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Strategies / Mean reversion / Bollinger Basis Aroon Long

Bollinger Basis Aroon Long

Buys when close crosses under the 20-period SMA while Aroon up (288 bars) is above 90, which means a high was set recently. Closes the long when close crosses under the upper Bollinger Band or Aroon up falls below 70.

Mean reversionLong onlySwingS&P 500Daily
4.08Profit factor
5,028Net profit EUR
82.76%Win rate
174Trades
-1,256Max drawdown
28.90Avg trade

Best run of 20. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:7.

Entry rules, long

  2. Aroon up, computed over 288 bars, is above 90.

Exit rules

  2. The position also closes when Aroon up falls below 70.

Test conditions

PeriodUp to 2026-10-12
InstrumentS&P 500, Daily
Spread1 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best runDaily4.08 17482.765,028 EUR-1,256
USD/JPY5 minn/a 1,14062.7292,980 USD-88,590
Nikkei 225Dailyn/a 8674.4238,913 USD-11,901
Dow JonesDailyn/a 16478.6630,685 EUR-10,760
Nasdaq 100Dailyn/a 12779.5316,191 EUR-5,037
DAX 40Dailyn/a 13576.3014,259 EUR-5,511
Nasdaq 1004 hoursn/a 32875.0010,848 EUR-3,006
Silver10 minn/a 1,05459.118,981 USD-5,738
Nasdaq 1001 hourn/a 1,09766.738,435 EUR-2,391
Dow Jones4 hoursn/a 8771.267,496 EUR-4,947
Dow Jones1 hourn/a 31766.256,828 EUR-3,351
FTSE 100Dailyn/a 10775.706,603 EUR-1,676
Nikkei 22530 minn/a 1,20764.216,396 USD-6,244
US Crude Oil4 hoursn/a 13370.684,515 EUR-4,057
Nasdaq 10030 minn/a 1,55864.254,114 EUR-2,501
GoldDailyn/a 8472.623,720 EUR-397
FTSE 1004 hoursn/a 20966.513,032 EUR-1,554
S&P 5004 hoursn/a 34479.652,455 EUR-887
S&P 5001 hourn/a 1,09666.33981 EUR-695
Gold10 minn/a 1,11761.15904 EUR-370

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Basis Aroon Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
upper = basis + 2 * STD[20](close)
aroon = 100 * (288 - ABS(HighestBars[289](high))) / 288

10 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 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 Basis Aroon 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 20 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 4.08 over 174 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,256 EUR at the tested position size, against a net result of 5,028 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