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Strategies / Mean reversion / Bollinger Zone Exit Long

Bollinger Zone Exit Long

The strategy buys when the close moves up out of the bottom zone, at or below the lower band. It sells the long when the close moves out of the top zone, at or above the upper band.

Mean reversionLong onlySwingS&P 500Daily
4.55Profit factor
5,994Net profit EUR
83.62%Win rate
116Trades
-1,280Max drawdown
51.67Avg trade

Best run of 29. S&P 500, Daily, spread 1, from run pf:2026-10-04-USA500-D.tsv:7.

Entry rules, long

  2. Bands use a 20-period average, with the upper band 2.25 and the lower band 2 standard deviations away.

Exit rules

  1. Sell the long when the zone changes from top (at or above the upper band) to any other zone.

Test conditions

PeriodUp to 2026-10-04
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best runDaily4.55 11683.625,994 EUR-1,280
Dow JonesDaily3.93 12881.2546,718 EUR-8,705
Nasdaq 1004 hours2.24 30472.3721,840 EUR-4,640
Nikkei 2251 hour1.39 95763.8546,972 USD-9,453
S&P 5001 hour1.29 1,43566.484,488 EUR-933
USD/JPY4 hoursn/a 34864.37483,930 USD-406,510
Nikkei 2254 hoursn/a 23569.3629,557 USD-11,063
Dow Jones4 hoursn/a 10774.7723,121 EUR-11,316
SilverDailyn/a 13567.4122,401 USD-14,002
Dow Jones1 hourn/a 48366.4620,967 EUR-7,906
Nikkei 22515 minn/a 2,05262.1320,275 USD-15,369
DAX 40Dailyn/a 12767.7218,566 EUR-5,511
Nasdaq 100Dailyn/a 8374.7018,005 EUR-5,474
Nasdaq 1001 hourn/a 1,45664.2216,532 EUR-4,797
DAX 404 hoursn/a 30868.5114,600 EUR-5,779
Dow Jones15 minn/a 1,72267.3614,559 EUR-8,724
Dow Jones30 minn/a 88863.7410,836 EUR-9,993
Dow Jones10 minn/a 2,01766.299,855 EUR-9,233
Nasdaq 10015 minn/a 2,04866.118,999 EUR-6,527
FTSE 100Dailyn/a 9775.268,687 EUR-3,110
DAX 401 hourn/a 1,25164.918,549 EUR-5,603
Nasdaq 10030 minn/a 2,22165.296,924 EUR-6,085
FTSE 1001 hourn/a 1,21567.086,383 EUR-3,003
FTSE 1004 hoursn/a 28866.675,659 EUR-2,836
S&P 5004 hoursn/a 30569.514,721 EUR-1,205
FTSE 10010 minn/a 2,03762.442,153 EUR-1,906
S&P 50030 minn/a 2,18965.602,075 EUR-1,566
GoldDailyn/a 12955.041,370 EUR-856
Gold4 hoursn/a 31565.401,153 EUR-1,003

Charts

Results by run

Top 10 of 29 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ONCE zone = 0

mid = Average[20](close)
sd = STD[20](close)
upper = mid + 2.25 * sd
lower = mid - 2 * sd

27 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 BandsStandard Deviation
Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 33.57 EUR

S&P 500 had no history beyond the standard run, so both runs used 14,000 bars.

S&P 500 · Daily

Bars available14,000
Net, standard 200,000-bar run5,993.76 EUR
Net, long run6,027.33 EUR
Net on the older data alone33.57 EUR
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 Zone Exit 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 29 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 4.55 over 116 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,280 EUR at the tested position size, against a net result of 5,994 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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1.23 PF · 1,253 trades

Range Low Pullback

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4.54 PF · 5,302 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