Strategies / Momentum / Fisher Momentum With Volume Filter

Fisher Momentum With Volume Filter

The system buys when four Fisher lines of median price, over 10, 20, 40 and 80 bars, all rise and RSI, weighted average and volume trends agree. It sells short on the mirror conditions and exits when the Fisher lines and RSI turn against the position.

MomentumLong & shortSwingUSD/JPY1 hour

n/aProfit factor

515,790Net profit USD

32.27%Win rate

4,441Trades

-212,200Max drawdown

116Avg trade

Best run of 3. USD/JPY, 1 hour, spread 1, from run sweeps:2026-10-11-USDJPY-1h-opt.tsv:3.

Entry rules, long

(RSI(14) minus 50) divided by 10 is above 1.66.
The 10-bar weighted moving average of close rises.
The OBV oscillator, OBV (volume scaled by 0.01) minus its 20-bar EMA, is above 0.1.

Entry rules, short

(RSI(14) minus 50) divided by 10 is below 1.
The 10-bar weighted moving average falls.
The OBV oscillator is below -0.1.

Exit rules

A short closes when all four Fisher lines rise and (RSI(14) minus 50) divided by 10 is above 0.7.

Test conditions

Period	Up to 2026-10-11
Instrument	USD/JPY, 1 hour
Spread	1 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	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	1 hour	n/a	4,441	32.27	515,790 USD	-212,200
Brent Crude	Daily	n/a	109	37.61	5,080 EUR	-4,286
Gold	Daily	n/a	170	31.18	1,011 EUR	-1,006

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Fisher Momentum With Volume Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE vonea = 0
ONCE fisha = 0
ONCE voneb = 0
ONCE fishb = 0
ONCE vonec = 0
ONCE fishc = 0
ONCE voned = 0
ONCE fishd = 0
ONCE obv = 0

maxha = highest[10](MedianPrice)
minla = lowest[10](MedianPrice)

99 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

RSIWMAVolume

Read this firstKnown weaknesses2 points

No profit factor is available, because only sweep results exist for this strategy.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Fisher Momentum With Volume 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 USD/JPY, 1 hour, with 4,441 trades.

How large was the drawdown?

The best run had a maximum drawdown of 212,200 USD at the tested position size, against a net result of 515,790 USD.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

EMA 8 21 RSI Filtered Bracket

Best run on the same market, USD/JPY.

1.09 PF · 6,194 trades

ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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.com Stats Docs