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Strategies / Momentum / ALMA Log Return Momentum

ALMA Log Return Momentum

It buys when a short ALMA of log returns is at least 0.0002 above a long one and close is above a 200 EMA. It sells when the short ALMA falls below the long one and low is at or below the prior low.

MomentumLong onlySwingGold4 hours
1.50Profit factor
2,740Net profit EUR
40.17%Win rate
707Trades
-624Max drawdown
3.88Avg trade

Best run of 29. Gold, 4 hours, spread 0.6, from run pf:2026-10-12-GOLD-4h.tsv:13.

Entry rules, long

  2. The close is at or above the highest close of the prior 6 bars.
  3. The close is above the 200 period EMA.
  4. Signals are checked only after bar 260 and only when no long position is open.

Exit rules

  1. The 30 bar ALMA of log returns falls below the 250 bar ALMA and the low is at or below the prior bar low.

Test conditions

PeriodUp to 2026-10-12
InstrumentGold, 4 hours
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 run4 hours1.50 70740.172,740 EUR-624
USD/JPYDailyn/a 29632.09641,290 USD-299,180
USD/JPY1 hourn/a 1,74342.80565,280 USD-141,350
USD/JPY30 minn/a 1,58241.72172,450 USD-129,280
SilverDailyn/a 30332.6727,467 USD-26,267
Nikkei 225Dailyn/a 31338.9824,551 USD-10,943
Nikkei 2251 hourn/a 1,93137.8013,714 USD-8,395
Nikkei 2253 minn/a 1,22740.0213,659 USD-5,261
GBP/USDDailyn/a 30440.1312,115 USD-4,959
Nikkei 2254 hoursn/a 65436.3911,834 USD-9,616
DAX 40Dailyn/a 46538.9211,627 EUR-3,552
Nasdaq 100Dailyn/a 38539.2211,207 EUR-4,378
Nikkei 2252 minn/a 1,05641.9510,536 USD-6,454
Dow JonesDailyn/a 46840.3810,375 EUR-6,328
DAX 404 hoursn/a 74840.2410,116 EUR-3,668
Dow Jones4 hoursn/a 25836.828,352 EUR-4,424
Nikkei 2251 minn/a 65041.088,081 USD-4,034
Nasdaq 1004 hoursn/a 83141.036,273 EUR-3,163
Dow Jones1 hourn/a 73241.265,997 EUR-3,862
Nasdaq 10015 minn/a 2,37141.375,453 EUR-3,737
Nasdaq 10030 minn/a 3,03941.405,053 EUR-4,056
DAX 401 hourn/a 2,14139.194,357 EUR-2,479
Nasdaq 1005 minn/a 1,09542.103,378 EUR-1,623
Nasdaq 1003 minn/a 81242.982,295 EUR-1,348
GoldDailyn/a 34938.682,026 EUR-1,061
S&P 500Dailyn/a 50436.511,220 EUR-814
Gold1 hourn/a 2,16437.381,154 EUR-514
S&P 5004 hoursn/a 81340.10740 EUR-635
Gold5 minn/a 1,35940.62713 EUR-377

Charts

Results by run

Top 10 of 29 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// ALMA Log Return Momentum
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

lr = 0

35 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

EMA
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 ALMA Log Return Momentum 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 29 market and timeframe combinations. The best run was Gold, 4 hours, with a profit factor of 1.50 over 707 trades.

How large was the drawdown?

The best run had a maximum drawdown of 624 EUR at the tested position size, against a net result of 2,740 EUR.

Does it trade long, short or both?

It only takes long trades.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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