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Strategies / Momentum / Composite Z-Score Momentum

Composite Z-Score Momentum

The strategy buys when a smoothed composite of price momentum, RSI and volume z-scores crosses above zero, and sells short when it crosses below zero. A protective stop sits at a multiple of the 14-bar ATR from the entry.

MomentumLong & shortSwingUSD/JPYDaily
4.52Profit factor
488,830Net profit USD
1.61%Win rate
621Trades
-121,520Max drawdown
787Avg trade

Best run of 5. USD/JPY, Daily, spread 1, from run pf:2026-10-04-USDJPY-D.tsv:3.

Entry rules, long

  1. The composite blends 100-bar z-scores of 14-bar momentum (weight 0.4), RSI (weight 0.3) and volume ratio (weight 0.3).
  2. The composite is smoothed by an EMA whose length moves between 15 and 2 as the 100-bar percent rank of the 14-bar ATR rises.

Entry rules, short

  1. The smoothed composite crosses below 0.
  2. A short position opens at market when that cross happens and no short position is open.

Exit rules

  1. A protective stop sits 2 times the 14-bar ATR from the fill price on each new trade.
  3. A short position closes at market when the smoothed composite crosses above 0.

Test conditions

PeriodUp to 2026-10-04
InstrumentUSD/JPY, Daily
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDaily4.52 6211.61488,830 USD-121,520
Silver4 hoursn/a 1,63030.2525,210 USD-13,737
Nikkei 225Dailyn/a 59231.2523,188 USD-22,835
DAX 404 hoursn/a 1,58332.7916,264 EUR-4,314
Gold4 hoursn/a 1,62133.192,942 EUR-855

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Composite Z-Score Momentum
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE sc = 0

myRoc = (close - close[14]) / close[14] * 100
myRsi = RSI[14](close)
volavg = Average[20](volume)

71 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

ATRMomentumRSIStandard DeviationSMAVolume
Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data 0.00 USD

USD/JPY had no history beyond the standard run, so both runs used 12,000 bars.

USD/JPY · Daily

Bars available12,000
Net, standard 200,000-bar run488,830.00 USD
Net, long run488,830.00 USD
Net on the older data alone0.00 USD
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Composite Z-Score 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 5 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 4.52 over 621 trades.

How large was the drawdown?

The best run had a maximum drawdown of 121,520 USD at the tested position size, against a net result of 488,830 USD.

Does it trade long, short or both?

It trades both long and short.

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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