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Strategies / Volatility / Double Bollinger Band Zone

Double Bollinger Band Zone

The system buys when the close sits between the 1 and 2 standard deviation upper Bollinger Bands, and sells short between the matching lower bands. Positions close when price moves back through the 20-period average.

VolatilityLong & shortSwingUSD/JPYDaily
1.42Profit factor
3,022,010Net profit USD
32.96%Win rate
801Trades
-409,930Max drawdown
3,773Avg trade

Best run of 8. USD/JPY, Daily, spread 1, from run pf:2026-10-10-USDJPY-D.tsv:8.

Entry rules, long

  1. The close is above the 20-period simple moving average.
  3. The close is below the upper band at 2 standard deviations.

Entry rules, short

  1. The close is below the 20-period simple moving average.
  3. The close is above the lower band at 2 standard deviations.

Exit rules

  2. A short closes when the close rises above the 20-period simple moving average.

Test conditions

PeriodUp to 2026-10-10
InstrumentUSD/JPY, 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily1.42 80132.963,022,010 USD-409,930
USD/JPY1 hourn/a 8,57631.42764,170 USD-236,680
EUR/USDDailyn/a 80634.37100,231 USD-57,353
Nikkei 225Dailyn/a 69335.0642,156 USD-17,352
SilverDailyn/a 75932.5437,783 USD-23,784
Brent CrudeDailyn/a 33035.7615,484 EUR-11,465
GBP/USDDailyn/a 86734.8314,513 USD-10,776
GoldDailyn/a 81333.331,013 EUR-895

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Double Bollinger Band Zone
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = STD[20](close)
upperone = basis + dev * 1
lowerone = basis - dev * 1
uppertwo = basis + dev * 2
lowertwo = basis - dev * 2

17 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 BandsSMAStandard Deviation
Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data -2,290.00 USD

USD/JPY had no history beyond the standard run, so both runs used 12,000 bars.

USD/JPY · Daily

Bars available12,000
Net, standard 200,000-bar run3,022,010.00 USD
Net, long run3,019,720.00 USD
Net on the older data alone-2,290.00 USD
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 Double Bollinger Band Zone 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 8 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.42 over 801 trades.

How large was the drawdown?

The best run had a maximum drawdown of 409,930 USD at the tested position size, against a net result of 3,022,010 USD.

Does it trade long, short or both?

It trades both long and short.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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