Once price has swung more than 45 pips away from its last touch of the 8 EMA, the system places a limit order back near that average. It buys pullbacks after strong up swings and sells rallies after strong down swings. Every trade carries a 30 point stop and a 25 point target.
Best run of 5. Gold, 3 min, spread 0.6, from run pf:2026-09-15-GOLD-3m.tsv:1.
| Period | Up to 2026-09-15 |
| Instrument | Gold, 3 minutes |
| Spread | 0.6 points |
| 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 | 2026-09-15 |
| swingPeriod EMA length the swing is measured from | 8 |
| seedPeriod Bars used to seed the swing high / low on the first bar | 8 |
| swingTargetPips Swing size in pips that arms an entry | 45 |
| baseCapital Amount added to strategy profit before sizing | 3000 |
| riskFraction Share of capital used in the sizing formula | 0.02 |
| capitalPerContract Money per contract in the sizing formula | 30 |
| minPositionSize Minimum contracts per trade | 1 |
| stopLossPoints Protective stop in points | 30 |
| takeProfitPoints Profit target in points | 25 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| GoldBest run | 3 min | 1.26 | 253 | 60.08 | 1,894 EUR | -596 |
| Gold | 2 min | 1.23 | 209 | 59.81 | 1,350 EUR | -708 |
| Gold | 5 min | 1.19 | 285 | 58.60 | 1,516 EUR | -774 |
| Gold | 1 hour | 1.13 | 389 | 58.35 | 1,644 EUR | -1,199 |
| Gold | 1 min | n/a | 63 | 63.49 | 620 EUR | -350 |
Charts
Above 1.0 made money, below 1.0 lost money.
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.
// ============================================================ // EMA Swing Limit Entry // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long & short // Timeframe tested: 3 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = true DEFPARAM PreloadBars = 10000 // --- Parameters --- swingPeriod = 8 // EMA the swing is measured from seedPeriod = 8 // bars used to seed the swing high / low on the first bar swingTargetPips = 45 // swing size that arms an entry baseCapital = 3000 // added to strategy profit before sizing riskFraction = 0.02 // share of that capital put at risk capitalPerContract = 30 // money per contract in the sizing formula minPositionSize = 1 // never trade fewer contracts than this stopLossPoints = 30 // protective stop takeProfitPoints = 25 // profit target // --- Indicators --- ONCE swingHigh = Highest[seedPeriod](high) ONCE swingLow = Lowest[seedPeriod](low) swingMA = ExponentialAverage[swingPeriod](close) swingTarget = swingTargetPips * PipSize // Each touch of the EMA restarts the swing measurement. IF high > swingMA AND low < swingMA THEN touchBar = BarIndex touchPrice = swingMA swingHigh = swingMA swingLow = swingMA ENDIF IF low > swingMA THEN barsSinceTouch = max(1, BarIndex - touchBar) swingHigh = Highest[barsSinceTouch](high) swingLow = swingMA ENDIF IF high < swingMA THEN barsSinceTouch = max(1, BarIndex - touchBar) swingLow = Lowest[barsSinceTouch](low) swingHigh = swingMA ENDIF IF (swingHigh - touchPrice) > swingTarget AND swingHigh > swingMA THEN buySetup = 1 ENDIF IF (swingHigh - touchPrice) <= swingTarget THEN buySetup = 0 ENDIF IF (touchPrice - swingLow) > swingTarget AND swingLow < swingMA THEN sellSetup = -1 ENDIF IF (touchPrice - swingLow) <= swingTarget THEN sellSetup = 0 ENDIF // Limit orders sit one EMA slope beyond the EMA. slopeOffset = abs(round(swingMA - swingMA[1])) positionSize = max(minPositionSize, round(((StrategyProfit + baseCapital) * riskFraction) / capitalPerContract))
16 more lines: the entry and exit rules.
Read this first
Questions
Yes. Entries are limit orders and the stop and target are coded, so it runs unattended once loaded.
Gold 3 minutes made 1,893.8 EUR over 253 trades. The 2 minute, 5 minute and 1 hour charts were also positive with profit factors between 1.13 and 1.23.
The worst drawdown on Gold 3 minutes was 596.1 EUR. Because size grows with profit, a drawdown late in a run can be larger than early on.
The 45 pip swing and 25 point target suit fast intraday moves in Gold. The 3 minute chart had the best profit factor of the timeframes tested.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
