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Strategies / Trend / EMA Cross With Efficiency Filter

EMA Cross With Efficiency Filter

The system buys when EMA(9) crosses above EMA(21) and sells short on the opposite cross, but only when the Efficiency Ratio over 10 bars is at least 0.6. Each trade has a stop at 1.2 times ATR(14) and a target at 1.5 times that distance.

TrendLong & shortSwingDow Jones1 hour
n/aProfit factor
2,012Net profit EUR
44.23%Win rate
260Trades
-1,594Max drawdown
7.74Avg trade

Best run of 3. Dow Jones, 1 hour, spread 3, from run sweeps:2026-10-04-DOW30-1h-opt.tsv:94.

Entry rules, long

  2. The Efficiency Ratio over 10 bars is at least 0.6.
  3. No position is open and at least 3 bars have passed since the last entry.

Entry rules, short

  2. The Efficiency Ratio over 10 bars is at least 0.6.
  3. No position is open and at least 3 bars have passed since the last entry.

Exit rules

  2. A profit target at 1.5 times the stop distance from the entry price.

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, 1 hour
Spread3 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
Dow JonesBest run1 hourn/a 26044.232,012 EUR-1,594
Dow JonesDailyn/a 5752.634,637 EUR-2,138
Nasdaq 100Dailyn/a 4825.001,617 EUR-769

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// EMA Cross With Efficiency Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE bse = 9999

bse = bse + 1

34 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

EMAATR
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 1,594 EUR is large next to the net profit of 2,012 EUR.

Questions

About this strategy

Can I run EMA Cross With Efficiency 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 3 market and timeframe combinations. The best run by trade count was Dow Jones, 1 hour, with 260 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,594 EUR at the tested position size, against a net result of 2,012 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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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