This system goes long when a bar closes above the upper Bollinger Band (20, 2) and short when it closes below the lower band. Positions exit at the 20-bar midline or at a 1% stop. It was tested on 5 minute to 1 hour charts.
Best run of 16. Nasdaq 100, 30 min, spread 3, from run sweeps:2026-09-07-NAS100-30m-opt.tsv:7.
| Period | Up to 2026-09-07 |
| Instrument | Nasdaq 100, 30 minutes |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-07 |
| positionSize Contracts per trade | 1 |
| bandPeriod Bollinger Band length | 20 |
| bandWidth Standard deviations from the midline | 2 |
| stopLossPct Protective stop, percent of entry price | 1 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Nasdaq 100Best run | 30 min | n/a | 8,117 | 30.48 | -17,708 EUR | -20,713 |
| DAX 40 | 1 hour | n/a | 4,524 | 34.88 | 2,158 EUR | -5,304 |
| Gold | 1 hour | n/a | 4,665 | 34.73 | 450 EUR | -1,036 |
| Gold | 30 min | n/a | 7,742 | 32.74 | 120 EUR | -3,196 |
| Gold | 15 min | n/a | 7,600 | 30.36 | -3,071 EUR | -4,227 |
| Gold | 5 min | n/a | 7,402 | 29.11 | -3,529 EUR | -3,616 |
| DAX 40 | 30 min | n/a | 7,724 | 32.29 | -6,450 EUR | -11,223 |
| S&P 500 | 1 hour | n/a | 5,167 | 32.96 | -6,817 EUR | -7,251 |
| S&P 500 | 30 min | n/a | 8,040 | 31.01 | -7,424 EUR | -9,385 |
| S&P 500 | 5 min | n/a | 7,536 | 28.26 | -8,285 EUR | -8,313 |
| S&P 500 | 15 min | n/a | 7,675 | 30.35 | -8,645 EUR | -8,728 |
| Nasdaq 100 | 1 hour | n/a | 5,252 | 32.84 | -11,791 EUR | -13,154 |
| Nasdaq 100 | 5 min | n/a | 7,458 | 31.54 | -19,822 EUR | -20,050 |
| Nasdaq 100 | 15 min | n/a | 7,650 | 31.57 | -20,270 EUR | -20,697 |
| DAX 40 | 5 min | n/a | 7,391 | 29.09 | -20,632 EUR | -20,855 |
| DAX 40 | 15 min | n/a | 7,603 | 31.12 | -28,925 EUR | -28,944 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Bollinger Breakout // ProRealAlgos Strategy Library | prorealalgos.com // Type: Breakout // Direction: Long & short // Timeframe tested: 30 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade bandPeriod = 20 // Bollinger Band length bandWidth = 2 // standard deviations from the midline stopLossPct = 1 // protective stop, percent of entry price // --- Indicators --- // Bands built by hand so the 2 sigma width is explicit. midBand = Average[bandPeriod](close) stdDevValue = STD[bandPeriod](close) upperBand = midBand + bandWidth * stdDevValue lowerBand = midBand - bandWidth * stdDevValue
26 more lines: the entry and exit rules.
Read this first
Questions
Yes, the code runs as an automated ProOrder system with a 1% stop loss. Given the test results, treat it as a starting point for research rather than something to trade as is.
It was tested on DAX 40, Gold, S&P 500 and Nasdaq 100. Three runs made a small profit, and the rest lost, with DAX 40 on 15 minutes losing 28,924.50 EUR.
One contract per trade with a 3 point spread. The headline Nasdaq 100 run had a max drawdown of 20,713.30 EUR at that size.
The 1 hour charts did least badly, with DAX 40 and Gold both positive there. The 5 and 15 minute runs lost on every instrument.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
