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Strategies / Trend / Aroon Crossover LSMA Filter

Aroon Crossover LSMA Filter

The strategy buys when Aroon Up crosses above Aroon Down while the close is above its 20-bar linear regression value. It closes the long on the reverse cross with the close below that value, and sets no stop or target.

TrendLong onlyIntradayDAX 4030 min
n/aProfit factor
6,590Net profit EUR
35.69%Win rate
5,522Trades
-5,330Max drawdown
1.19Avg trade

Best run of 14. DAX 40, 30 min, spread 3, from run sweeps:2026-10-12-DAX40-30m-opt.tsv:43.

Entry rules, long

  2. The close is above the 20-bar linear regression value.

Exit rules

  1. Aroon Up crosses below Aroon Down while the close is below the 20-bar linear regression value, which closes the long.

Test conditions

PeriodUp to 2026-10-12
InstrumentDAX 40, 30 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best run30 minn/a 5,52235.696,590 EUR-5,330
Nikkei 225Dailyn/a 28242.9146,946 USD-10,185
Nikkei 2254 hoursn/a 66440.8130,560 USD-10,719
SilverDailyn/a 32736.7029,255 USD-22,514
Dow JonesDailyn/a 36344.9024,834 EUR-8,854
Nasdaq 100Dailyn/a 27444.1615,332 EUR-4,354
DAX 40Dailyn/a 38045.7914,985 EUR-5,825
Dow Jones1 hourn/a 1,15039.7414,666 EUR-7,662
Nasdaq 1004 hoursn/a 78942.719,941 EUR-5,244
DAX 404 hoursn/a 78541.918,106 EUR-4,227
S&P 500Dailyn/a 38141.993,364 EUR-1,117
GoldDailyn/a 34439.532,115 EUR-1,058
Gold4 hoursn/a 82040.981,882 EUR-1,263
Gold1 hourn/a 3,34536.831,781 EUR-779

Charts

Results by run

Top 10 of 14 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Aroon Crossover LSMA Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

aup = 100 * (15 - HighestBars[16](high)) / 15
adn = 100 * (15 - LowestBars[16](low)) / 15
lsma = LinearRegression[20](close)

12 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

Linear Regression
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 5,330 EUR is large next to the net profit of 6,590 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Aroon Crossover LSMA 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 14 market and timeframe combinations. The best run by trade count was DAX 40, 30 minutes, with 5,522 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,330 EUR at the tested position size, against a net result of 6,590 EUR.

Does it trade long, short or both?

It only takes long 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