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Strategies / Mean reversion / Drawdown Mean Reversion Long

Drawdown Mean Reversion Long

The strategy buys when the percentage drawdown from the 50-bar high falls to 1 standard deviation below its 50-bar average. It exits 35 bars after the signal bar.

Mean reversionLong onlySwingS&P 500Daily
2.37Profit factor
5,921Net profit EUR
64.18%Win rate
268Trades
-1,223Max drawdown
22.09Avg trade

Best run of 20. S&P 500, Daily, spread 1, from run pf:2026-10-11-USA500-D.tsv:1.

Entry rules, long

  2. The drawdown is the close minus the highest high of the last 50 bars, divided by that high, times 100.

Exit rules

  1. The position is sold at market once 35 bars have passed since the signal bar.

Test conditions

PeriodUp to 2026-10-11
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best runDaily2.37 26864.185,921 EUR-1,223
Nasdaq 100Daily2.34 19962.3123,549 EUR-5,001
USD/JPY10 minn/a 3,29153.42269,370 USD-237,120
Nikkei 225Dailyn/a 19961.8162,738 USD-16,485
Dow JonesDailyn/a 25565.8845,196 EUR-12,409
EUR/USD15 minn/a 3,22047.9543,724 USD-27,414
Nikkei 2251 hourn/a 1,68052.2643,268 USD-10,986
Nikkei 2254 hoursn/a 42756.4431,582 USD-17,193
Nasdaq 1004 hoursn/a 55459.0318,680 EUR-5,213
Dow Jones1 hourn/a 69953.9318,182 EUR-8,555
Dow Jones4 hoursn/a 18355.7416,776 EUR-9,450
DAX 40Dailyn/a 25459.4512,369 EUR-5,649
DAX 404 hoursn/a 52658.9411,023 EUR-5,422
Dow Jones30 minn/a 1,39352.559,211 EUR-7,077
FTSE 100Dailyn/a 19861.628,317 EUR-3,082
DAX 401 hourn/a 1,90352.608,161 EUR-4,151
Nasdaq 1001 hourn/a 2,08052.697,055 EUR-5,299
S&P 5004 hoursn/a 55461.374,482 EUR-1,413
S&P 5001 hourn/a 2,12153.702,654 EUR-1,176
Gold4 hoursn/a 51555.531,486 EUR-1,266

Charts

Results by run

Top 10 of 20 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

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

DEFPARAM CumulateOrders = false

ONCE entrybar = -1

peak = highest[50](high)
dd = (close - peak) / peak * 100
ddstd = STD[50](dd)
ddmean = Average[50](dd)

12 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

SMAStandard Deviation
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 run5,920.61 EUR
Net, long run5,920.61 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 Drawdown Mean Reversion 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 20 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 2.37 over 268 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,223 EUR at the tested position size, against a net result of 5,921 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Sign With EMA Alignment

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1.23 PF · 1,253 trades

One Notch Long

Also a mean reversion strategy.

2.38 PF · 161 trades

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

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