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Strategies / Volatility / Synthetic VIX Volatility Stop Long

Synthetic VIX Volatility Stop Long

Buys when a synthetic VIX reading falls below its adaptive band while the close holds above a trailing volatility stop. Sells when RSI(10) crosses below 50. Long only, with 1 contract.

VolatilityLong onlySwingUSD/JPY1 hour
n/aProfit factor
518,380Net profit USD
34.87%Win rate
6,175Trades
-269,970Max drawdown
83.95Avg trade

Best run of 15. USD/JPY, 1 hour, spread 1, from run sweeps:2026-10-10-USDJPY-1h-opt.tsv:25.

Entry rules, long

  2. The close is above the volatility stop, a trailing line set one ATR(5) from the highest close.

Exit rules

  1. RSI(10) crosses below 50, closing the long.

Test conditions

PeriodUp to 2026-10-10
InstrumentUSD/JPY, 1 hour
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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run1 hourn/a 6,17534.87518,380 USD-269,970
USD/JPY4 hoursn/a 1,60438.22518,460 USD-360,160
Nikkei 2254 hoursn/a 1,14236.4326,532 USD-10,988
Dow JonesDailyn/a 65837.9918,390 EUR-8,736
Nasdaq 100Dailyn/a 52439.5017,229 EUR-5,178
Silver4 hoursn/a 1,39931.3817,160 USD-16,035
DAX 404 hoursn/a 1,32739.5614,590 EUR-4,446
Nasdaq 1004 hoursn/a 1,38437.1414,552 EUR-4,409
DAX 40Dailyn/a 73236.3410,800 EUR-5,868
DAX 401 hourn/a 4,99733.685,558 EUR-5,063
Brent Crude4 hoursn/a 78737.485,261 EUR-3,812
Gold4 hoursn/a 1,34137.513,303 EUR-871
S&P 500Dailyn/a 68238.272,953 EUR-1,199
GoldDailyn/a 62937.042,551 EUR-1,365
S&P 5004 hoursn/a 1,45337.511,319 EUR-1,096

Charts

Results by run

Top 10 of 15 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Synthetic VIX Volatility Stop Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE maxv = 0
ONCE minv = 0
ONCE up = 1
ONCE vstop = 0

myAtr = AverageTrueRange[5](close)

50 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

ATRRSISMAStandard Deviation
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 269,970 USD is large next to the net profit of 518,380 USD.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Synthetic VIX Volatility Stop 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 15 market and timeframe combinations. The best run by trade count was USD/JPY, 1 hour, with 6,175 trades.

How large was the drawdown?

The best run had a maximum drawdown of 269,970 USD at the tested position size, against a net result of 518,380 USD.

Does it trade long, short or both?

It only takes long trades.

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Bollinger Squeeze

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See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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