Strategies / Mean reversion / Negative Volume Band Dip Long

Negative Volume Band Dip Long

Buys when close drops below the lower Bollinger band (20 periods, 2 standard deviations) while the Negative Volume Index is above its 200-period EMA. Sells when the index falls below that EMA.

Mean reversionLong onlySwingS&P 5001 hour

1.86Profit factor

4,662Net profit EUR

45.33%Win rate

214Trades

-928Max drawdown

21.78Avg trade

Best run of 43. S&P 500, 1 hour, spread 1, from run pf:2026-10-12-USA500-1h.tsv:5.

Entry rules, long

The Negative Volume Index is above its 200-period EMA.
The index only updates on bars where volume is lower than the prior bar's volume, moving with the percentage close change.

Exit rules

No stop loss or profit target is set.

Test conditions

Period	Up to 2026-10-12
Instrument	S&P 500, 1 hour
Spread	1 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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	1 hour	1.86	214	45.33	4,662 EUR	-928
Dow Jones	1 hour	1.84	157	46.50	25,586 EUR	-4,015
Dow Jones	30 min	1.56	342	40.35	24,703 EUR	-5,141
Gold	15 min	1.55	903	39.65	3,142 EUR	-511
FTSE 100	15 min	1.33	910	40.77	4,769 EUR	-737
Nasdaq 100	15 min	1.31	785	42.17	15,455 EUR	-3,422
DAX 40	15 min	1.30	929	41.55	11,613 EUR	-2,191
USD/JPY	Daily	n/a	9	66.67	431,150 USD	-256,690
USD/JPY	30 min	n/a	816	40.56	342,380 USD	-211,760
Silver	10 min	n/a	803	35.24	30,289 USD	-13,274
Silver	1 hour	n/a	424	39.86	29,016 USD	-24,869
Silver	15 min	n/a	824	36.41	28,755 USD	-18,917
Nikkei 225	1 hour	n/a	289	35.64	22,534 USD	-8,101
Nikkei 225	30 min	n/a	560	37.14	20,875 USD	-12,015
Nasdaq 100	1 hour	n/a	198	43.94	18,522 EUR	-4,887
Nasdaq 100	Daily	n/a	5	80.00	16,122 EUR	-5,520
Nikkei 225	15 min	n/a	945	36.93	14,019 USD	-11,032
Nasdaq 100	30 min	n/a	487	38.40	12,778 EUR	-4,915
DAX 40	30 min	n/a	604	40.07	12,526 EUR	-3,371
Nikkei 225	3 min	n/a	861	35.66	10,523 USD	-7,060
DAX 40	1 hour	n/a	325	37.23	10,410 EUR	-3,620
Dow Jones	4 hours	n/a	46	41.30	10,255 EUR	-6,736
Nasdaq 100	10 min	n/a	851	40.07	10,123 EUR	-3,955
DAX 40	4 hours	n/a	67	47.76	9,987 EUR	-2,348
Brent Crude	30 min	n/a	579	43.01	9,303 EUR	-3,029
Nasdaq 100	4 hours	n/a	55	41.82	8,768 EUR	-6,860
Nikkei 225	2 min	n/a	845	38.34	7,234 USD	-6,937
US Crude Oil	4 hours	n/a	93	43.01	5,533 EUR	-5,015
Brent Crude	15 min	n/a	1,009	38.35	5,491 EUR	-2,949
Nasdaq 100	5 min	n/a	904	41.81	4,593 EUR	-3,509
S&P 500	Daily	n/a	5	80.00	3,671 EUR	-1,238
S&P 500	30 min	n/a	495	40.61	3,429 EUR	-1,002
S&P 500	4 hours	n/a	55	49.09	3,269 EUR	-935
FTSE 100	1 hour	n/a	280	42.14	3,093 EUR	-1,170
Nasdaq 100	3 min	n/a	892	40.13	2,681 EUR	-2,100
Gold	1 hour	n/a	406	37.93	1,976 EUR	-913
FTSE 100	30 min	n/a	565	38.76	1,902 EUR	-1,676
Gold	Daily	n/a	13	30.77	1,720 EUR	-1,630
FTSE 100	4 hours	n/a	63	41.27	1,687 EUR	-1,036
Gold	10 min	n/a	846	38.77	1,593 EUR	-860
S&P 500	15 min	n/a	797	39.90	1,373 EUR	-1,135
Gold	30 min	n/a	801	39.95	1,287 EUR	-1,244
S&P 500	10 min	n/a	827	39.18	1,182 EUR	-763

Charts

Results by run

Top 10 of 43 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

// ==============================================================
// Negative Volume Band Dip Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE nvi = 1

21 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 BandsEMASMAStandard Deviation

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 Negative Volume Band Dip 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 43 market and timeframe combinations. The best run was S&P 500, 1 hour, with a profit factor of 1.86 over 214 trades.

How large was the drawdown?

The best run had a maximum drawdown of 928 EUR at the tested position size, against a net result of 4,662 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 Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Supertrend RSI Pullback Candle Entry

Also a mean reversion strategy.

1.85 PF · 289 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