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Strategies / Volatility / Wide Range Down Close Long

Wide Range Down Close Long

Buys when the bar's high-low range ranks at or above the 95th percentile of the prior 50 ranges and the bar closed down. The position is closed on the next bar close, so each trade is held for one bar.

VolatilityLong onlySwingS&P 500Daily
1.42Profit factor
1,306Net profit EUR
41.22%Win rate
490Trades
-300Max drawdown
2.67Avg trade

Best run of 7. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:13.

Entry rules, long

  2. The bar closes below its open.

Exit rules

  2. No stop loss or profit target is set.

Test conditions

PeriodUp to 2026-10-12
InstrumentS&P 500, Daily
Spread1 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
S&P 500Best runDaily1.42 49041.221,306 EUR-300
EUR/USD3 minn/a 6,37630.9372,622 USD-54,736
Nikkei 225Dailyn/a 40855.889,849 USD-6,689
Dow JonesDailyn/a 50850.798,543 EUR-3,338
Nasdaq 100Dailyn/a 42540.003,271 EUR-1,419
US Crude OilDailyn/a 39051.792,820 EUR-2,249
FTSE 100Dailyn/a 45353.641,260 EUR-1,111

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Wide Range Down Close Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myRange = high - low
count = 0

17 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.
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Wide Range Down Close Long 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 7 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 1.42 over 490 trades.

How large was the drawdown?

The best run had a maximum drawdown of 300 EUR at the tested position size, against a net result of 1,306 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Sign With EMA Alignment

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

1.23 PF · 1,253 trades

Double Bollinger Band Zone

Also a volatility strategy.

1.42 PF · 801 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.comStatsDocs