Strategies / Pattern / Net Volume Engulfing Breakout

Net Volume Engulfing Breakout

This idea buys after a green bar closes above the prior high following a red bar, when the net volume is unusually strong. It closes the long on the bearish mirror signal, with a fixed stop set at entry.

PatternLong onlyIntradayNasdaq 10030 min

n/aProfit factor

2,900Net profit EUR

20.58%Win rate

2,284Trades

-2,466Max drawdown

1.27Avg trade

Best run of 8. Nasdaq 100, 30 min, spread 3, from run sweeps:2026-10-07-NAS100-30m-opt.tsv:5.

Entry rules, long

Net volume is above twice the 22-bar average of positive net volume.
Net volume is positive and larger than the size of the prior bar's negative net volume.
The entry is skipped if the stop distance from the signal close is not positive.

Exit rules

A protective stop is set at entry, at the signal bar's high minus 0.3 times the distance from the 50-bar lowest low to the close.

Test conditions

Period	Up to 2026-10-07
Instrument	Nasdaq 100, 30 minutes
Spread	3 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	2026-10-07

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	30 min	n/a	2,284	20.58	2,900 EUR	-2,466
Nasdaq 100	Daily	n/a	86	43.02	17,665 EUR	-3,471
Nikkei 225	Daily	n/a	76	35.53	11,985 USD	-6,556
Dow Jones	1 hour	n/a	598	22.91	9,984 EUR	-2,746
Dow Jones	Daily	n/a	57	35.09	8,425 EUR	-4,978
DAX 40	4 hours	n/a	265	24.15	7,365 EUR	-2,219
Dow Jones	30 min	n/a	1,514	20.81	3,795 EUR	-3,688
S&P 500	Daily	n/a	87	33.33	1,574 EUR	-565

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Net Volume Engulfing Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Pattern
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

rng = high - low
buyvol = 0
sellvol = 0

30 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

Volume

Read this firstKnown weaknesses2 points

No profit factor is available, because only sweep results exist for this strategy.
The maximum drawdown of 2,466 EUR is large next to the net profit of 2,900 EUR.

Questions

About this strategy

Can I run Net Volume Engulfing Breakout 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 Nasdaq 100, 30 minutes, with 2,284 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,466 EUR at the tested position size, against a net result of 2,900 EUR.

Does it trade long, short or both?

It only takes long trades.

Herd Selling Band Reversal

Uses the same indicator.

1.32 PF · 5,101 trades

Volatility Spike Regression Long

Best run on the same market, Nasdaq 100.

1.22 PF · 1,850 trades

Breakout Reversal

Also a pattern strategy.

n/a PF · 459 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

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