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Strategies / Breakout / Bollinger Band Squeeze Breakout (short only)

Bollinger Band Squeeze Breakout (short only)

Sells short when the close breaks below the lower 20-period Bollinger Band after band width has been at its tightest of the last 100 bars. Closes the short when the close rises above the 150-period average.

BreakoutShort onlySwingBrent CrudeDaily
2.12Profit factor
7,301Net profit EUR
46.81%Win rate
47Trades
-5,524Max drawdown
155Avg trade

Best run of 2. Brent Crude, Daily, spread 5, from run pf:2026-10-11-BRENT-D.tsv:6.

Entry rules, short

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

Exit rules

  1. The close rises above the 150-period SMA

Test conditions

PeriodUp to 2026-10-11
InstrumentBrent Crude, Daily
Spread5 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
Brent CrudeBest runDaily2.12 4746.817,301 EUR-5,524
GBP/USDDaily1.71 9933.334,309 USD-3,139

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Band Squeeze Breakout (short only)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Short only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

20 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 weaknesses3 points
  • The best run has only 47 trades, which is a small sample to judge it on.
  • The maximum drawdown of 5,524 EUR is large next to the net profit of 7,301 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Bollinger Band Squeeze Breakout (short only) 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 2 market and timeframe combinations. The best run was Brent Crude, Daily, with a profit factor of 2.12 over 47 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,524 EUR at the tested position size, against a net result of 7,301 EUR.

Does it trade long, short or both?

It only takes short trades.

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

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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