ADX(14) decides the mode. In quiet markets the system buys after a large down candle and shorts after a large up candle, and when ADX is high it follows the candle instead. Longs close 30 bars after the last trade and shorts after 5 bars.
Best run of 4. FTSE 100, 4 hours, spread 2, from run pf:2026-09-24-FTSE100-4h.tsv:2.
| Period | Up to 2026-09-25 |
| Instrument | FTSE 100, 4 hours |
| Spread | 2 points |
| Contracts | 1 |
| 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 | 2026-09-25 |
| positionSize Contracts per trade | 1 |
| atrPeriod ATR length for candle size and volatility cap | 14 |
| adxPeriod ADX length for the regime switch | 14 |
| adxLongThreshold Longs: ADX above = breakout regime, below = mean reversion | 36 |
| adxShortThreshold Shorts: ADX above = breakout regime, below = mean reversion | 24 |
| atrMaxLong No longs when ATR is at or above this | 100 |
| atrMaxShort No shorts when ATR is at or above this | 200 |
| longReversionMultiplier Long after a down candle larger than this many ATRs | 1 |
| longBreakoutMultiplier Long after an up candle larger than this many ATRs | 1 |
| shortReversionMultiplier Short after an up candle larger than this many ATRs | 1 |
| shortBreakoutMultiplier Short after a down candle larger than this many ATRs | 2 |
| maxBarsLong Close a long after this many bars | 30 |
| maxBarsShort Close a short after this many bars | 5 |
| midMonthDay Days up to this count as the first half of the month | 15 |
| janFirstHalf Seasonal weight, first half of January (zero blocks new longs) | 3 |
| janSecondHalf Seasonal weight, second half of January (zero blocks new longs) | 0 |
| febFirstHalf Seasonal weight, first half of February (zero blocks new longs) | 3 |
| febSecondHalf Seasonal weight, second half of February (zero blocks new longs) | 3 |
| marFirstHalf Seasonal weight, first half of March (zero blocks new longs) | 3 |
| marSecondHalf Seasonal weight, second half of March (zero blocks new longs) | 2 |
| aprFirstHalf Seasonal weight, first half of April (zero blocks new longs) | 3 |
| aprSecondHalf Seasonal weight, second half of April (zero blocks new longs) | 3 |
| mayFirstHalf Seasonal weight, first half of May (zero blocks new longs) | 1 |
| maySecondHalf Seasonal weight, second half of May (zero blocks new longs) | 1 |
| junFirstHalf Seasonal weight, first half of June (zero blocks new longs) | 1 |
| junSecondHalf Seasonal weight, second half of June (zero blocks new longs) | 2 |
| julFirstHalf Seasonal weight, first half of July (zero blocks new longs) | 3 |
| julSecondHalf Seasonal weight, second half of July (zero blocks new longs) | 2 |
| augFirstHalf Seasonal weight, first half of August (zero blocks new longs) | 2 |
| augSecondHalf Seasonal weight, second half of August (zero blocks new longs) | 3 |
| sepFirstHalf Seasonal weight, first half of September (zero blocks new longs) | 3 |
| sepSecondHalf Seasonal weight, second half of September (zero blocks new longs) | 0 |
| octFirstHalf Seasonal weight, first half of October (zero blocks new longs) | 3 |
| octSecondHalf Seasonal weight, second half of October (zero blocks new longs) | 2 |
| novFirstHalf Seasonal weight, first half of November (zero blocks new longs) | 1 |
| novSecondHalf Seasonal weight, second half of November (zero blocks new longs) | 3 |
| decFirstHalf Seasonal weight, first half of December (zero blocks new longs) | 3 |
| decSecondHalf Seasonal weight, second half of December (zero blocks new longs) | 2 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| FTSE 100Best run | 4 hours | 1.17 | 1,514 | 55.75 | 7,580 EUR | -1,646 |
| DAX 40 | Daily | n/a | 347 | 58.21 | 9,871 EUR | -2,471 |
| GBP/USD | Daily | n/a | 799 | 55.69 | 7,847 USD | -7,788 |
| Nasdaq 100 | Daily | n/a | 585 | 50.77 | 2,959 EUR | -1,721 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // DAX Survivor // ProRealAlgos Strategy Library | prorealalgos.com // Type: Volatility // Direction: Long & short // Timeframe tested: 4 hours // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade atrPeriod = 14 // ATR length for candle size and volatility cap adxPeriod = 14 // ADX length for the regime switch adxLongThreshold = 36 // longs: ADX above = breakout regime, below = mean reversion adxShortThreshold = 24 // shorts: ADX above = breakout regime, below = mean reversion atrMaxLong = 100 // no longs when ATR is at or above this atrMaxShort = 200 // no shorts when ATR is at or above this longReversionMultiplier = 1 // long after a down candle larger than this many ATRs longBreakoutMultiplier = 1 // long after an up candle larger than this many ATRs shortReversionMultiplier = 1 // short after an up candle larger than this many ATRs shortBreakoutMultiplier = 2 // short after a down candle larger than this many ATRs maxBarsLong = 30 // close a long after this many bars maxBarsShort = 5 // close a short after this many bars midMonthDay = 15 // days up to this count as the first half of the month // Seasonal weights per half month. Only zero matters now: zero blocks new longs. janFirstHalf = 3 janSecondHalf = 0 febFirstHalf = 3 febSecondHalf = 3 marFirstHalf = 3 marSecondHalf = 2 aprFirstHalf = 3 aprSecondHalf = 3 mayFirstHalf = 1 maySecondHalf = 1 junFirstHalf = 1 junSecondHalf = 2 julFirstHalf = 3 julSecondHalf = 2 augFirstHalf = 2 augSecondHalf = 3 sepFirstHalf = 3 sepSecondHalf = 0 octFirstHalf = 3 octSecondHalf = 2 novFirstHalf = 1 novSecondHalf = 3 decFirstHalf = 3 decSecondHalf = 2 // --- Indicators --- atrValue = AverageTrueRange[atrPeriod] adxValue = ADX[adxPeriod] candleBody = abs(open - close) longVolatilityOk = atrValue < atrMaxLong shortVolatilityOk = atrValue < atrMaxShort longBreakoutRegime = adxValue > adxLongThreshold longReversionRegime = adxValue < adxLongThreshold shortBreakoutRegime = adxValue > adxShortThreshold shortReversionRegime = adxValue < adxShortThreshold firstHalf = Day <= midMonthDay IF CurrentMonth = 1 THEN IF firstHalf THEN seasonWeight = janFirstHalf ELSE seasonWeight = janSecondHalf ENDIF ELSIF CurrentMonth = 2 THEN IF firstHalf THEN seasonWeight = febFirstHalf ELSE seasonWeight = febSecondHalf ENDIF ELSIF CurrentMonth = 3 THEN IF firstHalf THEN seasonWeight = marFirstHalf ELSE seasonWeight = marSecondHalf ENDIF ELSIF CurrentMonth = 4 THEN IF firstHalf THEN seasonWeight = aprFirstHalf ELSE seasonWeight = aprSecondHalf ENDIF ELSIF CurrentMonth = 5 THEN IF firstHalf THEN seasonWeight = mayFirstHalf ELSE seasonWeight = maySecondHalf ENDIF ELSIF CurrentMonth = 6 THEN IF firstHalf THEN seasonWeight = junFirstHalf ELSE seasonWeight = junSecondHalf ENDIF ELSIF CurrentMonth = 7 THEN IF firstHalf THEN seasonWeight = julFirstHalf ELSE seasonWeight = julSecondHalf ENDIF ELSIF CurrentMonth = 8 THEN IF firstHalf THEN seasonWeight = augFirstHalf ELSE seasonWeight = augSecondHalf ENDIF ELSIF CurrentMonth = 9 THEN IF firstHalf THEN seasonWeight = sepFirstHalf ELSE seasonWeight = sepSecondHalf ENDIF ELSIF CurrentMonth = 10 THEN IF firstHalf THEN seasonWeight = octFirstHalf ELSE seasonWeight = octSecondHalf ENDIF ELSIF CurrentMonth = 11 THEN IF firstHalf THEN seasonWeight = novFirstHalf ELSE seasonWeight = novSecondHalf ENDIF ELSE IF firstHalf THEN seasonWeight = decFirstHalf ELSE seasonWeight = decSecondHalf ENDIF ENDIF // The weight used to scale size; with fixed size a zero weight still means "no long". seasonAllowsLong = seasonWeight <> 0
35 more lines: the entry and exit rules.
Read this first
Questions
Yes. The rewritten code has not been compile-checked yet and the published stats come from the earlier code, so test it in demo before going live.
FTSE 100 4 hours made EUR 7,579.90 over 1,514 trades. DAX 40 Daily made EUR 9,870.90, GBP/USD Daily USD 7,847.10 and Nasdaq 100 Daily EUR 2,959.40.
The best run's max drawdown at 1 contract was EUR 1,645.70. With no stop in place, keep extra room above that figure.
Holding periods of 30 and 5 bars need slower bars to capture a real swing. All tested rows were 4 hour or Daily.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
