Strategies / Mean reversion / Volatility Spike Mean Reversion

Volatility Spike Mean Reversion

The strategy buys when a volatility spike is confirmed on consecutive bars and the close is below the lower Bollinger Band, expecting a rebound. It sells the long when the close rises above the upper Bollinger Band.

Mean reversionLong onlySwingS&P 500Daily

3.81Profit factor

5,218Net profit EUR

77.14%Win rate

140Trades

-1,190Max drawdown

37.27Avg trade

Best run of 25. S&P 500, Daily, spread 1, from run pf:2026-10-05-USA500-D.tsv:6.

Entry rules, long

Vix Fix spikes: it is at or above its 20-bar upper Bollinger band or 0.85 times its 50-bar highest value
The spike is on for the current bar and the previous bar
No long position is currently open

Exit rules

The close moves above the upper Bollinger Band (20 periods, 2 standard deviations), and the long closes at market

Test conditions

Period	Up to 2026-10-05
Instrument	S&P 500, Daily
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
S&P 500Best run	Daily	3.81	140	77.14	5,218 EUR	-1,190
Nikkei 225	1 hour	1.38	887	65.39	41,536 USD	-9,011
USD/JPY	4 hours	n/a	333	64.86	532,910 USD	-177,370
Dow Jones	Daily	n/a	135	76.30	38,320 EUR	-9,762
Nikkei 225	Daily	n/a	111	71.17	29,874 USD	-22,755
Dow Jones	4 hours	n/a	96	77.08	21,361 EUR	-10,364
Nikkei 225	4 hours	n/a	219	67.12	18,103 USD	-9,460
DAX 40	Daily	n/a	143	62.94	17,935 EUR	-5,511
Nasdaq 100	4 hours	n/a	291	73.20	16,901 EUR	-4,471
Nikkei 225	15 min	n/a	1,834	62.21	15,375 USD	-14,878
Dow Jones	1 hour	n/a	419	65.87	13,590 EUR	-7,317
Nasdaq 100	Daily	n/a	91	71.43	12,939 EUR	-6,091
Dow Jones	15 min	n/a	1,522	65.44	11,546 EUR	-8,411
Dow Jones	30 min	n/a	778	63.75	10,084 EUR	-7,522
Nasdaq 100	1 hour	n/a	1,233	62.53	9,803 EUR	-4,217
FTSE 100	Daily	n/a	112	75.00	9,474 EUR	-2,722
Silver	Daily	n/a	118	66.95	9,242 USD	-8,263
FTSE 100	1 hour	n/a	1,098	67.67	5,989 EUR	-2,754
FTSE 100	4 hours	n/a	265	66.42	3,801 EUR	-2,781
S&P 500	4 hours	n/a	291	71.48	3,799 EUR	-1,149
Dow Jones	2 min	n/a	1,712	63.61	3,192 EUR	-2,757
FTSE 100	10 min	n/a	1,816	65.14	2,520 EUR	-1,672
S&P 500	1 hour	n/a	1,236	64.08	2,246 EUR	-1,131
Gold	Daily	n/a	114	64.91	1,150 EUR	-856
Gold	4 hours	n/a	269	65.80	954 EUR	-823

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 Mean Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = 2.0 * STD[20](close)
upper = basis + dev
lower = basis - dev

hh = Highest[20](close)
wvf = ((hh - low) / hh) * 100
midline = Average[20](wvf)
upperband = midline + 2.0 * STD[20](wvf)
rangehigh = Highest[50](wvf) * 0.85

spike = 0

13 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 BandsSMAStandard Deviation

Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 0.00 EUR

S&P 500 had no history beyond the standard run, so both runs used 14,000 bars.

S&P 500 · Daily

Bars available	14,000
Net, standard 200,000-bar run	5,217.65 EUR
Net, long run	5,217.65 EUR
Net on the older data alone	0.00 EUR

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 Mean 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 25 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 3.81 over 140 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,190 EUR at the tested position size, against a net result of 5,218 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

CCI Sign With EMA Alignment

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

1.23 PF · 1,253 trades

Turnaround Tuesday

Also a mean reversion strategy.

3.80 PF · 39 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

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