The books... not free though
The system buys when the Fisher transform of the nine-bar high-low position turns up while below 1, and it sells when the line turns down while above 1. It trades long only with one contract at a time.
Best run of 20. S&P 500, Daily, spread 1, from run pf:2026-10-12-USA500-D.tsv:14.
| Period | Up to 2026-10-12 |
| Instrument | S&P 500, Daily |
| 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 | 2026-10-12 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| S&P 500Best run | Daily | 1.77 | 480 | 64.17 | 4,311 EUR | -1,001 |
| S&P 500 | 4 hours | 1.50 | 966 | 68.84 | 5,425 EUR | -1,282 |
| DAX 40 | 4 hours | 1.39 | 881 | 69.24 | 22,616 EUR | -5,306 |
| USD/JPY | 4 hours | n/a | 939 | 65.39 | 702,580 USD | -250,140 |
| EUR/USD | 4 hours | n/a | 1,050 | 64.38 | 72,824 USD | -49,267 |
| Nikkei 225 | 4 hours | n/a | 736 | 65.76 | 51,601 USD | -10,868 |
| Dow Jones | Daily | n/a | 431 | 67.75 | 33,035 EUR | -9,573 |
| Nikkei 225 | 1 hour | n/a | 2,583 | 61.56 | 28,080 USD | -11,873 |
| Dow Jones | 1 hour | n/a | 1,071 | 66.39 | 24,945 EUR | -10,408 |
| Dow Jones | 4 hours | n/a | 308 | 64.94 | 20,353 EUR | -11,974 |
| Nasdaq 100 | 4 hours | n/a | 957 | 68.13 | 17,761 EUR | -5,663 |
| Nasdaq 100 | Daily | n/a | 381 | 68.24 | 15,434 EUR | -4,051 |
| Nasdaq 100 | 1 hour | n/a | 3,279 | 61.79 | 14,426 EUR | -5,642 |
| Dow Jones | 30 min | n/a | 2,082 | 66.67 | 11,877 EUR | -10,783 |
| DAX 40 | Daily | n/a | 484 | 62.60 | 10,177 EUR | -6,504 |
| FTSE 100 | Daily | n/a | 356 | 64.33 | 5,731 EUR | -3,738 |
| FTSE 100 | 4 hours | n/a | 850 | 68.12 | 5,231 EUR | -3,733 |
| S&P 500 | 1 hour | n/a | 3,282 | 63.56 | 3,306 EUR | -2,152 |
| Gold | 4 hours | n/a | 815 | 64.91 | 2,718 EUR | -1,022 |
| Gold | Daily | n/a | 331 | 62.54 | 1,883 EUR | -1,005 |
Charts
Top 10 of 20 runs. The full list is in the table above.
Above 1.0 made money, below 1.0 lost money.
The code
// ============================================================== // Fisher Transform Crossover Trigger // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long only // Timeframe tested: Daily // ============================================================== DEFPARAM CumulateOrders = false ONCE value = 0 ONCE fish = 0 hh = highest[9](high) ll = lowest[9](low) rng = hh - ll
27 more lines: the entry and exit rules.
Setup
Questions
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.
It was tested on 20 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 1.77 over 480 trades.
The best run had a maximum drawdown of 1,001 EUR at the tested position size, against a net result of 4,311 EUR.
It only takes long trades.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
