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Strategies / Mean reversion / Bollinger Band Pierce Fade

Bollinger Band Pierce Fade

Buys when a bar's low pierces below the lower Bollinger Band (20-period, 2 standard deviations) and sells short when a high pierces above the upper band. Each trade has a 1% stop and a 2% target from entry.

Mean reversionLong & shortSwingFTSE 100Daily
n/aProfit factor
2,940Net profit EUR
35.14%Win rate
1,639Trades
-2,163Max drawdown
1.79Avg trade

Best run of 1. FTSE 100, Daily, spread 2, from run sweeps:2026-10-07-FTSE100-D-opt.tsv:6.

Entry rules, long

  1. The bar's low is below the lower band, the 20-period SMA minus 2 standard deviations.

Entry rules, short

  1. The bar's high is above the upper band, the 20-period SMA plus 2 standard deviations.

Exit rules

  2. An opposite signal reverses the position.

Test conditions

PeriodUp to 2026-10-07
InstrumentFTSE 100, Daily
Spread2 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 tested2026-10-07

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
FTSE 100Best runDailyn/a 1,63935.142,940 EUR-2,163

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Band Pierce Fade
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = 2 * STD[20](close)
upper = basis + dev
lower = basis - dev

15 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 BandsSMAStandard Deviation
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 2,162 EUR is large next to the net profit of 2,940 EUR.
  • It was only tested on FTSE 100, so there is no evidence from other markets.

Questions

About this strategy

Can I run Bollinger Band Pierce Fade 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 one combination, FTSE 100, Daily, with 1,639 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,162 EUR at the tested position size, against a net result of 2,940 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

Strategies like this one

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

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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