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Strategies / Breakout / One Standard Deviation Band Breakout

One Standard Deviation Band Breakout

The system buys when price crosses above its 20-period average plus one standard deviation, and sells short on a cross below the minus one standard deviation level. Trades close when price crosses back through the average.

BreakoutLong & shortSwingUSD/JPYDaily
1.45Profit factor
3,246,760Net profit USD
33.00%Win rate
812Trades
-394,760Max drawdown
3,998Avg trade

Best run of 8. USD/JPY, Daily, spread 1, from run pf:2026-10-13-USDJPY-D.tsv:3.

Entry rules, long

  1. After bar 20, the close crosses above the 20-period average plus one standard deviation.

Entry rules, short

  1. After bar 20, the close crosses below the 20-period average minus one standard deviation.

Exit rules

  2. A short closes when the close crosses above the 20-period average.
  3. An opposite breakout signal closes the trade and reverses it.

Test conditions

PeriodUp to 2026-10-13
InstrumentUSD/JPY, 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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily1.45 81233.003,246,760 USD-394,760
USD/JPY1 hourn/a 8,74831.97857,850 USD-226,920
EUR/USDDailyn/a 81134.4096,745 USD-60,300
Nikkei 225Dailyn/a 69436.0245,691 USD-17,569
SilverDailyn/a 76432.7239,515 USD-23,784
Brent CrudeDailyn/a 33436.8316,689 EUR-11,736
GBP/USDDailyn/a 87634.8215,289 USD-9,865
GoldDailyn/a 82334.141,283 EUR-932

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// One Standard Deviation Band Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

mid = Average[20](close)
sd = STD[20](close)
up = mid + sd
dn = mid - sd

16 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

Bollinger BandsSMAStandard Deviation
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 One Standard Deviation 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 8 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.45 over 812 trades.

How large was the drawdown?

The best run had a maximum drawdown of 394,760 USD at the tested position size, against a net result of 3,246,760 USD.

Does it trade long, short or both?

It trades both long and short.

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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