🧠 Trading Logic

This strategy is a very simple, fully mechanical long-only system built around the Commodity Channel Index (CCI) as an oversold signal, combined with volatility-based profit targets and a fixed-percentage stop loss. It looks for moments when the 18-period CCI drops below -147, which is a relatively deep oversold threshold, and then buys immediately at market. Because it only opens a new trade when no long position is currently open (cumulateorders = false and NOT LONGONMARKET), it will hold at most one long trade at a time. Risk and exits are handled in two ways. The downside is controlled by a fixed 6.7% stop-loss from the entry price, so the maximum loss per trade is defined in percentage terms. The upside, however, is tied to market volatility: the profit target is set at 4.7 times the 20-period Average True Range (ATR). This means that in more volatile conditions the take-profit level is further away in price terms, aiming to capture larger swings, while in quieter markets the target is correspondingly closer. From a market-conditions perspective, the logic suggests it may be better suited to instruments and timeframes where “buying the dip” after a strong oversold reading has a reasonable chance of mean-reverting. It is inherently contrarian: it steps in when CCI shows strong negative momentum (oversold) rather than following a trend. There are no additional filters for trend direction, volume, or higher timeframes, and no short-selling logic, so it’s quite bare-bones and easy to understand, but also exposed to prolonged downtrends where oversold can stay oversold. Traders might consider this code as a starting template to refine with trend filters, time-of-day constraints, or position sizing rules, depending on their own risk tolerance and preferred markets.

📊 Performance Metrics

📈 Backtest Context

📉 Equity Curve

💻 ProBuilder Code

// Generated ProBuilder Strategy
// Auto-generated from ProRealQuant
DEFPARAM cumulateorders=false
DEFPARAM preloadbars = 200

// Entry Condition (LONG)
IF NOT LONGONMARKET AND CCI[18] < -147 THEN
    BUY AT MARKET
    // Stop Loss Exit
    SET STOP %LOSS (6.7)
    // Take Profit Exit
    SET TARGET PROFIT (4.7 * AVERAGETRUERANGE[20])
ENDIF

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🔧 Generated with ProRealQuant — a free community tool for automated strategy generation and backtesting on ProRealTime. Try it yourself!