Strategies / Trend / Displaced Envelope With ATR Trail

Displaced Envelope With ATR Trail

Buys when price closes above the upper band of a 9-period EMA envelope displaced 13 bars, while the close stays above a 2 ATR(15) trailing line. Sells short on the mirror setup below the lower band, and exits when the trailing line is crossed.

TrendLong & shortSwingUSD/JPYDaily

1.48Profit factor

3,332,360Net profit USD

40.53%Win rate

607Trades

-368,860Max drawdown

5,490Avg trade

Best run of 5. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:48.

Entry rules, long

The close is above the ATR trailing line, which sits 2 times ATR(15) below the close and ratchets up.

Entry rules, short

The close is below the ATR trailing line.

Exit rules

A short closes when the close is not below the ATR trailing line while the state is down.

Test conditions

Period	Up to 2026-10-12
Instrument	USD/JPY, Daily
Spread	1 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	1.48	607	40.53	3,332,360 USD	-368,860
EUR/USD	Daily	n/a	590	39.83	100,528 USD	-60,117
DAX 40	1 hour	n/a	4,204	35.94	9,836 EUR	-6,399
DAX 40	30 min	n/a	6,590	35.96	5,544 EUR	-4,850
Gold	1 hour	n/a	4,138	35.94	1,122 EUR	-1,083

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Displaced Envelope With ATR Trail
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE ts = 0
ONCE pos = 0

ema = ExponentialAverage[9](close)
top = ema[13] * (100 + 0.5) / 100
bott = ema[13] * (100 - 0.5) / 100
myLoss = 2 * AverageTrueRange[15](close)

prev = ts

39 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on 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.

Indicators used

EMAATR

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 Displaced Envelope With ATR Trail 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 5 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.48 over 607 trades.

How large was the drawdown?

The best run had a maximum drawdown of 368,860 USD at the tested position size, against a net result of 3,332,360 USD.

Does it trade long, short or both?

It trades both long and short.

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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