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

Large Range Day Fade (short only)

Sells short after a bar whose high-low range exceeds 2 times the 20-period ATR and closes with its position in that range above 0.75. Exits after 3 or more bars, or sooner when the close falls below the prior bar's low.

Mean reversionShort onlySwingEUR/USDDaily
1.41Profit factor
2,022Net profit USD
54.86%Win rate
144Trades
-1,059Max drawdown
14.04Avg trade

Best run of 1. EUR/USD, Daily, spread 1.2, from run pf:2026-10-10-EURUSD-D.tsv:14.

Entry rules, short

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

Exit rules

  2. The close falls below the prior bar's low

Test conditions

PeriodUp to 2026-10-10
InstrumentEUR/USD, Daily
Spread1.2 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
EUR/USDBest runDaily1.41 14454.862,022 USD-1,059

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Large Range Day Fade (short only)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Short 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 maximum drawdown of 1,059 USD is large next to the net profit of 2,022 USD.
  • It was only tested on EUR/USD, 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 (short 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, EUR/USD, Daily, with a profit factor of 1.41 over 144 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,059 USD at the tested position size, against a net result of 2,022 USD.

Does it trade long, short or both?

It only takes short trades.

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Two Day Buy and Hold

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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