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Strategies / Mean reversion / Lower Band Reversion Long

Lower Band Reversion Long

Buys when the close crosses below a lower band set 2.618 times the 52-period ATR below a 52-period EMA. Closes the long when the close crosses above the upper band, 1.618 times the ATR above the EMA.

Mean reversionLong onlyIntradayFTSE 1005 min
n/aProfit factor
1,686Net profit EUR
69.11%Win rate
1,214Trades
-887Max drawdown
1.39Avg trade

Best run of 31. FTSE 100, 5 min, spread 2, from run sweeps:2026-10-12-FTSE100-5m-opt.tsv:2.

Entry rules, long

  1. The close crosses below the lower band, the 52-period EMA minus 2.618 times the 52-period ATR.

Exit rules

  2. No stop or target is set.

Test conditions

PeriodUp to 2026-10-12
InstrumentFTSE 100, 5 minutes
Spread2 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
FTSE 100Best run5 minn/a 1,21469.111,686 EUR-887
Dow JonesDailyn/a 8280.4930,793 EUR-8,975
SilverDailyn/a 7065.7127,021 USD-7,956
Nikkei 2254 hoursn/a 14774.8326,371 USD-9,568
Nikkei 22515 minn/a 1,18468.7520,711 USD-12,852
Nikkei 22530 minn/a 1,13766.1419,247 USD-12,093
Dow Jones1 hourn/a 24472.1314,669 EUR-8,369
EUR/USD10 minn/a 1,12964.3913,530 USD-6,642
Nikkei 2251 hourn/a 55166.9713,008 USD-10,642
Nasdaq 100Dailyn/a 6275.8112,432 EUR-4,231
Dow Jones30 minn/a 47767.5112,303 EUR-6,700
Nasdaq 1004 hoursn/a 20473.0411,447 EUR-4,471
Dow Jones4 hoursn/a 6373.0211,412 EUR-10,393
DAX 401 hourn/a 68170.789,997 EUR-5,283
Dow Jones15 minn/a 92466.778,853 EUR-6,092
DAX 40Dailyn/a 10369.908,626 EUR-5,479
Nasdaq 1001 hourn/a 74068.928,602 EUR-6,318
Nasdaq 10030 minn/a 1,19166.258,386 EUR-3,496
FTSE 100Dailyn/a 7380.828,385 EUR-3,190
DAX 404 hoursn/a 18570.816,522 EUR-5,392
FTSE 1004 hoursn/a 17772.886,267 EUR-2,634
Dow Jones2 minn/a 1,08569.405,500 EUR-4,147
FTSE 1001 hourn/a 65568.554,723 EUR-2,325
Brent Crude1 hourn/a 38267.284,701 EUR-4,253
S&P 5001 hourn/a 76870.313,859 EUR-1,215
S&P 5004 hoursn/a 20275.253,198 EUR-1,135
S&P 50030 minn/a 1,19467.593,003 EUR-859
S&P 500Dailyn/a 8582.352,957 EUR-952
FTSE 10015 minn/a 1,17868.422,801 EUR-2,271
FTSE 10010 minn/a 1,16868.661,997 EUR-1,047
GoldDailyn/a 7171.83884 EUR-856

Charts

Results by run

Top 10 of 31 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Lower Band Reversion Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

myAverage = ExponentialAverage[52](close)
myAtr = AverageTrueRange[52](close)
bull = myAverage + myAtr * 1.618
bear = myAverage - myAtr * 2.618

10 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

EMAATR
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 886 EUR is large next to the net profit of 1,686 EUR.

Questions

About this strategy

Can I run Lower Band Reversion 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 31 market and timeframe combinations. The best run by trade count was FTSE 100, 5 minutes, with 1,214 trades.

How large was the drawdown?

The best run had a maximum drawdown of 886 EUR at the tested position size, against a net result of 1,686 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

DAX Survivor

Best run on the same market, FTSE 100.

1.17 PF · 1,514 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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