Strategies / Mean reversion / Dip In Uptrend

Dip In Uptrend Strategy

Only stocks trading above their 220-day SMA qualify. The system buys when the close drops below an envelope set about 2.2% under the 20-day SMA, then sells when price closes above the matching upper envelope. Each trade is sized from USD 10,000 of capital.

Mean reversionLong onlySwingVisaDaily

5.49Profit factor

18,470Net profit USD

83.33%Win rate

54Trades

-3,117Max drawdown

342Avg trade

Best run of 31. Visa, Daily, from run stock2-queue:2026-09-15-Visa.tsv:7.

Entry rules, long

Close is above the 220-day SMA
Members only

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-15
Instrument	Visa, Daily
Capital per trade	10,000
Costs	Not recorded for this run.
Bars	Daily bars, full available history
Last tested	2026-09-15

Parameters

capitalPerTrade Money committed to each trade	10000
bandPeriod Envelope midline SMA length	20
envelopeDivisor Band offset is the midline divided by this (about 2.2%)	45
trendPeriod Long-term trend SMA length	220

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
VisaBest run	Daily	5.49	54	83.33	18,470 USD	-3,117
Palantir	Daily	5.66	24	83.33	16,912 USD	-2,959
Cisco	Daily	4.47	145	79.31	55,640 USD	-4,596
Walmart	Daily	3.89	179	62.01	90,209 USD	-7,997
Broadcom	Daily	3.81	87	79.31	31,304 USD	-4,149
S&P 500	Daily	3.66	120	83.33	27,918 EUR	-3,204
ExxonMobil	Daily	3.60	150	74.00	35,358 USD	-2,863
Applied Materials	Daily	3.27	116	81.90	38,194 USD	-3,910
Meta	Daily	3.15	60	81.67	19,993 USD	-3,979
Alphabet	Daily	3.07	39	74.36	11,534 USD	-3,597
Mastercard	Daily	3.06	73	78.08	19,971 USD	-5,605
Lam Research	Daily	2.89	166	77.71	60,349 USD	-6,941
Microsoft	Daily	2.87	140	74.29	33,711 USD	-2,941
Costco	Daily	2.64	130	74.62	30,557 USD	-5,922
Berkshire Hathaway	Daily	2.56	71	78.87	13,965 USD	-3,418
Oracle	Daily	2.50	171	75.44	51,071 USD	-5,388
Johnson & Johnson	Daily	2.43	158	75.95	30,950 USD	-6,259
Eli Lilly	Daily	2.30	179	71.51	36,990 USD	-5,662
Coca-Cola	Daily	2.15	140	73.57	23,886 USD	-4,682
Caterpillar	Daily	1.99	193	72.54	34,614 USD	-5,872
Chevron	Daily	1.93	84	67.86	10,491 USD	-2,749
Intel	Daily	1.88	212	68.87	54,246 USD	-17,333
Nvidia	Daily	1.88	134	68.66	33,163 USD	-14,132
JPMorgan	Daily	1.69	161	73.29	23,616 USD	-6,574
Amazon	Daily	1.65	109	66.97	17,664 USD	-6,180
Tesla	Daily	1.57	68	63.24	12,690 USD	-7,249
Micron	Daily	1.47	166	73.49	27,390 USD	-13,305
AMD	Daily	1.46	196	70.92	33,193 USD	-14,672
Bank of America	Daily	1.40	95	68.42	9,579 USD	-6,236
Apple	Daily	1.34	143	64.34	13,935 USD	-9,974
AbbVie	Daily	1.33	37	56.76	2,507 USD	-4,255

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

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.

// ============================================================
// Dip In Uptrend
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
capitalPerTrade = 10000   // money committed to each trade
bandPeriod = 20           // envelope midline length
envelopeDivisor = 45      // band offset is the midline divided by this (about 2.2%)
trendPeriod = 220         // long-term trend filter length

// --- Indicators ---
positionSize = capitalPerTrade / close
midBand = Average[bandPeriod](close)
bandOffset = midBand / envelopeDivisor
upperBand = midBand + bandOffset
lowerBand = midBand - bandOffset
trendMA = Average[trendPeriod](close)

15 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss, so a dip that keeps falling is held until price recovers to the upper envelope.
The top run on Visa is based on only 54 trades, and Palantir only 24, so single outliers can shape the numbers.
Weaker names show the limits: AbbVie made USD 2,506.52 with a larger max drawdown of USD 4,255.21, and Apple had a profit factor of 1.34.
It is long only and depends on the long-term uptrend filter, so results come from a period when most of these stocks rose.

Indicators used

SMA

How to load it

Copy the code with the copy button above the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Questions

About this strategy

Can I automate this in ProOrder?

Yes. The code sizes each trade as 10,000 divided by the close, so every position uses about the same capital.

Which stocks were tested?

Visa daily led with profit factor 5.49 and USD 18,469.84 over 54 trades. Every tested market was profitable, from Palantir (5.66) down to AbbVie (1.33).

How much drawdown should I expect?

With 10,000 per trade, Visa had a max drawdown of USD 3,117.24. Intel and AMD went deeper, at USD 17,333.32 and USD 14,672.40.

Why daily bars?

The 220-day trend filter and 20-day envelope are built for daily swings in large stocks. Intraday bars were not tested.

Bollinger Squeeze

Uses the same indicator.

14.30 PF · 86 trades

Twelve Minus Two Momentum

Best run on the same market, Visa.

12.00 PF · 52 trades

Percent B Bollinger Trend

A similar profit factor.

5.43 PF · 3,202 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.com Stats Docs