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Strategies / Breakout / Volatility Band Two-Way Breakout

Volatility Band Two-Way Breakout

Buys when the close moves more than 2 times the 20-period ATR above the 20-period EMA, and sells short when it moves more than 2 times the ATR below. Positions close when the close crosses back through the EMA.

BreakoutLong & shortSwingEUR/USDDaily
1.27Profit factor
5,685Net profit USD
41.67%Win rate
300Trades
-5,250Max drawdown
18.95Avg trade

Best run of 1. EUR/USD, Daily, spread 1.2, from run pf:2026-10-10-EURUSD-D.tsv:20.

Entry rules, long

  1. The close is above the 20-period EMA plus 2 times the 20-period ATR.

Entry rules, short

  1. The close is below the 20-period EMA minus 2 times the 20-period ATR.

Exit rules

  2. The close rises above the 20-period EMA, and the short position is closed at market.

Test conditions

PeriodUp to 2026-10-10
InstrumentEUR/USD, Daily
Spread1.2 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
EUR/USDBest runDaily1.27 30041.675,685 USD-5,250

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volatility Band Two-Way Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

26 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

ATREMA
Read this firstKnown weaknesses3 points
  • The maximum drawdown of 5,250 USD is large next to the net profit of 5,685 USD.
  • It was only tested on EUR/USD, so there is no evidence from other markets.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Volatility Band Two-Way Breakout 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 one combination, EUR/USD, Daily, with a profit factor of 1.27 over 300 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,250 USD at the tested position size, against a net result of 5,685 USD.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs