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Strategies / Mean reversion / Large Range Day Fade (long only)

Large Range Day Fade (long only)

Buys after a bar whose high-low range exceeds 2 times the 20-period ATR and closes with its position in that range below 0.25. Exits after 3 or more bars, or sooner when the close rises above the prior bar's high.

Mean reversionLong onlySwingBrent CrudeDaily
1.72Profit factor
5,165Net profit EUR
62.86%Win rate
70Trades
-2,353Max drawdown
73.79Avg trade

Best run of 1. Brent Crude, Daily, spread 5, from run pf:2026-10-10-BRENT-D.tsv:8.

Entry rules, long

  1. The bar's high-low range is more than 2 times the 20-period ATR

Exit rules

  2. The close rises above the prior bar's high

Test conditions

PeriodUp to 2026-10-10
InstrumentBrent Crude, Daily
Spread5 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Brent CrudeBest runDaily1.72 7062.865,165 EUR-2,353

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Large Range Day Fade (long only)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

22 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

ATR
Read this firstKnown weaknesses3 points
  • The best run has only 70 trades, which is a small sample to judge it on.
  • It was only tested on Brent Crude, so there is no evidence from other markets.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Large Range Day Fade (long only) 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 one combination, Brent Crude, Daily, with a profit factor of 1.72 over 70 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,353 EUR at the tested position size, against a net result of 5,165 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Hull Trend With ADX Filter

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1.27 PF · 1,400 trades

RSI(2) Trend Filter

Also a mean reversion strategy.

1.73 PF · 254 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