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Strategies / Pattern / Liquidity Sweep With EMA Filter

Liquidity Sweep With EMA Filter

Buys when price sweeps below the prior 5 bar low and closes back above it, with the close above the 200 period EMA and RSI above 40. Shorts take the mirror setup, with stops at 1.5 times ATR and targets at 3 times ATR.

PatternLong & shortSwingNasdaq 100Daily
1.53Profit factor
17,135Net profit EUR
33.91%Win rate
516Trades
-2,885Max drawdown
33.21Avg trade

Best run of 2. Nasdaq 100, Daily, spread 3, from run pf:2026-10-05-NAS100-D.tsv:19.

Entry rules, long

  1. The close is above the 200 period EMA.
  3. RSI(14) is above 40.

Entry rules, short

  1. The close is below the 200 period EMA.
  3. RSI(14) is below 60.

Exit rules

  2. The profit target sits 3 times the 14 period ATR from the entry price.
  3. An opposite signal reverses the position.

Test conditions

PeriodUp to 2026-10-05
InstrumentNasdaq 100, Daily
Spread3 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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily1.53 51633.9117,135 EUR-2,885
USD/JPYDailyn/a 90834.3628,110 USD-12,230

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ema = ExponentialAverage[200](close)
myRsi = RSI[14](close)
myAtr = AverageTrueRange[14](close)
swhigh = highest[5](high)
swlow = lowest[5](low)

30 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

EMARSIATR
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available10,000
Net, standard 200,000-bar run17,135.00 EUR
Net, long run17,135.00 EUR
Net on the older data alone0.00 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 With EMA 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 2 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 1.53 over 516 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,885 EUR at the tested position size, against a net result of 17,135 EUR.

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.

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.comStatsDocs