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Strategies / Trend / MACD Trend Filter With Volume

MACD Trend Filter With Volume

Goes long when the MACD(12,26) line is above its 9-period EMA signal with RSI(14) above 50, the close above the 200-period EMA, and above-average volume. Goes short on the mirror conditions and closes on RSI crossing 50.

TrendLong & shortIntradayUSD/JPY30 min
n/aProfit factor
210,930Net profit USD
28.03%Win rate
7,391Trades
-191,570Max drawdown
28.54Avg trade

Best run of 8. USD/JPY, 30 min, spread 1, from run sweeps:2026-10-11-USDJPY-30m-opt.tsv:83.

Entry rules, long

  2. RSI(14) is above 50, the close is above the 200-period EMA, and volume is above its 20-period average.
  3. A long is bought at market when no long is open. Entries are checked only after bar 200.

Entry rules, short

  2. RSI(14) is below 50, the close is below the 200-period EMA, and volume is above its 20-period average.
  3. A short is sold at market when no short is open.

Exit rules

  2. RSI(14) crossing over 50 closes a short at market.
  3. An opposite entry signal reverses the position.

Test conditions

PeriodUp to 2026-10-11
InstrumentUSD/JPY, 30 minutes
Spread1 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run30 minn/a 7,39128.03210,930 USD-191,570
USD/JPY1 hourn/a 3,68731.16751,200 USD-195,850
USD/JPYDailyn/a 19727.92390,960 USD-301,590
Nasdaq 100Dailyn/a 11239.298,877 EUR-5,277
Nasdaq 1004 hoursn/a 54235.426,567 EUR-5,561
Gold4 hoursn/a 1,20930.601,864 EUR-839
S&P 500Dailyn/a 11234.821,502 EUR-1,245
Gold1 hourn/a 3,48629.121,140 EUR-811

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// MACD Trend Filter With Volume
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

myMacd = MACDline[12,26,9](close)
signal = ExponentialAverage[9](myMacd)
myRsi = RSI[14](close)
ema = ExponentialAverage[200](close)
volavg = Average[20](volume)

16 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

EMAMACDRSIVolume
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 191,570 USD is large next to the net profit of 210,930 USD.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run MACD Trend Filter With Volume 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 8 market and timeframe combinations. The best run by trade count was USD/JPY, 30 minutes, with 7,391 trades.

How large was the drawdown?

The best run had a maximum drawdown of 191,570 USD at the tested position size, against a net result of 210,930 USD.

Does it trade long, short or both?

It trades both long and short.

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The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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