Strategies / Breakout / Long Volatility Band Breakout

Long Volatility Band Breakout

Buys when the close crosses above a band set 2.5 standard deviations above its 350 period average. Closes the long when the close crosses below that average.

BreakoutLong onlyIntradayGold5 min

1.92Profit factor

2,065Net profit EUR

44.40%Win rate

232Trades

-337Max drawdown

8.90Avg trade

Best run of 44. Gold, 5 min, spread 0.6, from run pf:2026-10-04-GOLD-5m.tsv:2.

Entry rules, long

Signals are only checked after bar 355.

Exit rules

The close crosses below the 350 period average, closing the long.

Test conditions

Period	Up to 2026-10-04
Instrument	Gold, 5 minutes
Spread	0.6 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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
GoldBest run	5 min	1.92	232	44.40	2,065 EUR	-337
Gold	3 min	1.67	234	38.03	1,732 EUR	-349
Gold	2 min	1.61	231	39.83	1,446 EUR	-259
Nasdaq 100	15 min	1.58	204	48.04	8,712 EUR	-2,175
USD/JPY	30 min	n/a	211	38.86	359,570 USD	-231,530
USD/JPY	10 min	n/a	224	41.52	276,460 USD	-139,590
USD/JPY	15 min	n/a	218	41.74	264,350 USD	-140,900
USD/JPY	4 hours	n/a	37	37.84	248,350 USD	-191,340
EUR/USD	Daily	n/a	11	54.55	54,289 USD	-31,530
Nikkei 225	Daily	n/a	9	66.67	40,690 USD	-11,480
Silver	30 min	n/a	224	36.16	28,877 USD	-9,952
Nikkei 225	15 min	n/a	205	45.37	24,241 USD	-6,121
Nikkei 225	4 hours	n/a	23	52.17	22,606 USD	-6,293
Nikkei 225	10 min	n/a	216	39.35	20,192 USD	-6,495
Silver	3 min	n/a	229	40.61	16,866 USD	-7,865
Silver	2 min	n/a	231	40.26	15,890 USD	-6,739
Silver	5 min	n/a	236	39.41	15,737 USD	-9,776
Nikkei 225	2 min	n/a	232	40.95	15,565 USD	-7,218
Nikkei 225	30 min	n/a	207	38.65	14,375 USD	-5,651
Nikkei 225	5 min	n/a	217	39.63	13,516 USD	-8,135
Nikkei 225	1 hour	n/a	99	44.44	12,924 USD	-7,697
Dow Jones	Daily	n/a	14	64.29	12,821 EUR	-7,283
DAX 40	Daily	n/a	13	69.23	10,371 EUR	-3,843
Nikkei 225	3 min	n/a	225	38.67	9,147 USD	-9,092
Nasdaq 100	10 min	n/a	199	39.70	7,987 EUR	-2,769
Nasdaq 100	30 min	n/a	196	41.33	7,396 EUR	-2,068
Dow Jones	15 min	n/a	167	40.72	6,997 EUR	-4,804
Brent Crude	15 min	n/a	212	41.98	4,743 EUR	-3,388
Dow Jones	30 min	n/a	84	42.86	4,526 EUR	-3,714
Nasdaq 100	5 min	n/a	227	43.61	4,182 EUR	-1,994
Nasdaq 100	1 hour	n/a	118	46.61	4,120 EUR	-2,779
Nasdaq 100	2 min	n/a	239	37.66	3,923 EUR	-1,889
DAX 40	15 min	n/a	217	39.17	3,789 EUR	-3,010
FTSE 100	Daily	n/a	11	63.64	3,563 EUR	-1,737
DAX 40	30 min	n/a	221	36.20	3,398 EUR	-2,441
Gold	Daily	n/a	12	58.33	3,248 EUR	-1,466
Gold	4 hours	n/a	37	51.35	2,371 EUR	-1,014
Gold	10 min	n/a	241	41.91	1,923 EUR	-686
Gold	15 min	n/a	233	40.34	1,884 EUR	-927
Gold	1 hour	n/a	135	40.00	1,874 EUR	-913
Gold	30 min	n/a	223	38.57	1,867 EUR	-1,035
S&P 500	15 min	n/a	196	44.39	1,817 EUR	-469
S&P 500	30 min	n/a	206	40.29	908 EUR	-584
Gold	1 min	n/a	224	33.93	305 EUR	-286

Charts

Results by run

Top 10 of 44 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Long Volatility Band Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

sma = Average[350](close)
myStd = STD[350](close)
upper = sma + myStd * 2.5

11 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

Bollinger BandsSMAStandard Deviation

Longer historyRe-run on up to 1,000,000 barsGold · 5 min · older data 182.80 EUR

On the long run with 1,000,000 bars the net result was 2,248 EUR, against 2,065 EUR on the standard 200,000-bar run. The older data alone gave 183 EUR.

Gold · 5 min

Bars available	1,000,000
Net, standard 200,000-bar run	2,064.70 EUR
Net, long run	2,247.50 EUR
Net on the older data alone	182.80 EUR

Read this firstKnown weaknesses2 points

The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Long Volatility Band Breakout 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 44 market and timeframe combinations. The best run was Gold, 5 minutes, with a profit factor of 1.92 over 232 trades.

How large was the drawdown?

The best run had a maximum drawdown of 337 EUR at the tested position size, against a net result of 2,065 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

Morning Range Breakout

Also a breakout strategy.

1.89 PF · 434 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