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Strategies / Breakout / Bollinger Band Squeeze Breakout (long and short)

Bollinger Band Squeeze Breakout (long and short)

Buys breakouts above the upper Bollinger Band and sells short breaks below the lower band, both after band width has been at its tightest of the last 100 bars. Long trades exit below the 150-period average, short trades above it.

BreakoutLong & shortSwingEUR/USDDaily
1.72Profit factor
7,867Net profit USD
37.13%Win rate
167Trades
-3,324Max drawdown
47.11Avg trade

Best run of 3. EUR/USD, Daily, spread 1.2, from run pf:2026-10-10-EURUSD-D.tsv:23.

Entry rules, long

  1. Band width over the last 20 bars has been at its lowest level of the last 100 bars

Entry rules, short

  1. Band width over the last 20 bars has been at its lowest level of the last 100 bars

Exit rules

  2. The close rises above the 150-period SMA, closing a short

Test conditions

PeriodUp to 2026-10-10
InstrumentEUR/USD, Daily
Spread1.2 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
EUR/USDBest runDaily1.72 16737.137,867 USD-3,324
GBP/USDDaily1.67 18337.167,740 USD-2,852
Brent CrudeDaily1.62 9141.769,205 EUR-5,464

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Band Squeeze Breakout (long and short)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

26 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 BandsSMA
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 Squeeze Breakout (long and short) 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 3 market and timeframe combinations. The best run was EUR/USD, Daily, with a profit factor of 1.72 over 167 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,324 USD at the tested position size, against a net result of 7,867 USD.

Does it trade long, short or both?

It trades both long and short.

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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