It buys when the close is above the close 3 bars ago and above the 200-period SMA, and sells short on the mirror setup. Trades close on a cross of the 20-period SMA or a 1% stop. The results on this page are losses on every market tested.
Best run of 16. Gold, 30 min, spread 0.6, from run sweeps:2026-09-07-GOLD-30m-opt.tsv:16.
| Period | Up to 2026-09-07 |
| Instrument | Gold, 30 minutes |
| Spread | 0.6 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 | 2026-09-07 |
| positionSize Contracts per trade | 1 |
| momentumBars Compare the close with the close this many bars ago | 3 |
| trendPeriod SMA trend filter length | 200 |
| exitPeriod SMA that closes the trade | 20 |
| stopLossPct Protective stop, percent of entry price | 1 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| GoldBest run | 30 min | n/a | 23,572 | 25.87 | -6,941 EUR | -10,737 |
| Gold | 1 hour | n/a | 13,568 | 25.63 | -4,970 EUR | -6,288 |
| Gold | 5 min | n/a | 22,391 | 22.34 | -10,356 EUR | -10,358 |
| Gold | 15 min | n/a | 22,453 | 21.05 | -11,911 EUR | -12,096 |
| S&P 500 | 1 hour | n/a | 13,544 | 24.39 | -14,786 EUR | -14,995 |
| S&P 500 | 30 min | n/a | 22,612 | 25.37 | -15,207 EUR | -18,100 |
| S&P 500 | 15 min | n/a | 22,025 | 22.84 | -22,026 EUR | -22,032 |
| S&P 500 | 5 min | n/a | 22,052 | 19.01 | -22,731 EUR | -22,752 |
| DAX 40 | 1 hour | n/a | 12,583 | 28.60 | -25,330 EUR | -28,320 |
| Nasdaq 100 | 1 hour | n/a | 13,746 | 23.33 | -41,427 EUR | -42,672 |
| DAX 40 | 30 min | n/a | 22,626 | 27.44 | -43,008 EUR | -51,969 |
| Nasdaq 100 | 30 min | n/a | 23,126 | 24.90 | -43,185 EUR | -47,829 |
| Nasdaq 100 | 15 min | n/a | 22,282 | 25.90 | -54,500 EUR | -54,500 |
| Nasdaq 100 | 5 min | n/a | 22,203 | 23.76 | -64,053 EUR | -64,138 |
| DAX 40 | 5 min | n/a | 22,331 | 22.51 | -67,174 EUR | -67,332 |
| DAX 40 | 15 min | n/a | 22,450 | 25.47 | -75,174 EUR | -75,223 |
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.
// ============================================================ // Three Bar Momentum Filtered // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long & short // Timeframe tested: 30 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade momentumBars = 3 // compare the close with the close this many bars ago trendPeriod = 200 // SMA trend filter length exitPeriod = 20 // SMA that closes the trade stopLossPct = 1 // protective stop, percent of entry price // --- Indicators --- trendMA = Average[trendPeriod](close) exitMA = Average[exitPeriod](close)
25 more lines: the entry and exit rules.
Read this first
Questions
The code can run in ProOrder, but no tested market or timeframe was profitable, and the rewritten code was not compile-checked.
DAX 40, Nasdaq 100, S&P 500 and Gold on intraday charts. Gold 1 hour lost the least, ending at EUR -4,970.2.
At 1 contract the Gold 30 minute run drew down EUR 10,737, and Nasdaq 100 5 minutes drew down EUR 64,138.2.
Seeing what fails helps as much as seeing what works. A simple momentum trigger with a trend filter is not enough on its own here.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
