Strategies / Mean reversion / Volatility Spike Entry Stochastic Exit

Volatility Spike Entry Stochastic Exit

A long-only mean reversion system that buys after a volatility spike when price rises above the prior bar's high. It exits when the %K line crosses above %D with %K above 80.

Mean reversionLong onlySwingNasdaq 1004 hours

1.99Profit factor

16,912Net profit EUR

73.09%Win rate

275Trades

-3,268Max drawdown

61.50Avg trade

Best run of 25. Nasdaq 100, 4 hours, spread 3, from run pf:2026-10-12-NAS100-4h.tsv:3.

Entry rules, long

Filtered entry: the current measure is below both of those levels.
Filtered entry: the current low is above the prior low, the close is above the prior high, and the close is above the close 3 bars ago.
Aggressive entry: the prior bar was a spike, the current bar still is, and the close is above the prior close and open.

Exit rules

The exit needs at least 5 bars with a valid 14-bar stochastic range.

Test conditions

Period	Up to 2026-10-12
Instrument	Nasdaq 100, 4 hours
Spread	3 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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	4 hours	1.99	275	73.09	16,912 EUR	-3,268
S&P 500	4 hours	1.95	292	75.00	4,610 EUR	-1,064
USD/JPY	4 hours	n/a	283	68.55	529,800 USD	-375,740
Nikkei 225	4 hours	n/a	206	73.79	43,107 USD	-11,561
Nikkei 225	1 hour	n/a	758	64.51	30,310 USD	-10,766
Dow Jones	Daily	n/a	140	78.57	28,007 EUR	-8,615
Dow Jones	1 hour	n/a	300	69.33	17,946 EUR	-9,388
Nasdaq 100	1 hour	n/a	937	67.56	17,358 EUR	-5,955
DAX 40	1 hour	n/a	875	65.71	16,115 EUR	-4,375
Dow Jones	30 min	n/a	610	65.08	15,786 EUR	-6,049
Nikkei 225	15 min	n/a	1,532	63.25	15,506 USD	-9,450
DAX 40	4 hours	n/a	238	66.39	13,466 EUR	-5,434
Dow Jones	10 min	n/a	1,470	64.90	13,361 EUR	-6,500
Silver	Daily	n/a	90	60.00	12,931 USD	-11,663
DAX 40	Daily	n/a	138	71.74	7,151 EUR	-4,677
FTSE 100	Daily	n/a	116	76.72	6,869 EUR	-2,651
Nasdaq 100	10 min	n/a	1,516	64.97	5,890 EUR	-4,829
DAX 40	10 min	n/a	1,482	65.45	4,367 EUR	-4,037
Nasdaq 100	Daily	n/a	93	66.67	3,735 EUR	-3,611
S&P 500	1 hour	n/a	948	67.62	3,357 EUR	-1,278
S&P 500	30 min	n/a	1,565	63.19	2,219 EUR	-946
Gold	4 hours	n/a	245	69.80	2,130 EUR	-714
S&P 500	15 min	n/a	1,557	65.70	2,125 EUR	-937
S&P 500	Daily	n/a	136	75.74	2,124 EUR	-922
Gold	Daily	n/a	100	72.00	1,558 EUR	-856

Charts

Results by run

Top 10 of 25 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

// ==============================================================
// Volatility Spike Entry Stochastic Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE sincebad = 1000

hc = highest[22](close)
wvf = (hc - low) / hc * 100
sdev = 2 * STD[20](wvf)
mid = Average[20](wvf)
upper = mid + sdev
rangehigh = highest[50](wvf) * 0.85

ll = lowest[14](low)
hh = highest[14](high)

26 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

Bollinger BandsStochasticSMAStandard Deviation

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 Spike Entry Stochastic Exit 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 25 market and timeframe combinations. The best run was Nasdaq 100, 4 hours, with a profit factor of 1.99 over 275 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,268 EUR at the tested position size, against a net result of 16,912 EUR.

Does it trade long, short or both?

It only takes long trades.

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

RSI(2) Pullback MA Exit

Also a mean reversion strategy.

1.99 PF · 627 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