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Strategies / Mean reversion / Moving Average Channel Dip Buy

Moving Average Channel Dip Buy

Buys one contract after the close drops below the previous bar's 5-bar average of lows while staying above its 200-bar average. Exits when the close rises above the previous bar's 5-bar average of highs, or at a 5 percent stop loss.

Mean reversionLong onlySwingS&P 500Daily
1.83Profit factor
4,437Net profit EUR
69.79%Win rate
682Trades
-477Max drawdown
6.51Avg trade

Best run of 9. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:10.

Entry rules, long

  1. Trading starts only after 200 bars have passed.
  3. The close is above the 200-bar SMA of closes.
  4. With no long open, 1 contract is bought at market and a 5 percent stop loss is set.

Exit rules

  2. A stop loss sits 5 percent below the entry price.

Test conditions

PeriodUp to 2026-10-12
InstrumentS&P 500, Daily
Spread1 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
S&P 500Best runDaily1.83 68269.794,437 EUR-477
Nasdaq 100Daily1.60 61965.7516,146 EUR-2,574
EUR/USDDailyn/a 37364.3443,277 USD-37,114
Nikkei 225Dailyn/a 49969.3420,474 USD-13,013
Dow JonesDailyn/a 64970.4219,082 EUR-4,802
Dow Jones4 hoursn/a 41268.459,258 EUR-4,057
Nasdaq 1004 hoursn/a 1,23569.474,733 EUR-3,634
S&P 5004 hoursn/a 1,27568.711,555 EUR-825
GoldDailyn/a 52461.641,073 EUR-521

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Moving Average Channel Dip Buy
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

smalow = Average[5](low)
smahigh = Average[5](high)
filter = Average[200](close)

11 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

SMA
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 Moving Average Channel Dip Buy 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 9 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 1.83 over 682 trades.

How large was the drawdown?

The best run had a maximum drawdown of 476 EUR at the tested position size, against a net result of 4,437 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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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