When Bollinger Band width (22) drops to its lowest of the last 2 bars, the system places a buy stop at the upper band for the next bar. It holds the trade until the close falls below the 165-day SMA. This is a slow, long-only swing system tested on daily charts of large US stocks and the S&P 500.
Best run of 31. Amazon, Daily, from run stock2-queue:2026-09-15-Amazon.tsv:9.
| Period | Up to 2026-09-15 |
| Instrument | Amazon, Daily |
| Capital per trade | 10,000 |
| Costs | Not recorded for this run. |
| Bars | Daily bars, full available history |
| Last tested | 2026-09-15 |
| capitalPerTrade Money committed to each trade | 10000 |
| bandPeriod Bollinger Band length | 22 |
| squeezeBars Band width must be the lowest of this many bars | 2 |
| exitPeriod Exit SMA length | 165 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| AmazonBest run | Daily | 14.30 | 86 | 43.02 | 386,898 USD | -361,369 |
| Palantir | Daily | 16.65 | 20 | 40.00 | 94,451 USD | -31,293 |
| Cisco | Daily | 13.86 | 103 | 50.49 | 225,807 USD | -41,136 |
| Meta | Daily | 13.76 | 28 | 50.00 | 46,969 USD | -10,472 |
| Mastercard | Daily | 10.32 | 40 | 52.50 | 80,788 USD | -23,544 |
| Nvidia | Daily | 7.16 | 102 | 27.45 | 202,659 USD | -36,363 |
| Broadcom | Daily | 5.04 | 35 | 40.00 | 47,678 USD | -9,468 |
| Tesla | Daily | 4.11 | 64 | 40.62 | 62,570 USD | -28,438 |
| Alphabet | Daily | 3.79 | 29 | 37.93 | 19,069 USD | -5,070 |
| Oracle | Daily | 3.72 | 148 | 33.78 | 100,248 USD | -24,550 |
| Applied Materials | Daily | 3.60 | 98 | 37.76 | 74,042 USD | -30,687 |
| Microsoft | Daily | 3.54 | 125 | 31.20 | 84,446 USD | -34,568 |
| AMD | Daily | 3.22 | 186 | 44.09 | 124,415 USD | -24,881 |
| Costco | Daily | 3.17 | 100 | 44.00 | 39,134 USD | -6,597 |
| Berkshire Hathaway | Daily | 3.02 | 75 | 46.67 | 21,168 USD | -9,905 |
| Bank of America | Daily | 2.93 | 89 | 40.45 | 35,213 USD | -7,319 |
| Visa | Daily | 2.86 | 39 | 35.90 | 21,413 USD | -6,405 |
| AbbVie | Daily | 2.71 | 39 | 43.59 | 11,391 USD | -5,999 |
| Lam Research | Daily | 2.65 | 127 | 39.37 | 89,157 USD | -32,344 |
| Caterpillar | Daily | 2.52 | 189 | 35.98 | 51,732 USD | -10,618 |
| Eli Lilly | Daily | 2.40 | 186 | 37.63 | 49,760 USD | -14,648 |
| S&P 500 | Daily | 2.23 | 183 | 30.05 | 28,567 EUR | -6,839 |
| Walmart | Daily | 1.99 | 239 | 22.18 | 49,448 USD | -43,858 |
| Johnson & Johnson | Daily | 1.99 | 214 | 31.31 | 30,738 USD | -9,947 |
| JPMorgan | Daily | 1.90 | 196 | 37.76 | 34,834 USD | -8,919 |
| ExxonMobil | Daily | 1.59 | 235 | 24.68 | 23,697 USD | -10,693 |
| Chevron | Daily | 1.12 | 111 | 28.83 | 2,671 USD | -9,124 |
| Apple | Daily | 0.55 | 77 | 5.19 | -10,740 USD | -23,393 |
| Intel | Daily | 0.48 | 6 | 16.67 | -11,000 USD | -21,000 |
| Coca-Cola | Daily | 0.45 | 91 | 6.59 | -10,165 USD | -17,369 |
| Micron | Daily | 0.28 | 27 | 25.93 | -10,755 USD | -14,397 |
Charts
Above 1.0 made money, below 1.0 lost money.
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 Squeeze // ProRealAlgos Strategy Library | prorealalgos.com // Type: Volatility // Direction: Long only // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- capitalPerTrade = 10000 // money committed to each trade bandPeriod = 22 // Bollinger Band length squeezeBars = 2 // band width must be the lowest of this many bars exitPeriod = 165 // exit when the close drops below this SMA // --- Indicators --- positionSize = capitalPerTrade / close bandWidthValue = BollingerBandWidth[bandPeriod](close) upperBand = BollingerUp[bandPeriod](close) exitMA = Average[exitPeriod](close)
14 more lines: the entry and exit rules.
Read this first
Questions
Yes. The buy stop is re-placed every bar while the squeeze holds, which ProOrder handles, but the rewritten code has not been compile-checked, so backtest it first.
Thirty daily charts, mostly large US stocks plus the S&P 500. Amazon gave the best run with a profit factor of 14.3 over 86 trades, while Apple, Intel, Coca-Cola and Micron lost.
Each trade buys about 10,000 of stock, calculated as 10,000 divided by the close. With no stop in place, the best run still saw a max drawdown of USD 361,368.9.
The exit uses a 165-day SMA, so the system is built for multi-week trends. Daily data gave the full available history for each stock.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
