This is the textbook MACD signal: buy when the MACD(12, 26, 9) line crosses above its signal line, sell short on the cross below. Positions close when the lines point the other way or at a 1% stop. In our tests it mostly lost money.
Best run of 17. DAX 40, 5 min, spread 3, from run sweeps:2026-09-07-DAX40-5m-opt.tsv:11.
| Period | Up to 2026-09-07 |
| Instrument | DAX 40, 5 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 | 2026-09-08 |
| positionSize Contracts per trade | 1 |
| macdFast MACD fast EMA length | 12 |
| macdSlow MACD slow EMA length | 26 |
| macdSignalPeriod MACD signal line length | 9 |
| stopLossPct Protective stop, percent of entry price | 1 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| DAX 40Best run | 5 min | n/a | 8,088 | 28.10 | -29,036 EUR | -29,225 |
| S&P 500 | 4 hours | n/a | 1,466 | 32.95 | 1,625 EUR | -1,222 |
| DAX 40 | 1 hour | n/a | 4,577 | 34.30 | 626 EUR | -8,984 |
| Gold | 1 hour | n/a | 4,845 | 32.07 | -675 EUR | -2,269 |
| Gold | 30 min | n/a | 7,774 | 31.79 | -2,127 EUR | -4,636 |
| S&P 500 | 30 min | n/a | 7,543 | 32.43 | -3,922 EUR | -6,581 |
| Gold | 5 min | n/a | 7,926 | 28.50 | -5,364 EUR | -5,743 |
| Gold | 15 min | n/a | 7,810 | 29.54 | -5,724 EUR | -6,028 |
| S&P 500 | 15 min | n/a | 7,609 | 31.06 | -5,934 EUR | -6,007 |
| S&P 500 | 1 hour | n/a | 5,037 | 30.85 | -6,508 EUR | -6,917 |
| S&P 500 | 5 min | n/a | 7,965 | 28.06 | -8,301 EUR | -8,317 |
| Nasdaq 100 | 1 hour | n/a | 5,108 | 31.34 | -11,045 EUR | -11,629 |
| Nasdaq 100 | 15 min | n/a | 7,482 | 32.58 | -16,254 EUR | -18,183 |
| Nasdaq 100 | 30 min | n/a | 7,610 | 31.27 | -16,604 EUR | -16,782 |
| DAX 40 | 30 min | n/a | 7,697 | 32.58 | -18,070 EUR | -19,902 |
| Nasdaq 100 | 5 min | n/a | 7,861 | 30.73 | -22,076 EUR | -22,223 |
| DAX 40 | 15 min | n/a | 7,808 | 31.71 | -24,690 EUR | -24,944 |
Charts
The code
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.
// ============================================================ // MACD Signal Cross // ProRealAlgos Strategy Library | prorealalgos.com // Type: Trend // Direction: Long & short // Timeframe tested: 5 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade macdFast = 12 // MACD fast EMA length macdSlow = 26 // MACD slow EMA length macdSignalPeriod = 9 // MACD signal line length stopLossPct = 1 // protective stop, percent of entry price // --- Indicators --- // Names differ from MACDLine / MACDSignal because ProBuilder ignores case. macdMain = MACDLine[macdFast, macdSlow, macdSignalPeriod](close) macdTrigger = MACDSignal[macdFast, macdSlow, macdSignalPeriod](close)
25 more lines: the entry and exit rules.
Read this first
Questions
It can be loaded into ProOrder, but the backtests on this page do not support trading it as it stands. Treat it as a baseline to improve.
S&P 500 4 hours made 1,624.76 EUR and DAX 40 1 hour made 626 EUR. Every other row lost, with the worst at -24,689.5 EUR on DAX 40 15 minutes.
On DAX 40 5 minutes the drawdown was 29,225.3 EUR at 1 contract, about the size of the full loss.
MACD crosses are popular with intraday traders. The results suggest the signal fires too often on 5 to 30 minute charts and costs pile up.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
