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Strategies / Momentum / Composite Momentum Oscillator Crossover (long only) 3

Composite Momentum Oscillator Crossover (long only) 3

A composite oscillator blends rate of change, RSI, CCI, Williams %R and ADX into one reading. It buys when its 9-bar average crosses above 0.25 and closes the long when that average crosses below 0.75.

MomentumLong onlyIntradayS&P 50015 min
n/aProfit factor
1,920Net profit EUR
55.84%Win rate
2,405Trades
-1,026Max drawdown
0.80Avg trade

Best run of 19. S&P 500, 15 min, spread 1, from run sweeps:2026-10-11-USA500-15m-opt.tsv:12.

Entry rules, long

  1. The oscillator is a weighted average of normalised 20-bar change in close, RSI(14), CCI(20), Williams %R(14) and ADX(14).
  3. Signals are only taken after 80 bars and at least 10 bars of valid oscillator readings.

Exit rules

  2. No stop-loss or profit target is set.

Test conditions

PeriodUp to 2026-10-11
InstrumentS&P 500, 15 minutes
Spread1 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
S&P 500Best run15 minn/a 2,40555.841,920 EUR-1,026
USD/JPY4 hoursn/a 46857.48299,620 USD-288,280
Nikkei 225Dailyn/a 14861.4933,192 USD-17,329
SilverDailyn/a 17560.0027,942 USD-12,061
Nikkei 2254 hoursn/a 33659.5227,056 USD-11,264
Dow Jones15 minn/a 1,97557.8224,666 EUR-7,184
Dow JonesDailyn/a 19565.6422,975 EUR-7,998
Nasdaq 1004 hoursn/a 41260.1914,001 EUR-5,116
Dow Jones4 hoursn/a 13265.9113,941 EUR-9,479
DAX 40Dailyn/a 20466.1813,795 EUR-6,457
Nasdaq 10015 minn/a 2,39857.7610,587 EUR-4,272
Dow Jones30 minn/a 99559.109,802 EUR-7,794
Nasdaq 100Dailyn/a 14562.769,252 EUR-3,648
DAX 404 hoursn/a 41660.587,925 EUR-7,759
Dow Jones10 minn/a 2,39755.867,064 EUR-6,803
FTSE 100Dailyn/a 15964.156,490 EUR-2,964
S&P 5004 hoursn/a 40866.423,116 EUR-1,025
S&P 500Dailyn/a 20560.982,708 EUR-890
GoldDailyn/a 18460.871,818 EUR-859

Charts

Results by run

Top 10 of 19 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Composite Momentum Oscillator Crossover (long only) 3
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE osc = 0.5
ONCE sincebad = 1000

myRoc = close - close[20]
myRsi = RSI[14](close)

sma = Average[20](close)
dev = 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

ADXCCIRSIWilliams %RSMAMomentum
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 1,026 EUR is large next to the net profit of 1,920 EUR.

Questions

About this strategy

Can I run Composite Momentum Oscillator Crossover (long only) 3 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 19 market and timeframe combinations. The best run by trade count was S&P 500, 15 minutes, with 2,405 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,026 EUR at the tested position size, against a net result of 1,920 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 trades

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

Copy trading on US indices is available to ProRealAlgos members as spots open.

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