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Strategies / Mean reversion / Bollinger Band Reversion With Bracket

Bollinger Band Reversion With Bracket

The strategy buys when close falls below the lower 20-bar band and sells short when close rises above the upper band, aiming for the 20-bar EMA. Each trade has a stop at the 3 standard deviation band.

Mean reversionLong & shortSwingFTSE 100Daily
n/aProfit factor
2,363Net profit EUR
23.85%Win rate
981Trades
-2,362Max drawdown
2.41Avg trade

Best run of 1. FTSE 100, Daily, spread 2, from run sweeps:2026-10-11-FTSE100-D-opt.tsv:74.

Entry rules, long

  1. When flat, the close is below the 20-bar SMA minus 2 standard deviations.

Entry rules, short

  1. When flat, the close is above the 20-bar SMA plus 2 standard deviations.

Exit rules

  2. The target is set at the 20-bar EMA, measured from the fill price.
  3. A trade is skipped if its stop or target is already on the wrong side of the close.

Test conditions

PeriodUp to 2026-10-11
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
FTSE 100Best runDailyn/a 98123.852,363 EUR-2,362

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

basis = Average[20](close)
sd = STD[20](close)
upentry = basis + 2.0 * sd
loentry = basis - 2.0 * sd
upstop = basis + 3.0 * sd
lostop = basis - 3.0 * sd
ema = ExponentialAverage[20](close)

22 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 DeviationEMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 2,362 EUR is large next to the net profit of 2,363 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 Reversion With Bracket 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 981 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,362 EUR at the tested position size, against a net result of 2,363 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