Strategies / Pattern / Liquidity Sweep Volatility Filter

Liquidity Sweep Volatility Filter

The strategy buys after price dips below a recent pivot low and closes back above it, in an uptrend with a rising volatility filter and a strong bullish close. It sells short on the mirror setup, with stop and target set from the 14-bar ATR.

PatternLong & shortSwingDow JonesDaily

1.41Profit factor

13,042Net profit EUR

37.42%Win rate

326Trades

-2,961Max drawdown

40.01Avg trade

Best run of 5. Dow Jones, Daily, spread 3, from run pf:2026-10-10-DOW30-D.tsv:6.

Entry rules, long

The close is above the 200-period EMA.
The volatility oscillator is above 0 and higher than its two previous values.
The bar is bullish with the close at least 0.6 of the way up its range.
A long position opens at market when these conditions hold and no position is open.

Entry rules, short

The close is below the 200-period EMA.
The volatility oscillator is above 0 and higher than its two previous values.
The bar is bearish with the close at most 0.4 of the way up its range.
A short position opens at market when these conditions hold and no position is open.

Exit rules

A short stop sits 1.0 times the 14-bar ATR above the fill, and a short target 2.0 times the ATR below it.

Test conditions

Period	Up to 2026-10-10
Instrument	Dow Jones, Daily
Spread	3 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	2026-10-10

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	Daily	1.41	326	37.42	13,042 EUR	-2,961
Silver	4 hours	n/a	869	33.03	15,348 USD	-6,822
Silver	Daily	n/a	278	33.81	10,108 USD	-3,020
Nasdaq 100	4 hours	n/a	1,111	32.22	4,400 EUR	-1,979
Nasdaq 100	Daily	n/a	332	32.53	3,380 EUR	-2,788

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Liquidity Sweep Volatility Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Pattern
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lasthigh = 0
ONCE lastlow = 0
ONCE hashigh = 0
ONCE haslow = 0
ONCE bullbar = -999
ONCE bearbar = -999

ematrend = ExponentialAverage[200](close)
myAtr = AverageTrueRange[14](close)

58 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

ATREMATrue Range

Longer historyRe-run on up to 1,000,000 barsDow Jones · Daily · older data 0.00 EUR

Dow Jones had no history beyond the standard run, so both runs used 14,000 bars.

Dow Jones · Daily

Bars available	14,000
Net, standard 200,000-bar run	13,042.10 EUR
Net, long run	13,042.10 EUR
Net on the older data alone	0.00 EUR

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 Liquidity Sweep Volatility 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 5 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 1.41 over 326 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,961 EUR at the tested position size, against a net result of 13,042 EUR.

Does it trade long, short or both?

It trades both long and short.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

Month End Calendar Window

Also a pattern strategy.

1.37 PF · 616 trades

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

Copy trading on US indices is available to ProRealAlgos members as spots open.

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