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Strategies / Momentum / Oscillator Momentum With MFI Filter

Oscillator Momentum With MFI Filter

This idea alternates buy and sell signals when RSI crosses a level while an oscillator and money flow confirm the direction. Each signal reverses the position, and no stops or targets are used.

MomentumLong & shortIntradayDAX 4015 min
n/aProfit factor
9,969Net profit EUR
62.64%Win rate
1,143Trades
-8,377Max drawdown
8.72Avg trade

Best run of 5. DAX 40, 15 min, spread 3, from run sweeps:2026-10-03-DAX40-15m-opt.tsv:3.

Entry rules, long

  2. The 14-period money flow index is above 30.
  3. The oscillator is higher than on the prior bar, and volume is above 0.8 times its 20-bar average.
  4. The close is above the highest high of the prior 10 bars, or RSI has been below 30 since the last buy signal.
  5. A buy signal is skipped if the last signal was also a buy.

Entry rules, short

  2. The 14-period money flow index is below 70.
  3. The oscillator is lower than on the prior bar, and volume is above 0.8 times its 20-bar average.
  4. A sell signal is skipped if the last signal was also a sell.

Exit rules

  1. An opposite signal closes the trade and reverses it.

Test conditions

PeriodUp to 2026-10-03
InstrumentDAX 40, 15 minutes
Spread3 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 tested2026-10-03

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best run15 minn/a 1,14362.649,969 EUR-8,377
Nikkei 22530 minn/a 66062.8822,560 USD-22,221
DAX 404 hoursn/a 11863.5613,138 EUR-7,609
FTSE 1001 hourn/a 37460.165,537 EUR-2,418
FTSE 10030 minn/a 69459.944,237 EUR-2,466

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Oscillator Momentum With MFI Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE oszone = 0
ONCE lastsig = 0

ewo = Average[5](MedianPrice) - Average[34](MedianPrice)
myRsi = RSI[14](close)
tp = TypicalPrice

49 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

RSIAwesome OscillatorVolume
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 8,377 EUR is large next to the net profit of 9,969 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Oscillator Momentum With MFI 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 5 market and timeframe combinations. The best run by trade count was DAX 40, 15 minutes, with 1,143 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,377 EUR at the tested position size, against a net result of 9,969 EUR.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs