Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos
Strategies / Mean reversion / Three Red Days Volatility Filter

Three Red Days Volatility Filter

Buys after three consecutive bearish bars when ATR(12) is above its 30-bar average. Exits after three consecutive bullish bars, or 22 bars after the signal bar.

Mean reversionLong onlySwingNasdaq 100Daily
3.43Profit factor
22,834Net profit EUR
68.63%Win rate
271Trades
-2,325Max drawdown
84.26Avg trade

Best run of 12. Nasdaq 100, Daily, spread 3, from run pf:2026-10-12-NAS100-D.tsv:25.

Entry rules, long

  2. ATR(12) is above its 30-bar average.
  3. Entries start after bar 45 and only when flat.

Exit rules

  2. The long also closes once 22 bars have passed since the signal bar.

Test conditions

PeriodUp to 2026-10-12
InstrumentNasdaq 100, 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily3.43 27168.6322,834 EUR-2,325
FTSE 100Daily1.69 26270.617,692 EUR-1,769
USD/JPY30 minn/a 4,19961.42290,200 USD-213,730
EUR/USD10 minn/a 4,42355.2844,986 USD-41,685
Dow JonesDailyn/a 32769.4223,607 EUR-12,194
EUR/USD4 hoursn/a 1,03857.9022,061 USD-16,620
Dow Jones1 hourn/a 91265.2416,110 EUR-4,082
DAX 40Dailyn/a 22268.9211,406 EUR-5,567
Dow Jones30 minn/a 1,67459.566,112 EUR-3,789
S&P 500Dailyn/a 32567.383,029 EUR-872
GoldDailyn/a 27358.611,705 EUR-450
S&P 5004 hoursn/a 66163.691,500 EUR-1,107

Charts

Results by run

Top 10 of 12 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

// ==============================================================
// Three Red Days Volatility Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE sigbar = 0

19 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

ATRSMA
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 Three Red Days Volatility Filter 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 12 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 3.43 over 271 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,325 EUR at the tested position size, against a net result of 22,834 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Volatility Spike Regression Long

Best run on the same market, Nasdaq 100.

1.22 PF · 1,850 trades

Harmonic Energy Mean Reversion

Also a mean reversion strategy.

3.44 PF · 2,970 trades

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

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.comStatsDocs