 trades

EMA RSI Bollinger Band Breakout

Also a breakout strategy.

2.23 PF · 1,532 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

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

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