Strategies / Volatility / Stochastic Reversal With Statistical Volatility

Stochastic Reversal With Statistical Volatility

It goes long after two consecutive higher closes while stochastic %K is above 50 and below its 3-bar average, and shorts the mirror setup. Longs also need 30-bar statistical volatility above 0.005, and shorts need it below 0.0016.

VolatilityLong & shortIntradayNasdaq 10030 min

1.22Profit factor

15,039Net profit EUR

45.07%Win rate

1,187Trades

-3,704Max drawdown

12.67Avg trade

Best run of 37. Nasdaq 100, 30 min, spread 3, from run pf:2026-10-12-NAS100-30m.tsv:2.

Entry rules, long

The 30-bar extreme value volatility estimate, using highest and lowest closes and highs and lows, is above 0.005.
Both states must be +1 to buy 1 contract at market.

Entry rules, short

The 30-bar extreme value volatility estimate, using highest and lowest closes and highs and lows, is below 0.0016.
Both states must be -1 to sell 1 contract short at market.

Exit rules

No stop loss or profit target is set.

Test conditions

Period	Up to 2026-10-12
Instrument	Nasdaq 100, 30 minutes
Spread	3 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
Nasdaq 100Best run	30 min	1.22	1,187	45.07	15,039 EUR	-3,704
USD/JPY	30 min	n/a	1,212	41.25	586,510 USD	-242,400
USD/JPY	10 min	n/a	1,499	43.36	414,270 USD	-105,490
USD/JPY	15 min	n/a	1,414	43.14	388,260 USD	-189,320
Nikkei 225	Daily	n/a	67	44.78	47,914 USD	-10,546
Nikkei 225	1 hour	n/a	576	44.44	35,811 USD	-9,318
Dow Jones	Daily	n/a	85	54.12	29,272 EUR	-9,474
Nikkei 225	4 hours	n/a	159	44.03	22,014 USD	-9,005
Nikkei 225	10 min	n/a	1,218	39.33	18,257 USD	-13,707
Dow Jones	15 min	n/a	1,138	41.12	17,746 EUR	-10,198
Nikkei 225	15 min	n/a	1,144	40.91	17,551 USD	-14,328
Dow Jones	4 hours	n/a	65	56.92	16,215 EUR	-8,205
DAX 40	30 min	n/a	1,274	42.78	16,081 EUR	-4,939
Nasdaq 100	Daily	n/a	70	58.57	15,931 EUR	-5,632
DAX 40	Daily	n/a	69	53.62	14,043 EUR	-6,275
Nasdaq 100	1 hour	n/a	782	45.27	12,466 EUR	-5,422
Dow Jones	30 min	n/a	550	42.36	12,444 EUR	-9,741
Nasdaq 100	4 hours	n/a	194	48.97	11,960 EUR	-5,198
Nasdaq 100	15 min	n/a	1,284	43.54	11,573 EUR	-4,279
Dow Jones	1 hour	n/a	297	42.42	10,770 EUR	-7,549
DAX 40	1 hour	n/a	788	42.13	7,418 EUR	-7,054
Brent Crude	Daily	n/a	32	40.62	7,289 EUR	-6,949
DAX 40	4 hours	n/a	190	43.16	7,185 EUR	-5,385
Nasdaq 100	10 min	n/a	1,363	40.94	6,169 EUR	-5,612
DAX 40	15 min	n/a	1,265	41.34	5,045 EUR	-4,040
S&P 500	Daily	n/a	88	48.86	4,803 EUR	-1,273
S&P 500	1 hour	n/a	790	45.95	3,388 EUR	-906
Gold	Daily	n/a	71	43.66	2,831 EUR	-1,387
FTSE 100	4 hours	n/a	185	45.41	2,647 EUR	-2,550
Gold	1 hour	n/a	760	41.84	2,495 EUR	-1,324
Gold	30 min	n/a	1,175	39.91	2,203 EUR	-909
S&P 500	4 hours	n/a	193	49.22	2,152 EUR	-997
Gold	4 hours	n/a	185	43.24	2,142 EUR	-1,012
Gold	10 min	n/a	1,193	39.90	1,768 EUR	-1,263
Gold	5 min	n/a	1,292	40.33	1,445 EUR	-1,040
S&P 500	30 min	n/a	1,123	44.88	1,328 EUR	-1,237
S&P 500	5 min	n/a	1,582	41.59	1,165 EUR	-1,000

Charts

Results by run

Top 10 of 37 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Stochastic Reversal With Statistical Volatility
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE possv = 0
ONCE vol = 0
ONCE nres = 0

hh = Highest[14](high)
ll = Lowest[14](low)

56 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

StochasticSMA

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 Stochastic Reversal With Statistical Volatility 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 37 market and timeframe combinations. The best run was Nasdaq 100, 30 minutes, with a profit factor of 1.22 over 1,187 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,704 EUR at the tested position size, against a net result of 15,039 EUR.

Does it trade long, short or both?

It trades both long and short.

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Copy trading on US indices is available to ProRealAlgos members as spots open.

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