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Strategies / Mean reversion / VWAP Reversion And Breakout

VWAP Reversion And Breakout

Holds one long position at a time, entered either on a rolling VWAP dip or on a breakout above an upper Bollinger band. Each entry type closes only on its own exit condition.

Mean reversionLong onlySwingGold1 hour
1.30Profit factor
3,350Net profit EUR
38.77%Win rate
1,999Trades
-515Max drawdown
1.68Avg trade

Best run of 21. Gold, 1 hour, spread 0.6, from run pf:2026-10-12-GOLD-1h.tsv:5.

Entry rules, long

  2. Reversion: the 5-period EMA of RSI(2) is below 30 and the close is below the 50-period rolling VWAP.
  3. Breakout: both lead lines, built as midpoints of highest and lowest rolling VWAP values, rise compared with the prior bar.
  4. Breakout: the close is above the upper Bollinger band (20 periods, 2 standard deviations) of the average lead line.
  5. Breakout: the 20-bar sum of volume times the change in close is above zero and above its 7-period EMA.
  6. Breakout: the close is above a 20-period VIDYA (variable index dynamic average) of the median price.

Exit rules

  2. Breakout trades close at market for 1 contract when both lead lines fall compared with the prior bar.

Test conditions

PeriodUp to 2026-10-12
InstrumentGold, 1 hour
Spread0.6 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GoldBest run1 hour1.30 1,99938.773,350 EUR-515
USD/JPY1 hourn/a 2,32339.04694,850 USD-202,380
USD/JPYDailyn/a 7444.59510,540 USD-183,480
USD/JPY30 minn/a 3,32536.87425,710 USD-176,260
Nikkei 225Dailyn/a 5944.0734,797 USD-8,986
Nikkei 2251 hourn/a 1,03639.0020,565 USD-10,185
Nikkei 2254 hoursn/a 28639.1619,180 USD-10,355
Nasdaq 100Dailyn/a 5152.9416,591 EUR-3,196
Dow JonesDailyn/a 4057.5014,371 EUR-5,950
Nasdaq 1004 hoursn/a 28544.5612,913 EUR-4,275
DAX 4030 minn/a 1,50842.908,685 EUR-4,059
US Crude OilDailyn/a 5347.176,639 EUR-4,665
Brent CrudeDailyn/a 5354.726,596 EUR-5,987
DAX 401 hourn/a 68640.236,071 EUR-2,495
Nasdaq 1001 hourn/a 1,12741.265,558 EUR-5,347
Nasdaq 10030 minn/a 2,21138.085,231 EUR-3,769
S&P 500Dailyn/a 4759.573,989 EUR-689
FTSE 100Dailyn/a 5752.632,391 EUR-1,807
Gold4 hoursn/a 52840.342,295 EUR-1,183
GoldDailyn/a 7736.361,725 EUR-950
Gold30 minn/a 3,45335.271,632 EUR-1,025

Charts

Results by run

Top 10 of 21 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// VWAP Reversion And Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE mode = 0
ONCE vidya = 0

tpv = TypicalPrice * Volume

vol = summation[8](Volume)

95 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

VWAPRSIEMABollinger BandsSMAStandard DeviationVolume
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 VWAP Reversion And 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 21 market and timeframe combinations. The best run was Gold, 1 hour, with a profit factor of 1.30 over 1,999 trades.

How large was the drawdown?

The best run had a maximum drawdown of 515 EUR at the tested position size, against a net result of 3,350 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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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