When a candle body is more than twice ATR(12), this strategy trades against it. A big down candle triggers a long and a big up candle triggers a short. The stop equals the signal candle body and the target is 2.5 times that body.
Best run of 5. USD/JPY, Daily, spread 1, from run pf:2026-09-24-USDJPY-D.tsv:8.
| Period | Up to 2026-09-25 |
| Instrument | USD/JPY, Daily |
| Spread | 1 points |
| Contracts | 1 |
| 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 | 2026-09-25 |
| positionSize Contracts per trade | 1 |
| atrPeriod ATR length | 12 |
| bodyAtrMultiple Candle body must exceed this many ATRs | 2 |
| targetMultiple Profit target as a multiple of the candle body | 2.5 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| USD/JPYBest run | Daily | 2.28 | 172 | 46.51 | 37,020 JPY | -3,240 |
| Dow Jones | Daily | n/a | 68 | 42.65 | 19,369 EUR | -5,848 |
| Nikkei 225 | 4 hours | n/a | 242 | 36.78 | 16,148 USD | -9,067 |
| FTSE 100 | Daily | n/a | 63 | 38.10 | 4,132 EUR | -1,333 |
| S&P 500 | Daily | n/a | 92 | 36.96 | 1,961 EUR | -1,057 |
Charts
The code
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.
// ============================================================ // Big Bar Fade // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade atrPeriod = 12 // ATR length bodyAtrMultiple = 2 // candle body must exceed this many ATRs targetMultiple = 2.5 // profit target as a multiple of the candle body // --- Indicators --- atrValue = AverageTrueRange[atrPeriod](close) bodySize = ABS(open - close) bigBar = bodySize > (atrValue * bodyAtrMultiple)
21 more lines: the entry and exit rules.
Read this first
Questions
Yes. Stop and target are set inside the entry code as point distances. The rewrite still needs a compile check before live use.
USD/JPY Daily did best with JPY 37,020 and a profit factor of 2.28. Dow Jones, Nikkei 225, FTSE 100 and S&P 500 were also profitable, with S&P 500 Daily lowest at EUR 1,961.41.
On USD/JPY Daily max drawdown was JPY 3,240. On Nikkei 225 4 hours it reached USD 9,067.3, higher than on any other run listed.
Big daily candles often reflect news driven overreactions, which this rule tries to fade. Daily bars also keep the number of signals low.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
