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Strategies / Trend / Dual SuperTrend ROC Filter

Dual SuperTrend ROC Filter

Buys when a SuperTrend flips up and a 15-period EMA of the 30-bar rate of change is beyond ±3. Sells short when a second SuperTrend flips down with a 38-period EMA of the 76-bar rate of change beyond ±3, with 5% and 6% stops.

TrendLong & shortSwingGBP/USDDaily
n/aProfit factor
11,026Net profit USD
40.56%Win rate
249Trades
-7,732Max drawdown
44.28Avg trade

Best run of 1. GBP/USD, Daily, spread 1.5, from run sweeps:2026-10-10-GBPUSD-D-opt.tsv:11.

Entry rules, long

  2. The 15-period EMA of the 30-bar rate of change is above 3 or below -3.

Entry rules, short

  2. The 38-period EMA of the 76-bar rate of change is above 3 or below -3.

Exit rules

  2. The short has a 6% stop loss from the entry price.
  3. An opposite signal reverses the position.

Test conditions

PeriodUp to 2026-10-10
InstrumentGBP/USD, Daily
Spread1.5 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GBP/USDBest runDailyn/a 24940.5611,026 USD-7,732

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Dual SuperTrend ROC Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lstopl = 0
ONCE sstopl = 0
ONCE dirl = 1
ONCE lstops = 0
ONCE sstops = 0
ONCE dirs = 1

atrl = 1.5 * AverageTrueRange[2](close)
atrs = 1.3 * AverageTrueRange[3](close)

rocl = 100 * (close - close[30]) / close[30]
emarocl = ExponentialAverage[15](rocl)
rocs = 100 * (close - close[76]) / close[76]
emarocs = ExponentialAverage[38](rocs)

57 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

SuperTrendATREMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 7,732 USD is large next to the net profit of 11,026 USD.
  • It was only tested on GBP/USD, so there is no evidence from other markets.

Questions

About this strategy

Can I run Dual SuperTrend ROC 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 one combination, GBP/USD, Daily, with 249 trades.

How large was the drawdown?

The best run had a maximum drawdown of 7,732 USD at the tested position size, against a net result of 11,026 USD.

Does it trade long, short or both?

It trades both long and short.

Related

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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