Strategies / Mean reversion / Bollinger %B Reversal Long

Bollinger %B Reversal Long

The strategy buys when %B, the close's position within 21-period Bollinger Bands (2 standard deviations), is below -0.13. It sells the long when %B rises above 1.2, and it uses no stop or target.

Mean reversionLong onlyIntradayFTSE 1005 min

1.34Profit factor

3,573Net profit EUR

64.80%Win rate

716Trades

-829Max drawdown

4.99Avg trade

Best run of 45. FTSE 100, 5 min, spread 2, from run pf:2026-10-05-FTSE100-5m.tsv:1.

Entry rules, long

No long position is currently open

Exit rules

The long closes at market when this holds, and no stop or target is set

Test conditions

Period	Up to 2026-10-05
Instrument	FTSE 100, 5 minutes
Spread	2 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	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
FTSE 100Best run	5 min	1.34	716	64.80	3,573 EUR	-829
FTSE 100	10 min	1.27	784	64.54	4,026 EUR	-982
USD/JPY	4 hours	n/a	137	60.58	336,220 USD	-302,850
Dow Jones	Daily	n/a	24	83.33	47,370 EUR	-11,142
Nikkei 225	4 hours	n/a	81	66.67	41,624 USD	-12,330
EUR/USD	10 min	n/a	766	62.01	41,333 USD	-13,815
Nikkei 225	1 hour	n/a	370	65.95	34,184 USD	-15,017
Nasdaq 100	Daily	n/a	19	94.74	31,463 EUR	-5,914
Silver	Daily	n/a	50	68.00	26,995 USD	-8,781
Nikkei 225	10 min	n/a	862	63.23	25,679 USD	-11,514
DAX 40	Daily	n/a	24	91.67	25,126 EUR	-5,511
Nikkei 225	30 min	n/a	798	61.90	24,618 USD	-17,033
Nikkei 225	15 min	n/a	851	63.45	20,608 USD	-13,638
Nasdaq 100	15 min	n/a	890	66.07	19,711 EUR	-5,744
Nasdaq 100	4 hours	n/a	104	75.00	17,467 EUR	-5,606
Nasdaq 100	1 hour	n/a	717	65.27	17,303 EUR	-5,979
Dow Jones	4 hours	n/a	31	64.52	16,421 EUR	-11,189
Dow Jones	1 hour	n/a	238	68.07	15,708 EUR	-11,342
Nikkei 225	5 min	n/a	762	63.25	15,223 USD	-12,844
DAX 40	4 hours	n/a	104	67.31	15,180 EUR	-5,779
Dow Jones	30 min	n/a	427	64.17	14,419 EUR	-8,952
Brent Crude	Daily	n/a	17	70.59	13,109 EUR	-6,671
Nasdaq 100	10 min	n/a	825	63.39	12,236 EUR	-5,676
Dow Jones	15 min	n/a	727	65.20	12,086 EUR	-10,969
Dow Jones	10 min	n/a	817	63.16	11,115 EUR	-9,801
DAX 40	1 hour	n/a	549	64.48	10,481 EUR	-5,966
Dow Jones	2 min	n/a	658	65.05	8,639 EUR	-3,858
FTSE 100	1 hour	n/a	510	69.22	8,448 EUR	-3,497
Brent Crude	15 min	n/a	854	63.47	7,998 EUR	-4,525
FTSE 100	Daily	n/a	21	71.43	7,978 EUR	-3,643
FTSE 100	4 hours	n/a	91	68.13	7,906 EUR	-2,884
S&P 500	Daily	n/a	21	80.95	7,157 EUR	-1,238
S&P 500	4 hours	n/a	97	78.35	5,388 EUR	-1,278
Dow Jones	1 min	n/a	620	62.74	4,866 EUR	-3,876
S&P 500	1 hour	n/a	635	66.93	4,451 EUR	-1,392
FTSE 100	30 min	n/a	908	62.67	4,328 EUR	-3,380
S&P 500	15 min	n/a	851	65.57	3,141 EUR	-1,424
Gold	Daily	n/a	50	62.00	2,876 EUR	-1,534
S&P 500	30 min	n/a	963	63.14	2,867 EUR	-1,246
FTSE 100	3 min	n/a	682	62.90	1,782 EUR	-1,126
S&P 500	10 min	n/a	753	63.61	1,628 EUR	-1,488
Gold	4 hours	n/a	128	63.28	1,440 EUR	-1,038
GBP/USD	5 min	n/a	642	61.99	1,331 USD	-876
GBP/USD	3 min	n/a	636	62.74	797 USD	-554
S&P 500	2 min	n/a	574	60.10	683 EUR	-543

Charts

Results by run

Top 10 of 45 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 %B Reversal Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[21](close)
sd = STD[21](close) * SQRT(1.05)
upper = basis + 2 * sd
lower = basis - 2 * sd
width = upper - lower

10 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

Longer historyRe-run on up to 1,000,000 barsFTSE 100 · 5 min · older data 199.40 EUR

On the long run with 940,000 bars the net result was 3,773 EUR, against 3,573 EUR on the standard 200,000-bar run. The older data alone gave 199 EUR.

FTSE 100 · 5 min

Bars available	940,000
Net, standard 200,000-bar run	3,573.40 EUR
Net, long run	3,772.80 EUR
Net on the older data alone	199.40 EUR

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 %B Reversal Long 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 45 market and timeframe combinations. The best run was FTSE 100, 5 minutes, with a profit factor of 1.34 over 716 trades.

How large was the drawdown?

The best run had a maximum drawdown of 829 EUR at the tested position size, against a net result of 3,573 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

DAX Survivor

Best run on the same market, FTSE 100.

1.17 PF · 1,514 trades

Smoothed Z-Score Crossover

Also a mean reversion strategy.

1.34 PF · 1,808 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.com Stats Docs