Strategies / Momentum / Linear Regression Momentum Pivot

Linear Regression Momentum Pivot

Buys on a momentum pivot high while +DI is falling, or on a +DI pivot high while momentum is negative and rising. Closes the long on separate momentum and +DI exit signals, with a stop 1.6 times ATR(14) below the entry.

MomentumLong onlySwingUSD/JPYDaily

9.58Profit factor

2,383,220Net profit USD

4.42%Win rate

1,606Trades

-167,590Max drawdown

1,484Avg trade

Best run of 9. USD/JPY, Daily, spread 1, from run pf:2026-10-05-USDJPY-D.tsv:1.

Entry rules, long

Or +DI(14) has a pivot high, momentum is at or above its previous value, and momentum is below 0.
Enter long at market when flat and either set of conditions is met.
A stop loss 1.6 times ATR(14) below the fill price is set on entry.

Exit rules

Or +DI has a pivot high, momentum is falling while positive, and +DI is above 23.

Test conditions

Period	Up to 2026-10-05
Instrument	USD/JPY, 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	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	9.58	1,606	4.42	2,383,220 USD	-167,590
Dow Jones	1 hour	n/a	2,329	40.36	18,722 EUR	-10,157
Dow Jones	Daily	n/a	834	43.53	13,058 EUR	-6,385
Dow Jones	4 hours	n/a	601	41.43	12,434 EUR	-6,140
DAX 40	Daily	n/a	975	39.18	11,995 EUR	-4,822
Nasdaq 100	4 hours	n/a	1,879	40.39	8,857 EUR	-4,230
Nasdaq 100	Daily	n/a	689	36.43	8,839 EUR	-4,189
Brent Crude	4 hours	n/a	1,037	40.60	6,547 EUR	-2,969
FTSE 100	Daily	n/a	711	44.44	4,388 EUR	-3,052

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

mom = close - ((highest[20](high) + lowest[20](low)) / 2 + Average[20](close)) / 2
sz = LinearRegression[20](mom)
di = DIplus[14](close)
myAtr = AverageTrueRange[14](close)

17 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

Linear RegressionDMISMAATR

Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data 0.00 USD

USD/JPY had no history beyond the standard run, so both runs used 12,000 bars.

USD/JPY · Daily

Bars available	12,000
Net, standard 200,000-bar run	2,383,220.00 USD
Net, long run	2,383,220.00 USD
Net on the older data alone	0.00 USD

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Linear Regression Momentum Pivot 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 9 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 9.58 over 1,606 trades.

How large was the drawdown?

The best run had a maximum drawdown of 167,590 USD at the tested position size, against a net result of 2,383,220 USD.

Does it trade long, short or both?

It only takes long trades.

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

MACD Histogram Zero Cross Reversal

Also a momentum strategy.

9.12 PF · 893 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.com Stats Docs