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Strategies / Mean reversion / Channel Lower Quarter Reversion

Channel Lower Quarter Reversion

Buys when price is in the lower 25% of the prior 50-bar high-low channel while the close stays above the 200-period SMA. Sells at the channel midline, below the channel low by 1.0 ATR(14), or when the close drops below the SMA.

Mean reversionLong onlySwingS&P 500Daily
2.17Profit factor
1,630Net profit EUR
61.60%Win rate
125Trades
-257Max drawdown
13.04Avg trade

Best run of 9. S&P 500, Daily, spread 1, from run pf:2026-10-04-USA500-D.tsv:2.

Entry rules, long

  1. The close is above the 200-period SMA.

Exit rules

  2. The close falls more than 1.0 ATR(14) below the prior 50-bar channel low.
  3. The close falls below the 200-period SMA.

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 runDaily2.17 12561.601,630 EUR-257
EUR/USDDailyn/a 8852.2734,229 USD-14,989
SilverDailyn/a 9338.7115,685 USD-5,160
Nikkei 225Dailyn/a 9650.007,296 USD-5,644
Dow JonesDailyn/a 12657.145,658 EUR-3,292
Nasdaq 100Dailyn/a 9757.734,397 EUR-1,644
GBP/USDDailyn/a 11241.963,109 USD-2,311
DAX 404 hoursn/a 24951.812,900 EUR-1,962
GoldDailyn/a 12851.56750 EUR-239

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Channel Lower Quarter Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

upperd = highest[50](high)[1]
lowerd = lowest[50](low)[1]
midd = (upperd + lowerd) / 2.0
zonetop = lowerd + (upperd - lowerd) * 25.0 / 100.0
myAtr = AverageTrueRange[14](close)
smat = Average[200](close)

19 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

Donchian ChannelATRSMA
Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 0.00 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 run1,630.37 EUR
Net, long run1,630.37 EUR
Net on the older data alone0.00 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 Channel Lower Quarter Reversion 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 9 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.17 over 125 trades.

How large was the drawdown?

The best run had a maximum drawdown of 257 EUR at the tested position size, against a net result of 1,630 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Two Period RSI Trend Pullback

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Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

Copy trading on US indices is available to ProRealAlgos members as spots open.

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