Strategies / Mean reversion / Pump Avoiding Mean Reversion

Pump Avoiding Mean Reversion

Buys when price is below the 5-bar and 12-bar EMAs, at a 12-bar closing low and at or below the lower 20-bar band. Sells when price is above both EMAs, at a 12-bar closing high and at or above the upper band.

Mean reversionLong onlyIntradayEUR/USD2 min

1.95Profit factor

264,709Net profit USD

57.40%Win rate

2,655Trades

-31,103Max drawdown

99.70Avg trade

Best run of 33. EUR/USD, 2 min, spread 1, from run pf:2026-10-05-EURUSD-2m.tsv:1.

Entry rules, long

Volume is below 20 times the prior bar's 30-bar average volume.
The close is below the 5-bar EMA and below the 12-bar EMA.
The close equals the lowest close of the last 12 bars.

Exit rules

The close equals or exceeds the highest close of the last 12 bars.
The close is at or above the upper 20-bar Bollinger band of typical price.
A 10% profit target and 5% stop loss are set on entry.

Test conditions

Period	Up to 2026-10-05
Instrument	EUR/USD, 2 minutes
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	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
EUR/USDBest run	2 min	1.95	2,655	57.40	264,709 USD	-31,103
EUR/USD	3 min	1.86	2,648	60.01	181,259 USD	-21,419
EUR/USD	5 min	1.62	2,631	61.61	123,929 USD	-21,413
EUR/USD	10 min	1.37	2,671	63.83	86,146 USD	-11,842
USD/JPY	4 hours	n/a	484	67.56	407,370 USD	-233,480
USD/JPY	Daily	n/a	68	70.59	270,350 USD	-232,520
EUR/USD	4 hours	n/a	624	63.94	43,283 USD	-28,314
Nikkei 225	1 hour	n/a	831	65.46	25,833 USD	-10,890
Nikkei 225	Daily	n/a	63	57.14	21,182 USD	-8,437
Dow Jones	Daily	n/a	41	65.85	19,918 EUR	-7,166
Dow Jones	4 hours	n/a	155	71.61	19,516 EUR	-7,683
Nikkei 225	30 min	n/a	1,658	65.02	18,077 USD	-14,698
EUR/USD	15 min	n/a	2,766	64.17	15,229 USD	-14,415
DAX 40	Daily	n/a	64	65.62	15,077 EUR	-2,885
Nasdaq 100	1 hour	n/a	944	69.81	13,199 EUR	-7,950
Nasdaq 100	Daily	n/a	58	60.34	12,676 EUR	-4,114
Nasdaq 100	4 hours	n/a	243	72.02	12,564 EUR	-4,281
DAX 40	4 hours	n/a	254	69.69	11,745 EUR	-4,217
Dow Jones	10 min	n/a	2,674	67.39	10,697 EUR	-7,327
Dow Jones	1 hour	n/a	610	67.38	9,742 EUR	-8,415
Dow Jones	30 min	n/a	1,152	67.97	8,732 EUR	-7,927
Brent Crude	30 min	n/a	1,757	66.36	8,712 EUR	-3,146
DAX 40	1 hour	n/a	870	65.40	7,334 EUR	-3,889
Dow Jones	15 min	n/a	2,198	68.61	7,147 EUR	-6,551
FTSE 100	1 hour	n/a	917	70.45	5,674 EUR	-2,202
S&P 500	4 hours	n/a	233	73.39	3,485 EUR	-1,132
S&P 500	Daily	n/a	55	65.45	2,809 EUR	-877
FTSE 100	15 min	n/a	2,684	67.32	2,670 EUR	-2,610
FTSE 100	4 hours	n/a	230	66.09	2,626 EUR	-1,908
S&P 500	1 hour	n/a	902	68.18	2,444 EUR	-1,240
FTSE 100	10 min	n/a	2,652	67.01	2,341 EUR	-2,032
S&P 500	30 min	n/a	1,698	67.79	1,809 EUR	-1,201
Gold	Daily	n/a	81	62.96	823 EUR	-671

Charts

Results by run

Top 10 of 33 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

// ==============================================================
// Pump Avoiding Mean Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 2 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

emashort = ExponentialAverage[5](close)
emamed = ExponentialAverage[12](close)
tp = (high + low + close) / 3
mid = Average[20](tp)
sd = STD[20](tp) * SQRT(20 / 19)
bbup = mid + 2 * sd
bblow = mid - 2 * sd
lowwin = Lowest[12](close)
highwin = Highest[12](close)
volavg = Average[30](volume)

14 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

EMABollinger BandsVolume

Longer historyRe-run on up to 1,000,000 barsEUR/USD · 2 min · older data -69,562.00 USD

On the long run with 997,000 bars the net result was 195,147 USD, against 264,709 USD on the standard 200,000-bar run. The older data alone gave -69,562 USD.

EUR/USD · 2 min

Bars available	997,000
Net, standard 200,000-bar run	264,709.00 USD
Net, long run	195,147.00 USD
Net on the older data alone	-69,562.00 USD

Read this firstKnown weaknesses2 points

On the older part of the 1,000,000-bar history it lost -69,562 USD.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Pump Avoiding Mean Reversion 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 33 market and timeframe combinations. The best run was EUR/USD, 2 minutes, with a profit factor of 1.95 over 2,655 trades.

How large was the drawdown?

The best run had a maximum drawdown of 31,103 USD at the tested position size, against a net result of 264,709 USD.

Does it trade long, short or both?

It only takes long trades.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

Overnight Dip

Also a mean reversion strategy.

1.95 PF · 219 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

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