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Strategies / Mean reversion / Volatility Band Reversal Long

Volatility Band Reversal Long

A long-only band reversal system that buys after close moved below a lower volatility band and then closed back above it. It exits when the close or high crosses above the upper band, or when price falls 6% below the entry price.

Mean reversionLong onlySwingS&P 5004 hours
1.61Profit factor
3,866Net profit EUR
69.33%Win rate
150Trades
-941Max drawdown
25.78Avg trade

Best run of 23. S&P 500, 4 hours, spread 1, from run pf:2026-10-12-USA500-4h.tsv:12.

Entry rules, long

  1. Bands are a double-smoothed 8-period EMA of typical price, plus or minus a deviation term.
  2. The lower band uses 0.9 times the deviation term, while the upper band uses the full term.
  4. The current close is above the previous close.

Exit rules

  2. The long also closes at market when the close is more than 6% below the entry price.

Test conditions

PeriodUp to 2026-10-13
InstrumentS&P 500, 4 hours
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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
S&P 500Best run4 hours1.61 15069.333,866 EUR-941
USD/JPY4 hoursn/a 14769.39436,430 USD-227,130
USD/JPY10 minn/a 81467.81245,040 USD-187,480
Dow JonesDailyn/a 4858.3328,966 EUR-7,706
Nikkei 22510 minn/a 93164.2321,004 USD-7,441
Nikkei 2254 hoursn/a 11164.8619,023 USD-12,266
Dow Jones1 hourn/a 25172.9115,938 EUR-5,970
Dow Jones4 hoursn/a 5766.6715,422 EUR-11,414
Nikkei 22515 minn/a 97163.3414,705 USD-8,256
Nasdaq 1001 hourn/a 72465.4710,536 EUR-3,536
DAX 404 hoursn/a 15666.0310,194 EUR-3,485
US Crude Oil1 hourn/a 55765.717,569 EUR-3,238
DAX 4030 minn/a 1,03765.286,689 EUR-4,433
EUR/USD5 minn/a 76062.895,236 USD-3,597
DAX 40Dailyn/a 11952.104,889 EUR-4,293
Nasdaq 10030 minn/a 96463.384,641 EUR-4,518
S&P 5001 hourn/a 70669.413,123 EUR-948
FTSE 10010 minn/a 89365.512,801 EUR-1,021
Brent Crude5 minn/a 85964.032,678 EUR-1,940
FTSE 10015 minn/a 96365.422,436 EUR-2,372
S&P 500Dailyn/a 5150.982,338 EUR-1,958
GBP/USD5 minn/a 78263.941,363 USD-493
GoldDailyn/a 5860.34465 EUR-427

Charts

Results by run

Top 10 of 23 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volatility Band Reversal Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

src = TypicalPrice

28 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

EMA
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 Volatility Band Reversal 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 23 market and timeframe combinations. The best run was S&P 500, 4 hours, with a profit factor of 1.61 over 150 trades.

How large was the drawdown?

The best run had a maximum drawdown of 941 EUR at the tested position size, against a net result of 3,866 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Percentage Reference Swing Trader

Also a mean reversion strategy.

1.62 PF · 221 trades

Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

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