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Strategies / Mean reversion / EMA SMA Cross Volatility Map

EMA SMA Cross Volatility Map

The strategy arms a long after the 50-period EMA crosses above the 200-period SMA, and a short after it crosses below. Entries need price on the matching side of the SMA and an extreme mapped line, with a 2.17% stop and 0.87% target.

Mean reversionLong & shortIntradayBrent Crude15 min
n/aProfit factor
2,842Net profit EUR
69.65%Win rate
514Trades
-2,423Max drawdown
5.53Avg trade

Best run of 20. Brent Crude, 15 min, spread 3, from run sweeps:2026-10-12-BRENT-15m-opt.tsv:3.

Entry rules, long

  1. After a golden cross of the 50-period EMA over the 200-period SMA, the long side is armed
  3. The mapped line is 50 plus 50 times a normalized 2-period standard deviation above the 20-period EMA, or 50 minus that value below it
  4. Each armed side fires only once, then waits for a new cross

Entry rules, short

  1. After a death cross of the 50-period EMA under the 200-period SMA, the short side is armed
  3. The mapped line is 50 plus 50 times a normalized 2-period standard deviation above the 20-period EMA, or 50 minus that value below it
  4. Each armed side fires only once, then waits for a new cross

Exit rules

  1. Each trade has a 2.17% stop loss and a 0.87% profit target from the fill price

Test conditions

PeriodUp to 2026-10-12
InstrumentBrent Crude, 15 minutes
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Brent CrudeBest run15 minn/a 51469.652,842 EUR-2,423
USD/JPYDailyn/a 4087.50238,620 USD-46,660
USD/JPY4 hoursn/a 9575.79189,940 USD-112,130
USD/JPY2 minn/a 27641.67114,150 USD-96,520
EUR/USD30 minn/a 34855.4628,479 USD-18,844
EUR/USD4 hoursn/a 12772.4420,336 USD-11,106
EUR/USD10 minn/a 28148.0416,345 USD-8,778
Nikkei 22510 minn/a 46261.9013,096 USD-8,506
Dow Jones30 minn/a 19966.837,306 EUR-5,002
Nasdaq 10015 minn/a 45668.426,044 EUR-3,314
GBP/USD15 minn/a 36252.493,703 USD-1,449
DAX 402 minn/a 37540.532,775 EUR-2,045
Nasdaq 1004 hoursn/a 10270.592,160 EUR-587
GBP/USD5 minn/a 33042.121,761 USD-1,125
S&P 5003 minn/a 35046.291,559 EUR-796
Nasdaq 100Dailyn/a 3770.271,112 EUR-177
Gold15 minn/a 38861.08792 EUR-453
DAX 40Dailyn/a 3369.70536 EUR-293
S&P 5004 hoursn/a 10071.00396 EUR-308
SilverDailyn/a 2777.78307 USD-296

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// EMA SMA Cross Volatility Map
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE waitbuy = 0
ONCE waitsell = 0

ema = ExponentialAverage[20](close)
sd = STD[2](close)
mind = lowest[504](sd)
maxd = highest[504](sd)

41 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

EMASMAStandard Deviation
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 2,423 EUR is large next to the net profit of 2,842 EUR.

Questions

About this strategy

Can I run EMA SMA Cross Volatility Map 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 20 market and timeframe combinations. The best run by trade count was Brent Crude, 15 minutes, with 514 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,423 EUR at the tested position size, against a net result of 2,842 EUR.

Does it trade long, short or both?

It trades both long and short.

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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