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Strategies / Mean reversion / Bollinger Band Aroon Filter Long

Bollinger Band Aroon Filter Long

The strategy buys when the close crosses under the lower Bollinger Band (20 periods, 2 standard deviations) while Aroon Up over 288 bars is above 90. It sells the long when the close crosses under the upper band or Aroon Up falls below 70.

Mean reversionLong onlySwingNasdaq 1001 hour
1.51Profit factor
9,027Net profit EUR
64.31%Win rate
608Trades
-2,157Max drawdown
14.85Avg trade

Best run of 20. Nasdaq 100, 1 hour, spread 3, from run pf:2026-10-04-NAS100-1h.tsv:3.

Entry rules, long

  1. Buy when the close crosses under the lower Bollinger Band (20, 2.0 standard deviations) and Aroon Up is above 90.

Exit rules

  2. Sell the long when Aroon Up falls below 70.

Test conditions

PeriodUp to 2026-10-04
InstrumentNasdaq 100, 1 hour
Spread3 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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run1 hour1.51 60864.319,027 EUR-2,157
USD/JPY4 hoursn/a 11969.75210,190 USD-152,070
USD/JPY5 minn/a 60465.40101,590 USD-56,680
USD/JPY3 minn/a 62061.2943,260 USD-41,530
Dow JonesDailyn/a 9581.0527,151 EUR-9,843
SilverDailyn/a 2373.9121,248 USD-5,160
DAX 40Dailyn/a 8472.6213,283 EUR-5,511
Silver10 minn/a 56862.1512,892 USD-4,654
Nikkei 225Dailyn/a 5269.2312,455 USD-10,727
Nikkei 2251 hourn/a 35164.6710,168 USD-9,771
Dow Jones4 hoursn/a 5676.798,274 EUR-3,459
Nasdaq 100Dailyn/a 6873.538,181 EUR-4,857
Nasdaq 1004 hoursn/a 18573.516,451 EUR-3,557
FTSE 100Dailyn/a 6175.416,153 EUR-1,046
S&P 500Dailyn/a 10281.374,303 EUR-1,198
Brent Crude1 minn/a 56060.542,097 EUR-1,019
S&P 5004 hoursn/a 18776.471,553 EUR-943
S&P 5001 hourn/a 63866.771,518 EUR-498
GoldDailyn/a 3661.111,098 EUR-154
Gold10 minn/a 55261.23696 EUR-238

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Band Aroon Filter Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = 2.0 * STD[20](close)
upper = basis + dev
lower = basis - dev
barsago = ABS(HighestBars[289](high))
aroonup = 100 * (288 - barsago) / 288

11 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

Bollinger Bands
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · 1 hour · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 114,000 bars.

Nasdaq 100 · 1 hour

Bars available114,000
Net, standard 200,000-bar run9,026.80 EUR
Net, long run9,026.80 EUR
Net on the older data alone0.00 EUR
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 Bollinger Band Aroon Filter 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 20 market and timeframe combinations. The best run was Nasdaq 100, 1 hour, with a profit factor of 1.51 over 608 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,157 EUR at the tested position size, against a net result of 9,027 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Volatility Spike Regression Long

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Bollinger Bounce With MACD Volume

Also a mean reversion strategy.

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

Copy trading on US indices is available to ProRealAlgos members as spots open.

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