Strategies / Trend / Moving Average Band Filter

Moving Average Band Filter: Trading a 100 SMA Band With the Long Trend

A long opens when price crosses above the 100-period SMA plus 0.2% while it is above the 1000-period SMA. Shorts mirror this below the band and under the 1000 SMA. Each side closes when price crosses the opposite edge of the band.

TrendLong & shortIntradayNasdaq 10030 min

n/aProfit factor

8,691Net profit EUR

31.41%Win rate

1,754Trades

-4,543Max drawdown

4.95Avg trade

Best run of 26. Nasdaq 100, 30 min, spread 3, from run sweeps:2026-09-24-NAS100-30m-opt.tsv:5.

Entry rules, long

Members only
Close is above the 1000-period SMA

Entry rules, short

Members only
Close is below the 1000-period SMA

Exit rules

Members only
Close a short when price crosses above the 100 SMA plus 0.2%
No stop loss or target

Test conditions

Period	Up to 2026-09-24
Instrument	Nasdaq 100, 30 minutes
Spread	3 points
Contracts	1
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	2026-09-25

Parameters

positionSize Contracts per trade	1
bandPeriod SMA the band is built around	100
trendPeriod Long trend SMA	1000
upperFactor Upper band multiple	1.002
lowerFactor Lower band multiple	0.998

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	30 min	n/a	1,754	31.41	8,691 EUR	-4,543
USD/JPY	10 min	0.78	26	42.31	-10,050 JPY	-23,910
USD/JPY	Daily	n/a	194	24.74	974,520 JPY	-443,190
USD/JPY	30 min	n/a	1,119	35.21	502,590 JPY	-139,930
USD/JPY	15 min	n/a	856	35.40	363,690 JPY	-153,990
USD/JPY	5 min	n/a	521	38.58	159,470 JPY	-109,880
Nikkei 225	Daily	n/a	188	21.28	34,977 USD	-12,484
Dow Jones	Daily	n/a	254	21.26	17,485 EUR	-10,142
Nasdaq 100	Daily	n/a	182	31.87	14,801 EUR	-4,004
US Crude Oil	1 hour	n/a	1,182	24.62	7,896 EUR	-4,928
GBP/USD	1 hour	n/a	1,289	31.34	5,989 USD	-4,765
Nasdaq 100	1 hour	n/a	1,232	28.57	5,736 EUR	-3,964
DAX 40	Daily	n/a	275	24.36	5,615 EUR	-5,098
Gold	30 min	n/a	1,576	31.85	3,201 EUR	-1,094
S&P 500	Daily	n/a	239	25.94	2,891 EUR	-977
Gold	Daily	n/a	216	24.54	2,750 EUR	-1,275
Gold	10 min	n/a	1,205	32.28	2,332 EUR	-660
Gold	4 hours	n/a	396	25.76	1,787 EUR	-1,534
Gold	2 min	n/a	918	34.64	1,630 EUR	-524
Gold	1 hour	n/a	1,154	26.52	1,522 EUR	-1,077
Gold	5 min	n/a	1,069	31.81	1,480 EUR	-742
S&P 500	4 hours	n/a	396	28.03	1,442 EUR	-913
Gold	3 min	n/a	996	34.54	1,270 EUR	-847
S&P 500	1 hour	n/a	1,135	31.89	1,216 EUR	-1,011
Gold	15 min	n/a	1,342	29.88	1,103 EUR	-895
Gold	1 min	n/a	716	34.92	654 EUR	-546

Charts

Results by run

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// Moving Average Band Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 30 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
bandPeriod = 100          // SMA the band is built around
trendPeriod = 1000        // long SMA that sets the allowed direction
upperFactor = 1.002       // upper band, 0.2% above the band SMA
lowerFactor = 0.998       // lower band, 0.2% below the band SMA

// --- Indicators ---
upperBand = Average[bandPeriod](close) * upperFactor
lowerBand = Average[bandPeriod](close) * lowerFactor
trendMA = Average[trendPeriod](close)

27 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss or target. Exits depend only on price crossing the other side of the band.
Win rates are low, 31.41% in the best run, so the system leans on a few large winners.
USD/JPY 10 minutes ended at -10,050 JPY with a profit factor of 0.78, and the USD/JPY Daily run had a 443,190 JPY drawdown.
Profit factor was not recorded for the headline run because only sweep data exists.

Indicators used

SMA

How to load it

Copy the code with the copy button above 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.

Questions

About this strategy

Can it run in ProOrder?

Yes, the band and trend checks are automated. With no stop in the code, set your own account protection.

How did it perform across markets?

Nasdaq 100 30 minutes made 8,690.90 EUR over 1754 trades. 24 of the 25 other runs were positive, across Gold, S&P 500, DAX 40, Dow Jones, Nikkei 225, GBP/USD, US Crude Oil and USD/JPY.

What drawdown came with 1 contract?

With 1 contract and a 3 point spread, the Nasdaq 100 30 minute run had a max drawdown of 4,542.50 EUR.

Why use a 1000 SMA?

It acts as a slow trend filter so the band breaks are only taken in the longer direction. It was tested from 1 minute up to Daily charts.

Bollinger Squeeze

Uses the same indicator.

14.30 PF · 86 trades

Negated Hammer

Best run on the same market, Nasdaq 100.

3.20 PF · 372 trades

Long-Term Moving Average Cross

Also a trend strategy.

12.31 PF · 61 trades

Join the ProRealAlgos waitlist to see how trend filters are used in live portfolios.

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