Strategies / Mean reversion / Keltner Lower Wick Fade

Keltner Lower Wick Fade

The system buys when a bar's low pokes below the lower Keltner band while flat. It exits only at a 1.3% stop loss or a 2.6% take profit from the entry price.

Mean reversionLong onlyIntradayS&P 50030 min

1.21Profit factor

5,781Net profit EUR

38.42%Win rate

1,088Trades

-1,363Max drawdown

5.31Avg trade

Best run of 49. S&P 500, 30 min, spread 1, from run pf:2026-10-12-USA500-30m.tsv:2.

Entry rules, long

ATR(7) is greater than zero.
No trade has entered or exited on the current bar.

Exit rules

The long closes at the 2.6% take profit measured from the fill price.

Test conditions

Period	Up to 2026-10-12
Instrument	S&P 500, 30 minutes
Spread	1 points
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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	30 min	1.21	1,088	38.42	5,781 EUR	-1,363
USD/JPY	30 min	n/a	377	37.14	546,870 USD	-289,160
USD/JPY	15 min	n/a	194	38.66	452,130 USD	-228,870
USD/JPY	10 min	n/a	151	39.74	440,690 USD	-264,600
Nikkei 225	10 min	n/a	712	36.24	28,054 USD	-12,616
Nikkei 225	3 min	n/a	334	38.02	26,421 USD	-14,030
Nikkei 225	30 min	n/a	1,708	34.89	22,687 USD	-13,796
Nikkei 225	5 min	n/a	501	36.13	22,676 USD	-13,719
Dow Jones	15 min	n/a	535	36.82	20,111 EUR	-9,330
Nikkei 225	15 min	n/a	985	35.23	19,978 USD	-15,475
Dow Jones	30 min	n/a	470	37.45	19,895 EUR	-8,702
Nikkei 225	2 min	n/a	228	38.16	19,657 USD	-14,495
Nikkei 225	4 hours	n/a	891	35.58	18,786 USD	-8,546
Nikkei 225	1 hour	n/a	1,499	34.89	18,682 USD	-13,284
Nasdaq 100	1 hour	n/a	1,860	33.82	14,664 EUR	-5,457
Nasdaq 100	15 min	n/a	1,043	35.86	12,794 EUR	-7,748
Nasdaq 100	30 min	n/a	1,560	36.22	12,736 EUR	-7,058
Dow Jones	10 min	n/a	342	35.96	11,719 EUR	-9,272
Dow Jones	5 min	n/a	144	38.19	10,136 EUR	-9,414
Nasdaq 100	10 min	n/a	675	35.56	9,788 EUR	-6,551
DAX 40	30 min	n/a	1,496	35.29	8,918 EUR	-4,499
Nasdaq 100	5 min	n/a	319	36.99	8,391 EUR	-5,914
Dow Jones	Daily	n/a	819	33.58	8,348 EUR	-5,033
Nasdaq 100	3 min	n/a	219	37.90	7,870 EUR	-5,646
DAX 40	15 min	n/a	737	35.82	7,812 EUR	-4,449
Nasdaq 100	4 hours	n/a	1,142	34.59	7,223 EUR	-4,818
Nasdaq 100	1 min	n/a	68	44.12	6,744 EUR	-3,756
Nasdaq 100	2 min	n/a	130	39.23	6,670 EUR	-3,497
Dow Jones	2 min	n/a	51	41.18	6,220 EUR	-5,194
DAX 40	5 min	n/a	193	38.34	5,741 EUR	-4,805
DAX 40	Daily	n/a	967	33.61	5,664 EUR	-3,452
DAX 40	10 min	n/a	425	35.76	5,550 EUR	-4,678
Dow Jones	1 min	n/a	23	47.83	5,533 EUR	-4,173
S&P 500	15 min	n/a	688	37.21	4,201 EUR	-1,264
S&P 500	1 hour	n/a	1,372	35.20	3,735 EUR	-1,325
FTSE 100	5 min	n/a	105	43.81	3,386 EUR	-1,277
FTSE 100	10 min	n/a	242	38.02	3,335 EUR	-1,316
S&P 500	10 min	n/a	419	36.75	2,761 EUR	-1,360
FTSE 100	30 min	n/a	976	35.04	2,613 EUR	-2,221
S&P 500	5 min	n/a	167	40.12	2,397 EUR	-1,422
DAX 40	1 min	n/a	33	42.42	2,193 EUR	-1,832
FTSE 100	Daily	n/a	693	35.50	2,122 EUR	-2,010
FTSE 100	3 min	n/a	80	41.25	2,019 EUR	-1,304
S&P 500	4 hours	n/a	888	34.57	1,921 EUR	-1,248
S&P 500	3 min	n/a	121	38.84	1,420 EUR	-1,159
S&P 500	Daily	n/a	903	27.91	1,314 EUR	-1,098
S&P 500	1 min	n/a	30	46.67	1,156 EUR	-395
Gold	4 hours	n/a	893	34.83	1,154 EUR	-1,090
S&P 500	2 min	n/a	53	41.51	1,032 EUR	-669

Charts

Results by run

Top 10 of 49 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Keltner Lower Wick Fade
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

mid = ExponentialAverage[14](close)
rng = ExponentialAverage[14](TR(close))
lower = mid - 1.5 * rng
myAtr = AverageTrueRange[7](close)

9 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on 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.

Indicators used

Keltner ChannelEMATrue RangeATR

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Keltner Lower Wick Fade 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 49 market and timeframe combinations. The best run was S&P 500, 30 minutes, with a profit factor of 1.21 over 1,088 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,363 EUR at the tested position size, against a net result of 5,781 EUR.

Does it trade long, short or both?

It only takes long trades.

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CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

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Cyclic Smoothed RSI Reversion

Also a mean reversion strategy.

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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