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Strategies / Trend / ALMA Crossover With Volume Filter

ALMA Crossover With Volume Filter

The strategy trades crossovers between two ALMA averages of the close when the volume oscillator is positive. It buys on a fast-over-slow cross and sells short on the reverse cross, each trade closed at a 2% target or 2.5% stop.

TrendLong & shortIntradayNasdaq 10015 min
n/aProfit factor
6,861Net profit EUR
57.03%Win rate
498Trades
-6,232Max drawdown
13.78Avg trade

Best run of 22. Nasdaq 100, 15 min, spread 3, from run sweeps:2026-10-11-NAS100-15m-opt.tsv:56.

Entry rules, long

  2. The volume oscillator, built from EMA(5) and EMA(10) of volume, is above 0.

Entry rules, short

Exit rules

  2. A stop loss sits 2.5% from the entry price.

Test conditions

PeriodUp to 2026-10-11
InstrumentNasdaq 100, 15 minutes
Spread3 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run15 minn/a 49857.036,861 EUR-6,232
USD/JPYDailyn/a 3666.67283,290 USD-146,430
USD/JPY3 minn/a 2272.73267,950 USD-85,400
Nikkei 2255 minn/a 23757.8115,969 USD-12,336
Dow Jones15 minn/a 26358.1714,760 EUR-7,613
EUR/USDDailyn/a 3863.1614,446 USD-11,207
Dow Jones5 minn/a 9563.1612,523 EUR-8,664
Nasdaq 1003 minn/a 12664.2912,386 EUR-4,417
Nasdaq 10010 minn/a 36557.818,071 EUR-5,342
Nasdaq 1001 minn/a 5066.007,516 EUR-5,593
DAX 402 minn/a 5764.916,376 EUR-2,571
DAX 4010 minn/a 23057.836,216 EUR-5,923
Nasdaq 1004 hoursn/a 11359.294,694 EUR-2,189
Brent Crude1 minn/a 24659.353,930 EUR-2,237
GBP/USD10 minn/a 6864.713,610 USD-1,630
DAX 403 minn/a 8859.093,552 EUR-3,437
FTSE 10015 minn/a 25958.692,882 EUR-2,149
S&P 5001 hourn/a 20357.641,191 EUR-1,036
GBP/USD2 minn/a 875.001,135 USD-532
S&P 5001 minn/a 1973.681,054 EUR-371
Gold4 hoursn/a 25461.42766 EUR-483
GoldDailyn/a 4562.22337 EUR-220

Charts

Results by run

Top 10 of 22 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// ALMA Crossover With Volume Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

mf = 0.85 * (60 - 1)
sf = 60 / 6
normf = 0
sumf = 0

49 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

EMAVolume
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 6,232 EUR is large next to the net profit of 6,861 EUR.

Questions

About this strategy

Can I run ALMA Crossover With Volume Filter 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 22 market and timeframe combinations. The best run by trade count was Nasdaq 100, 15 minutes, with 498 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,232 EUR at the tested position size, against a net result of 6,861 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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1.22 PF · 1,850 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