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Strategies / Mean reversion / Pivot Exhaustion Volume Spike Reversal

Pivot Exhaustion Volume Spike Reversal

Buys near a recent pivot low on a volume spike and bullish bar, when the last pivot high sits more than 2.0 ATR above the low. Shorts mirror this near the last pivot high, with stops and targets set from the risk distance.

Mean reversionLong & shortSwingDow JonesDaily
n/aProfit factor
5,693Net profit EUR
42.86%Win rate
21Trades
-2,276Max drawdown
271Avg trade

Best run of 1. Dow Jones, Daily, spread 3, from run sweeps:2026-10-04-DOW30-D-opt.tsv:176.

Entry rules, long

  1. The last confirmed pivot high and pivot low are both set, using 5 bars on each side and confirmed 5 bars late.
  3. The last pivot high is more than 2.0 times the 14-period ATR above the low.
  4. Volume is more than 1.5 times its 20-period average.
  5. The bar closes above its open, or above the prior bar's high.

Entry rules, short

  1. Both the last pivot high and pivot low are set, as for longs.
  3. The close is more than 2.0 times the 14-period ATR above the last pivot low.
  4. Volume is more than 1.5 times its 20-period average.
  5. The bar closes below its open, or below the prior bar's low.

Exit rules

  2. Short stop: the risk distance above the fill, where risk is the higher of the pivot high and bar high minus the close.
  3. Long target: 2.0 times the risk distance above the fill. Short target: 2.0 times the risk distance below the fill.

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, Daily
Spread3 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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest runDailyn/a 2142.865,693 EUR-2,276

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Pivot Exhaustion Volume Spike Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lastph = 0
ONCE lastpl = 0
ONCE haveph = 0
ONCE havepl = 0

38 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

ATRSMAVolume
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The best run has only 21 trades, which is a small sample to judge it on.
  • It was only tested on Dow Jones, so there is no evidence from other markets.

Questions

About this strategy

Can I run Pivot Exhaustion Volume Spike Reversal 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 one combination, Dow Jones, Daily, with 21 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,276 EUR at the tested position size, against a net result of 5,693 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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ATR Band

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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