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Strategies / Volatility / Historical Volatility Threshold Long

Historical Volatility Threshold Long

The strategy buys when 20 bar historical volatility, annualized with 365 and multiplied by 100, rises above 20. It sells when it falls below 10 and stays out until volatility rises above 20 again.

VolatilityLong onlyIntradayBrent Crude30 min
n/aProfit factor
3,828Net profit EUR
54.35%Win rate
46Trades
-3,116Max drawdown
83.23Avg trade

Best run of 25. Brent Crude, 30 min, spread 3, from run sweeps:2026-10-12-BRENT-30m-opt.tsv:7.

Entry rules, long

  2. The volatility state is on, set when historical volatility rises above 20 and not yet reset by a reading below 10.
  3. Signals are checked only after bar 21.

Exit rules

  1. The long closes at market when historical volatility falls below 10.

Test conditions

PeriodUp to 2026-10-12
InstrumentBrent Crude, 30 minutes
Spread3 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Brent CrudeBest run30 minn/a 4654.353,828 EUR-3,116
Nikkei 225Dailyn/a 2665.3844,881 USD-23,100
Dow JonesDailyn/a 3688.8930,967 EUR-8,975
Nasdaq 100Dailyn/a 2986.2127,689 EUR-5,914
DAX 40Dailyn/a 4488.6422,742 EUR-5,862
USD/JPY4 hoursn/a 1100.0021,600 USD-17,900
Silver5 minn/a 1080.0011,988 USD-7,585
Nikkei 2254 hoursn/a 2475.0011,127 USD-11,063
Silver2 minn/a 785.718,420 USD-4,282
Silver3 minn/a 887.508,381 USD-7,770
FTSE 100Dailyn/a 3479.417,815 EUR-3,731
Nikkei 22530 minn/a 966.675,735 USD-2,110
Nikkei 2251 hourn/a 1154.555,149 USD-2,899
Nasdaq 1004 hoursn/a 3275.005,148 EUR-2,386
S&P 500Dailyn/a 3783.783,728 EUR-1,222
Nasdaq 10030 minn/a 1275.002,628 EUR-993
GoldDailyn/a 4146.342,618 EUR-1,534
Nasdaq 1001 hourn/a 1250.002,145 EUR-1,727
Nikkei 2255 minn/a 475.001,655 USD-1,154
Nikkei 22515 minn/a 580.001,493 USD-1,481
US Crude Oil3 minn/a 1163.641,426 EUR-754
Brent Crude3 minn/a 1172.731,338 EUR-571
Brent Crude2 minn/a 1361.541,099 EUR-623
US Crude Oil2 minn/a 1275.00911 EUR-740
DAX 405 minn/a 1100.00129 EUR-35.50

Charts

Results by run

Top 10 of 25 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Historical Volatility Threshold Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE pos = 0

ret = LOG(close / close[1])
sd = STD[20](ret)
hvol = sd * SQRT(365 / 1) * 100

15 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

Standard Deviation
Read this firstKnown weaknesses4 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The best run has only 46 trades, which is a small sample to judge it on.
  • The maximum drawdown of 3,116 EUR is large next to the net profit of 3,828 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Historical Volatility Threshold 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 25 market and timeframe combinations. The best run by trade count was Brent Crude, 30 minutes, with 46 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,116 EUR at the tested position size, against a net result of 3,828 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Hull Trend With ADX Filter

Best run on the same market, Brent Crude.

1.27 PF · 1,400 trades

Bollinger Squeeze

Also a volatility strategy.

14.30 PF · 86 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.comStatsDocs