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Strategies / Mean reversion / Bollinger Band Reversal Long

Bollinger Band Reversal Long

Buys when price crosses back above the lower Bollinger Band, or after 5 closes in a row below their 60-period average. Each trade has a 5% stop loss and a 10% profit target.

Mean reversionLong onlyIntradayNasdaq 10030 min
1.92Profit factor
30,669Net profit EUR
50.00%Win rate
136Trades
-6,013Max drawdown
226Avg trade

Best run of 68. Nasdaq 100, 30 min, spread 3, from run pf:2026-10-05-NAS100-30m.tsv:2.

Entry rules, long

  2. Or the last 5 closes are each below their own 60-period simple moving average

Exit rules

  2. A 10% profit target sits above the entry price

Test conditions

PeriodUp to 2026-10-05
InstrumentNasdaq 100, 30 minutes
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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run30 min1.92 13650.0030,669 EUR-6,013
S&P 5001 hour1.76 13844.206,351 EUR-1,373
Nasdaq 1001 hour1.74 20145.2729,875 EUR-6,553
S&P 5004 hours1.70 13542.966,047 EUR-1,373
S&P 500Daily1.68 23239.225,238 EUR-929
Nikkei 22530 min1.60 14144.6858,005 USD-13,819
Nikkei 2251 hour1.60 13544.4457,919 USD-12,262
DAX 4030 min1.60 12344.7221,620 EUR-5,286
Dow JonesDaily1.59 21839.9134,712 EUR-8,508
USD/JPY30 minn/a 3151.61778,580 USD-283,390
USD/JPY10 minn/a 1353.85529,840 USD-246,010
USD/JPY1 hourn/a 4540.00475,300 USD-456,960
USD/JPY15 minn/a 1850.00443,800 USD-247,810
EUR/USD5 minn/a 1070.0062,595 USD-10,199
Nikkei 2254 hoursn/a 12142.9847,324 USD-12,665
Nikkei 22515 minn/a 7545.3347,249 USD-13,725
EUR/USD3 minn/a 771.4344,920 USD-12,663
Nikkei 22510 minn/a 5745.6140,118 USD-12,863
EUR/USD15 minn/a 1450.0038,913 USD-28,209
Nikkei 2253 minn/a 3050.0032,146 USD-12,903
Nikkei 2255 minn/a 3946.1531,582 USD-13,192
Silver1 hourn/a 41737.8929,371 USD-20,252
Dow Jones30 minn/a 3850.0027,592 EUR-9,671
Nikkei 2252 minn/a 1656.2525,089 USD-13,046
Nasdaq 1004 hoursn/a 17643.7523,190 EUR-7,134
Dow Jones1 hourn/a 4245.2422,709 EUR-11,726
Nasdaq 10015 minn/a 8646.5122,563 EUR-6,793
Dow Jones15 minn/a 3847.3722,506 EUR-10,763
Dow Jones4 hoursn/a 4544.4422,316 EUR-11,158
DAX 401 hourn/a 17841.5722,018 EUR-5,568
DAX 404 hoursn/a 15842.4119,558 EUR-6,204
Dow Jones10 minn/a 2152.3817,711 EUR-8,552
Nasdaq 100Dailyn/a 30136.8815,993 EUR-4,996
Nikkei 2251 minn/a 1250.0015,560 USD-13,187
DAX 4015 minn/a 6744.7814,652 EUR-5,053
Nasdaq 10010 minn/a 5444.4414,430 EUR-6,479
Dow Jones5 minn/a 966.6714,257 EUR-8,033
Nasdaq 1005 minn/a 2552.0014,109 EUR-5,833
DAX 4010 minn/a 2948.289,899 EUR-4,532
Nasdaq 1003 minn/a 1656.259,668 EUR-5,642
FTSE 100Dailyn/a 16442.689,258 EUR-3,020
DAX 405 minn/a 1553.338,593 EUR-4,284
DAX 40Dailyn/a 28637.068,113 EUR-5,894
Nasdaq 1002 minn/a 862.507,039 EUR-3,771
FTSE 1001 hourn/a 11741.036,935 EUR-3,919
Nasdaq 1001 minn/a 580.006,443 EUR-3,760
S&P 50030 minn/a 8050.006,417 EUR-1,383
FTSE 1004 hoursn/a 10041.005,643 EUR-3,365
FTSE 10030 minn/a 6942.035,163 EUR-3,177
S&P 50015 minn/a 6046.675,102 EUR-1,292
Dow Jones1 minn/a 2100.004,867 EUR-4,166
FTSE 10010 minn/a 1361.543,759 EUR-1,258
S&P 50010 minn/a 2948.283,533 EUR-1,387
Gold1 hourn/a 15042.673,463 EUR-1,333
GoldDailyn/a 18742.783,104 EUR-813
FTSE 1005 minn/a 1154.552,987 EUR-1,261
S&P 5005 minn/a 1656.252,955 EUR-1,263
Gold30 minn/a 9843.882,932 EUR-1,692
Gold15 minn/a 5648.212,793 EUR-1,541
Gold4 hoursn/a 13042.312,629 EUR-1,416
Gold5 minn/a 3250.002,193 EUR-1,537
Gold10 minn/a 4247.622,182 EUR-1,509
DAX 401 minn/a 560.002,178 EUR-1,786
FTSE 1003 minn/a 850.001,778 EUR-1,275
S&P 5003 minn/a 1050.001,406 EUR-1,251
FTSE 1002 minn/a 2100.001,292 EUR-1,265
S&P 5002 minn/a 2100.001,239 EUR-699
S&P 5001 minn/a 450.00974 EUR-396

Charts

Results by run

Top 10 of 68 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 Band Reversal Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

mid = Average[60](close)
sd = STD[60](close) * SQRT(60 / 59)
lower = mid - 2 * sd

12 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
Longer historyRe-run on up to 1,000,000 barsDow Jones · Daily · older data -68.30 EUR

Dow Jones had no history beyond the standard run, so both runs used 14,000 bars.

Dow Jones · Daily

Bars available14,000
Net, standard 200,000-bar run34,711.90 EUR
Net, long run34,643.60 EUR
Net on the older data alone-68.30 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 Band 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 68 market and timeframe combinations. The best run was Nasdaq 100, 30 minutes, with a profit factor of 1.92 over 136 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,013 EUR at the tested position size, against a net result of 30,669 EUR.

Does it trade long, short or both?

It only takes long 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