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Strategies / Momentum / Lagged Momentum Long

Lagged Momentum Long

It buys when the close 21 bars ago is above the close 252 bars ago, a trend signal that ignores the most recent 21 bars. It closes when the close 21 bars ago falls below the close 252 bars ago.

MomentumLong onlySwingGoldDaily
3.93Profit factor
54,675Net profit EUR
42.58%Win rate
155Trades
-23,902Max drawdown
353Avg trade

Best run of 3. Gold, Daily, spread 0.6, from run pf:2026-10-11-GOLD-D.tsv:2.

Entry rules, long

Exit rules

  1. The close 21 bars ago falls below the close 252 bars ago, closing the long.

Test conditions

PeriodUp to 2026-10-11
InstrumentGold, Daily
Spread0.6 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
GoldBest runDaily3.93 15542.5854,675 EUR-23,902
USD/JPYDaily2.54 2245.451,580 USD-1,016
EUR/USDDaily1.55 13736.504,586 USD-3,332

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Lagged Momentum Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

18 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.
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Lagged Momentum Long 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 was Gold, Daily, with a profit factor of 3.93 over 155 trades.

How large was the drawdown?

The best run had a maximum drawdown of 23,902 EUR at the tested position size, against a net result of 54,675 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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CCI Breakout

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Typical Price RSI Trend Filter

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3.83 PF · 103 trades

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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