Strategies / Trend / MACD Crossover Volatility Stop Filter

MACD Crossover Volatility Stop Filter

The strategy buys on a bullish MACD crossover when +DI(14) is above -DI(14). It closes the long on a bearish MACD crossover with -DI(14) above +DI(14), or when the close falls below an ATR(20) volatility stop.

TrendLong onlySwingGoldDaily

3.02Profit factor

3,651Net profit EUR

38.19%Win rate

144Trades

-809Max drawdown

25.36Avg trade

Best run of 36. Gold, Daily, spread 0.6, from run pf:2026-10-04-GOLD-D.tsv:3.

Entry rules, long

No trades are placed on the first 60 bars.

Exit rules

Close the long when the close falls under a volatility stop set 2.0 times ATR(20) from the highest close since the trend turned up.

Test conditions

Period	Up to 2026-10-04
Instrument	Gold, Daily
Spread	0.6 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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
GoldBest run	Daily	3.02	144	38.19	3,651 EUR	-809
S&P 500	Daily	2.30	169	40.83	3,765 EUR	-569
Gold	4 hours	2.29	293	38.57	4,048 EUR	-568
DAX 40	Daily	1.98	174	40.23	17,287 EUR	-3,850
Gold	3 min	1.21	1,910	31.10	1,893 EUR	-431
USD/JPY	10 min	1.18	2,024	33.65	469,740 USD	-112,480
USD/JPY	30 min	n/a	1,882	33.90	570,100 USD	-207,530
USD/JPY	1 hour	n/a	1,302	33.79	539,870 USD	-421,060
EUR/USD	Daily	n/a	138	32.61	53,416 USD	-39,280
EUR/USD	4 hours	n/a	439	34.40	40,844 USD	-36,463
Nikkei 225	Daily	n/a	122	34.43	31,510 USD	-15,442
Silver	Daily	n/a	131	24.43	24,322 USD	-19,961
Nikkei 225	4 hours	n/a	250	36.40	21,237 USD	-10,986
Dow Jones	Daily	n/a	164	42.68	19,860 EUR	-12,283
Silver	15 min	n/a	1,986	29.61	17,833 USD	-9,757
Nikkei 225	10 min	n/a	1,927	32.12	16,924 USD	-13,284
Dow Jones	4 hours	n/a	99	39.39	13,398 EUR	-3,595
Nasdaq 100	4 hours	n/a	327	47.71	13,001 EUR	-4,016
Nasdaq 100	1 hour	n/a	1,143	35.52	11,047 EUR	-2,809
DAX 40	4 hours	n/a	298	39.26	9,718 EUR	-3,777
Dow Jones	15 min	n/a	1,660	32.65	9,075 EUR	-8,086
Nasdaq 100	15 min	n/a	1,911	35.01	8,581 EUR	-4,909
Nasdaq 100	Daily	n/a	145	43.45	6,966 EUR	-6,348
Brent Crude	Daily	n/a	69	39.13	6,954 EUR	-6,411
Nasdaq 100	30 min	n/a	2,020	36.98	6,902 EUR	-4,213
DAX 40	15 min	n/a	1,969	31.89	6,033 EUR	-4,371
Nasdaq 100	10 min	n/a	1,958	33.55	5,869 EUR	-4,292
Brent Crude	1 hour	n/a	621	36.71	5,190 EUR	-4,466
Gold	5 min	n/a	1,872	33.28	2,300 EUR	-644
Gold	1 hour	n/a	1,109	33.54	2,094 EUR	-1,059
S&P 500	4 hours	n/a	330	38.79	1,897 EUR	-772
S&P 500	1 hour	n/a	1,196	36.20	1,786 EUR	-787
Gold	30 min	n/a	1,948	33.68	1,751 EUR	-1,275
Gold	15 min	n/a	1,972	29.77	1,622 EUR	-871
Gold	10 min	n/a	1,974	31.41	1,521 EUR	-839
S&P 500	15 min	n/a	1,965	33.03	1,446 EUR	-1,140

Charts

Results by run

Top 10 of 36 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// MACD Crossover Volatility Stop Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE vmax = 0
ONCE vmin = 0
ONCE vup = 1
ONCE vstop = 0
ONCE vinit = 0

macdl = MACDline[12,26,9](close)
macds = ExponentialAverage[9](macdl)
myDiplus = DIplus[14](close)
myDiminus = DIminus[14](close)
atrm = AverageTrueRange[20](close) * 2.0

IF vinit = 0 THEN
    vmax = close
    vmin = close
    vinit = 1
ENDIF
vmax = MAX(vmax, close)
vmin = MIN(vmin, close)
prevup = vup
IF prevup = 1 THEN
    vstop = MAX(vstop, vmax - atrm)
ELSE
    vstop = MIN(vstop, vmin + atrm)
ENDIF

29 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

MACDDMIATR

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

Gold had no history beyond the standard run, so both runs used 13,000 bars.

Gold · Daily

Bars available	13,000
Net, standard 200,000-bar run	3,651.20 EUR
Net, long run	3,651.20 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 MACD Crossover Volatility Stop 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 36 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 3.02 over 144 trades.

How large was the drawdown?

The best run had a maximum drawdown of 809 EUR at the tested position size, against a net result of 3,651 EUR.

Does it trade long, short or both?

It only takes long trades.

Slow MACD Slope

Uses the same indicator.

6.80 PF · 7,305 trades

CCI Breakout

Best run on the same market, Gold.

1.08 PF · 6,065 trades

SMA Cross With Custom ADX Filter

Also a trend strategy.

3.01 PF · 145 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

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