Strategies / Momentum / Brent SMI Trend

Brent SMI Trend Strategy

Longs need a fast time series average above a slower Wilder average and the SMI crossing up through -44. Shorts use a separate, slower filter and an SMI reading at or above 45. Every trade carries a fixed stop, a fixed target and a trailing stop.

MomentumLong & shortSwingBrent CrudeDaily

1.57Profit factor

3,708Net profit EUR

50.94%Win rate

106Trades

-949Max drawdown

34.98Avg trade

Best run of 8. Brent Crude, Daily, spread 3, from run pf:2026-09-15-BRENT-D.tsv:2.

Entry rules, long

The 12-period time series average is at or above the 60-period Wilder average

Entry rules, short

The 28-period time series average is at or below the 88-period Wilder average

Exit rules

Profit target 98 points
Trailing stop 34 points behind the best close once in profit by 34 points
An opposite signal reverses the position

Test conditions

Period	Up to 2026-09-15
Instrument	Brent Crude, Daily
Spread	3 points
Contracts	2
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-09-16

Parameters (16)

positionSize Contracts per trade	2
longFastPeriod Time series average length, long trend filter	12
longSlowPeriod Wilder average length, long trend filter	60
longSmiPeriod SMI length for longs	14
longSmiSmooth SMI first smoothing for longs	2
longSmiSignal SMI second smoothing for longs	16
longSmiLevel Buy when the SMI crosses up through this level	-44
shortFastPeriod Time series average length, short trend filter	28
shortSlowPeriod Wilder average length, short trend filter	88
shortSmiPeriod SMI length for shorts	8
shortSmiSmooth SMI first smoothing for shorts	1
shortSmiSignal SMI second smoothing for shorts	16
shortSmiLevel Sell short while the SMI is at or above this level	45
trailStopPoints Trailing stop distance from the best close	34
stopLossPoints Protective stop in points	62
takeProfitPoints Profit target in points	98

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Brent CrudeBest run	Daily	1.57	106	50.94	3,708 EUR	-949
EUR/USD	4 hours	1.24	283	58.66	34,572 USD	-9,344
USD/JPY	4 hours	1.20	233	58.80	236,600 JPY	-117,030
Gold	3 min	1.14	521	50.10	2,204 EUR	-1,304
GBP/USD	Daily	1.13	239	45.19	2,099 USD	-1,805
EUR/USD	1 hour	1.09	874	58.35	39,796 USD	-28,434
FTSE 100	Daily	n/a	86	52.33	1,283 EUR	-961
Gold	Daily	n/a	54	59.26	1,252 EUR	-1,089

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder, rewritten to house standard

// ============================================================
// Brent SMI Trend
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 1000

// --- Parameters ---
positionSize = 2              // contracts per trade
longFastPeriod = 12           // time series average length, long trend filter
longSlowPeriod = 60           // Wilder average length, long trend filter
longSmiPeriod = 14            // SMI length for longs
longSmiSmooth = 2             // SMI first smoothing for longs
longSmiSignal = 16            // SMI second smoothing for longs
longSmiLevel = -44            // buy when the SMI crosses up through this level
shortFastPeriod = 28          // time series average length, short trend filter
shortSlowPeriod = 88          // Wilder average length, short trend filter
shortSmiPeriod = 8            // SMI length for shorts
shortSmiSmooth = 1            // SMI first smoothing for shorts
shortSmiSignal = 16           // SMI second smoothing for shorts
shortSmiLevel = 45            // sell short while the SMI is at or above this level
trailStopPoints = 34          // trailing stop distance from the best close
stopLossPoints = 62           // protective stop in points
takeProfitPoints = 98         // profit target in points

// --- Indicators ---
longFastMA = TimeSeriesAverage[longFastPeriod](close)
longSlowMA = WilderAverage[longSlowPeriod](close)
longSmi = SMI[longSmiPeriod, longSmiSmooth, longSmiSignal](close)

shortFastMA = TimeSeriesAverage[shortFastPeriod](close)
shortSlowMA = WilderAverage[shortSlowPeriod](close)
shortSmi = SMI[shortSmiPeriod, shortSmiSmooth, shortSmiSignal](close)

45 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

SMITime Series AverageWilder Average

Read this firstKnown weaknesses4 points

The best run on Brent Crude daily has only 106 trades, which is a small sample.
Long and short sides use different settings (16 parameters in total), which raises the risk that the numbers are fitted to past data.
On USD/JPY 4 hours the max drawdown was JPY 117,030.00 against JPY 236,600.00 profit, and EUR/USD 1 hour reached a profit factor of just 1.09.
Stop, target and trail are in fixed points, so the same settings mean very different risk on Brent, forex and indices.

Questions

About this strategy

Can it trade automatically in ProOrder?

Yes. The code includes the stop loss, profit target and trailing stop, and trades 2 contracts per signal as tested.

Where was it tested and how did it do?

Brent Crude daily is the headline run: profit factor 1.57, EUR 3,707.60 net over 106 trades. All eight tested runs were profitable, but most had profit factors between 1.09 and 1.24.

What drawdown came with the best run?

At 2 contracts on Brent Crude daily, max drawdown was EUR 949.00. That is the figure to size capital around, not a margin estimate.

Why the daily chart for Brent?

The 62 point stop and 98 point target fit daily oil swings. On faster charts like Gold 3 minutes the profit factor dropped to 1.14.

Pathfinder

Uses the same indicator.

1.24 PF · 430 trades

Morning Range Breakout

Best run on the same market, Brent Crude.

1.89 PF · 434 trades

Seasonal Momentum Long

A similar profit factor.

1.57 PF · 195 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.com Stats Docs