Strategies / Mean reversion / Up Down Volume Ratio Reversion

Up Down Volume Ratio Reversion

A mean reversion system that compares 50-bar average up-volume to down-volume and rescales the ratio over 756 bars. It buys when the reading is 10 or lower and sells short at 90 or higher, with a 5% stop and 10% target.

Mean reversionLong & shortIntradayEUR/USD3 min

2.23Profit factor

130,353Net profit USD

55.48%Win rate

575Trades

-14,271Max drawdown

227Avg trade

Best run of 50. EUR/USD, 3 min, spread 1, from run pf:2026-10-05-EURUSD-3m.tsv:2.

Entry rules, long

Volume on up-close bars and volume on down-close bars are each averaged over 50 bars, and their ratio is taken.
The ratio is rescaled to 0 to 100 against its highest and lowest values over 756 bars.

Entry rules, short

Volume on up-close bars and volume on down-close bars are each averaged over 50 bars, and their ratio is taken.
The ratio is rescaled to 0 to 100 against its highest and lowest values over 756 bars.

Exit rules

A short has a 5% stop-loss and a 10% profit target, measured from the entry price.
An opposite signal reverses the open position.

Test conditions

Period	Up to 2026-10-05
Instrument	EUR/USD, 3 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	3 min	2.23	575	55.48	130,353 USD	-14,271
Nasdaq 100	2 min	1.49	518	59.65	15,085 EUR	-2,664
GBP/USD	1 hour	1.32	508	59.06	15,421 USD	-3,175
Nikkei 225	15 min	1.31	664	54.07	50,031 USD	-11,146
USD/JPY	1 hour	n/a	372	58.60	635,720 USD	-368,400
USD/JPY	4 hours	n/a	113	52.21	325,980 USD	-266,710
Nikkei 225	30 min	n/a	436	57.11	46,845 USD	-13,706
Nikkei 225	1 hour	n/a	227	55.51	26,757 USD	-17,079
Nikkei 225	5 min	n/a	516	52.13	26,501 USD	-14,223
Dow Jones	Daily	n/a	33	51.52	24,234 EUR	-8,254
Nikkei 225	3 min	n/a	467	50.54	23,655 USD	-11,038
Silver	3 min	n/a	615	55.12	22,959 USD	-19,796
Nikkei 225	4 hours	n/a	93	50.54	22,355 USD	-13,592
Nasdaq 100	Daily	n/a	35	57.14	17,759 EUR	-2,659
Nikkei 225	10 min	n/a	555	56.40	17,382 USD	-14,595
Nasdaq 100	10 min	n/a	605	57.36	17,146 EUR	-5,700
Nasdaq 100	1 hour	n/a	234	53.85	15,800 EUR	-6,457
Dow Jones	30 min	n/a	246	58.54	15,646 EUR	-7,925
Dow Jones	4 hours	n/a	43	51.16	14,995 EUR	-10,180
Nasdaq 100	30 min	n/a	376	53.46	13,272 EUR	-9,977
Dow Jones	15 min	n/a	527	55.98	12,925 EUR	-9,616
Brent Crude	1 hour	n/a	323	48.30	12,607 EUR	-4,499
Nasdaq 100	15 min	n/a	653	55.44	12,079 EUR	-8,838
Dow Jones	5 min	n/a	559	58.50	11,719 EUR	-4,864
Nasdaq 100	5 min	n/a	519	56.26	11,581 EUR	-6,209
Dow Jones	1 hour	n/a	113	57.52	11,343 EUR	-9,222
Brent Crude	2 min	n/a	560	55.00	9,214 EUR	-2,400
DAX 40	15 min	n/a	617	55.59	8,771 EUR	-5,008
DAX 40	Daily	n/a	35	42.86	7,734 EUR	-3,935
DAX 40	30 min	n/a	371	55.26	7,220 EUR	-5,007
Dow Jones	1 min	n/a	490	55.92	5,969 EUR	-3,741
Brent Crude	3 min	n/a	561	54.19	5,523 EUR	-4,490
US Crude Oil	1 min	n/a	583	59.18	4,556 EUR	-2,464
GBP/USD	4 hours	n/a	140	57.14	4,170 USD	-3,645
S&P 500	1 hour	n/a	204	57.35	3,772 EUR	-1,809
FTSE 100	30 min	n/a	346	54.05	3,501 EUR	-2,182
FTSE 100	1 hour	n/a	174	55.17	2,879 EUR	-2,834
S&P 500	30 min	n/a	365	55.89	2,879 EUR	-1,929
S&P 500	10 min	n/a	562	53.56	2,871 EUR	-1,311
S&P 500	5 min	n/a	506	53.56	2,751 EUR	-1,065
Gold	4 hours	n/a	151	52.32	2,397 EUR	-859
DAX 40	1 min	n/a	495	53.13	2,352 EUR	-1,919
S&P 500	Daily	n/a	23	47.83	2,083 EUR	-627
Gold	1 hour	n/a	400	55.50	2,037 EUR	-1,388
S&P 500	3 min	n/a	490	56.12	1,968 EUR	-844
S&P 500	15 min	n/a	687	56.91	1,878 EUR	-1,844
Gold	3 min	n/a	552	59.96	1,817 EUR	-990
Gold	5 min	n/a	562	60.14	1,490 EUR	-1,282
S&P 500	2 min	n/a	473	54.76	1,346 EUR	-689
Gold	Daily	n/a	31	41.94	951 EUR	-813

Charts

Results by run

Top 10 of 50 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

// ==============================================================
// Up Down Volume Ratio Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 3 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE ratio = 0

35 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

SMAVolume

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 Up Down Volume Ratio 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 50 market and timeframe combinations. The best run was EUR/USD, 3 minutes, with a profit factor of 2.23 over 575 trades.

How large was the drawdown?

The best run had a maximum drawdown of 14,271 USD at the tested position size, against a net result of 130,353 USD.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

Double Seven Close Reversion

Also a mean reversion strategy.

2.21 PF · 569 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