Strategies / Mean reversion / Gap Catcher

Gap Catcher: Buying Weakness Against the 5 Day Close

Gap Catcher buys when an intraday bar closes below the daily close from 5 days ago and sells once price climbs back above it. A 1% stop is placed on the entry bar. It only trades long.

Mean reversionLong onlyIntradayEUR/USD3 min

4.51Profit factor

123,862Net profit USD

74.64%Win rate

631Trades

-33,131Max drawdown

196Avg trade

Best run of 17. EUR/USD, 3 min, spread 1, from run pf:2026-09-15-EURUSD-3m.tsv:2.

Entry rules, long

Members only
The bar's high differs from the previous bar's low (any size move)

Exit rules

Stop loss 1%
Members only

Test conditions

Period	Up to 2026-09-15
Instrument	EUR/USD, 3 minutes
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	2026-09-15

Parameters

positionSize Lots per trade	1
minGap Minimum bar-to-bar move as a fraction	0
lookbackDays Days back for the reference close	5
stopLossPct Protective stop, percent	1

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
EUR/USDBest run	3 min	4.51	631	74.64	123,862 USD	-33,131
EUR/USD	2 min	4.13	544	64.71	89,237 USD	-33,319
EUR/USD	5 min	2.16	871	77.15	68,512 USD	-33,907
EUR/USD	10 min	1.64	1,426	80.86	77,394 USD	-25,468
Dow Jones	2 min	1.35	581	84.68	7,098 EUR	-3,933
DAX 40	3 min	1.18	875	79.77	4,409 EUR	-3,779
Dow Jones	5 min	1.15	942	81.42	8,114 EUR	-7,654
S&P 500	2 min	1.15	667	73.16	593 EUR	-352
Dow Jones	Daily	1.14	3,502	34.47	24,548 EUR	-10,514
DAX 40	5 min	1.13	1,134	78.22	4,154 EUR	-3,691
Dow Jones	10 min	1.12	1,540	76.95	12,873 EUR	-6,685
DAX 40	10 min	1.11	1,741	74.67	6,526 EUR	-3,487
Dow Jones	30 min	1.10	1,308	66.74	12,871 EUR	-8,354
FTSE 100	Daily	1.10	2,392	42.98	6,899 EUR	-2,694
Dow Jones	1 hour	1.09	1,073	61.14	11,168 EUR	-9,054
Dow Jones	15 min	1.08	1,642	71.62	11,115 EUR	-8,388
DAX 40	Daily	1.04	3,118	37.46	4,962 EUR	-4,536

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

Longer history

Re-run on up to 1,000,000 bars

With 915,000 bars available on S&P 500 2 minutes, net profit turned to EUR -412.07 from EUR 593.2 in the standard run, because the older data alone lost EUR 1,005.27.

S&P 500 · 2 min

Bars available	915,000
Net, standard 200,000-bar run	593.20 EUR
Net, long run	-412.07 EUR
Net on the older data alone	-1,005.27 EUR

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.

// ============================================================
// Gap Catcher
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 3 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 1000

// --- Parameters ---
positionSize = 1          // lots per trade
minGap = 0                // bar-to-bar move, as a fraction, that must be exceeded
lookbackDays = 5          // compare the close with the daily close this many days ago
stopLossPct = 1           // protective stop, percent of entry price

// --- Indicators ---
upMove = abs((high - low[1]) / low[1])
downMove = abs((low - high[1]) / high[1])
pastClose = DClose(lookbackDays)

17 more lines: the entry and exit rules.

Read this first

Known weaknesses

Drawdowns are large on the forex runs: 33,131 USD on EUR/USD 3 minutes against 123,862 USD of profit.
With minGap at 0 the move filter passes on almost every bar, so the gap part of the name does little in practice.
The stop is only set on the entry bar, as in the original code, so later bars in the trade may not carry it.
Profit factors on the index runs are thin, for example 1.04 on DAX 40 Daily and 1.08 on Dow Jones 15 minutes.

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 run it in ProOrder?

Yes, it is fully automated and long only. Because the stop is set only on the entry bar, check that your protection stays in place in demo before going live.

How did it do on different instruments?

EUR/USD 3 minutes led with 123,862 USD over 631 trades and a 74.64% win rate. Every run in the table was profitable, across EUR/USD, Dow Jones, DAX 40, FTSE 100 and S&P 500.

How much drawdown at 1 contract?

With 1 contract and a 1 point spread, EUR/USD 3 minutes dropped 33,131 USD from peak. S&P 500 on 2 minutes had a much smaller 351.70 EUR drawdown.

Why short intraday bars?

The rule compares each bar with a fixed daily level, so faster bars catch the dip sooner. The 2 and 3 minute EUR/USD charts gave the highest profit factors.

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

Turn Of The Month

A similar profit factor.

4.86 PF · 47 trades

Monday Dip Buy

Also a mean reversion strategy.

n/a PF · 146 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