Strategies / Mean reversion / Volume Weighted Band Reversion

Volume Weighted Band Reversion

The system computes a 20-bar volume-weighted mean and a volume-weighted standard deviation of the close. It buys when a low touches 2 deviations below the mean and sells short when a high touches 2 deviations above it, with a 3.11% stop and 7.5% target.

Mean reversionLong & shortSwingEUR/USD1 hour

n/aProfit factor

75,258Net profit USD

64.19%Win rate

7,556Trades

-55,941Max drawdown

9.96Avg trade

Best run of 8. EUR/USD, 1 hour, spread 1, from run sweeps:2026-10-11-EURUSD-1h-opt.tsv:10.

Entry rules, long

The high does not also reach the upper band, since a short signal takes precedence on the same bar.

Entry rules, short

Exit rules

The profit target is 7.5% from the entry price.

Test conditions

Period	Up to 2026-10-11
Instrument	EUR/USD, 1 hour
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	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
EUR/USDBest run	1 hour	n/a	7,556	64.19	75,258 USD	-55,941
EUR/USD	4 hours	n/a	1,801	63.85	72,873 USD	-32,926
EUR/USD	5 min	n/a	7,057	61.53	26,682 USD	-19,457
DAX 40	4 hours	n/a	777	62.81	14,480 EUR	-5,515
DAX 40	Daily	n/a	208	51.92	6,929 EUR	-6,139
FTSE 100	Daily	n/a	192	59.38	4,349 EUR	-1,832
GBP/USD	Daily	n/a	207	64.73	3,889 USD	-3,542
S&P 500	4 hours	n/a	704	62.07	1,614 EUR	-1,168

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume Weighted Band Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

myN = 20
sumw = summation[20](volume)
sumxw = summation[20](close * volume)
valid = 0
myM = close
myD = 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

Standard DeviationVolume

Read this firstKnown weaknesses2 points

No profit factor is available, because only sweep results exist for this strategy.
The maximum drawdown of 55,941 USD is large next to the net profit of 75,258 USD.

Questions

About this strategy

Can I run Volume Weighted Band 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 8 market and timeframe combinations. The best run by trade count was EUR/USD, 1 hour, with 7,556 trades.

How large was the drawdown?

The best run had a maximum drawdown of 55,941 USD at the tested position size, against a net result of 75,258 USD.

Does it trade long, short or both?

It trades both long and short.

Herd Selling Band Reversal

Uses the same indicator.

1.32 PF · 5,101 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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