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Strategies / Trend / Friction Zone Trend Filter

Friction Zone Trend Filter

The strategy buys when a friction measure of past price overlap falls low and a 4-bar weighted average is rising, and sells short on the same low friction when it is falling. Positions close when friction rises above its mid level.

TrendLong & shortIntradaySilver10 min
n/aProfit factor
18,293Net profit USD
33.49%Win rate
624Trades
-6,072Max drawdown
29.31Avg trade

Best run of 21. Silver, 10 min, spread 2, from run sweeps:2026-10-11-SILVER-10m-opt.tsv:12.

Entry rules, long

  2. The 4-bar weighted average of close (weights 4, 3, 2 and 1) is rising.

Entry rules, short

Exit rules

  2. A short closes on the same friction condition.

Test conditions

PeriodUp to 2026-10-11
InstrumentSilver, 10 minutes
Spread2 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
SilverBest run10 minn/a 62433.4918,293 USD-6,072
USD/JPYDailyn/a 4139.02496,200 USD-316,700
USD/JPY4 hoursn/a 10240.20289,670 USD-172,560
EUR/USD4 hoursn/a 12440.3253,027 USD-20,832
EUR/USD1 hourn/a 47942.5928,004 USD-15,971
Nikkei 225Dailyn/a 3043.3316,969 USD-3,958
Silver30 minn/a 56436.3515,065 USD-7,014
Silver4 hoursn/a 9241.3010,405 USD-7,953
GBP/USDDailyn/a 3948.728,636 USD-2,242
Nasdaq 100Dailyn/a 2347.837,282 EUR-3,269
Silver2 minn/a 60733.286,033 USD-4,832
Brent Crude4 hoursn/a 5147.063,652 EUR-1,930
DAX 4030 minn/a 52339.393,482 EUR-2,507
US Crude OilDailyn/a 3135.483,278 EUR-2,125
GBP/USD4 hoursn/a 13745.993,107 USD-2,243
Nasdaq 10030 minn/a 43439.633,065 EUR-1,544
Brent Crude1 hourn/a 16838.102,838 EUR-2,252
DAX 40Dailyn/a 1741.182,562 EUR-2,046
S&P 500Dailyn/a 2343.48838 EUR-517
Gold15 minn/a 56136.36789 EUR-513
GoldDailyn/a 3540.00293 EUR-236

Charts

Results by run

Top 10 of 21 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Friction Zone Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 10 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

friction = 0

39 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

WMA
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 Friction Zone Trend 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 21 market and timeframe combinations. The best run by trade count was Silver, 10 minutes, with 624 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,072 USD at the tested position size, against a net result of 18,292 USD.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs