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Strategies / Breakout / Bollinger Squeeze Breakout With Volume

Bollinger Squeeze Breakout With Volume

The strategy buys when close crosses above the upper Bollinger Band after a squeeze, with above-average volume, and sells short on the mirror setup. Each trade has a stop 1.5 times the 14-bar ATR away and a target 3 times that distance.

BreakoutLong & shortSwingGold4 hours
n/aProfit factor
1,057Net profit EUR
34.06%Win rate
778Trades
-413Max drawdown
1.36Avg trade

Best run of 8. Gold, 4 hours, spread 0.6, from run sweeps:2026-10-03-GOLD-4h-opt.tsv:36.

Entry rules, long

  1. The prior bar's band width (upper minus lower, divided by the 20-bar SMA) is below 0.8 times its 50-bar average.

Entry rules, short

  1. The prior bar's band width is below 0.8 times its 50-bar average.

Exit rules

  2. The target is 3 times the 14-bar ATR from the fill price.

Test conditions

PeriodUp to 2026-10-03
InstrumentGold, 4 hours
Spread0.6 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 tested2026-10-03

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GoldBest run4 hoursn/a 77834.061,057 EUR-413
Nikkei 2254 hoursn/a 30138.2112,922 USD-5,982
Dow JonesDailyn/a 4841.677,788 EUR-5,163
US Crude Oil4 hoursn/a 45238.055,210 EUR-3,247
Nasdaq 1004 hoursn/a 33234.644,634 EUR-3,628
Brent CrudeDailyn/a 7142.254,027 EUR-2,061
Brent Crude4 hoursn/a 36634.973,141 EUR-2,134
GoldDailyn/a 11833.90565 EUR-530

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger Squeeze Breakout With Volume
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

mid = Average[20](close)
sd = STD[20](close)
upper = mid + 2.0 * sd
lower = mid - 2.0 * sd
width = (upper - lower) / mid
avgwidth = Average[50](width)

18 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 DeviationATRVolume
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Bollinger Squeeze Breakout With Volume 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 8 market and timeframe combinations. The best run by trade count was Gold, 4 hours, with 778 trades.

How large was the drawdown?

The best run had a maximum drawdown of 413 EUR at the tested position size, against a net result of 1,057 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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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