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Strategies / Momentum / Previous Close Momentum Long

Previous Close Momentum Long

Buys when the close is above 1.0001 times the previous close. Sells the long when the close is at or below 0.999 times the previous close.

MomentumLong onlySwingDow Jones1 hour
n/aProfit factor
12,840Net profit EUR
37.73%Win rate
5,030Trades
-12,815Max drawdown
2.55Avg trade

Best run of 3. Dow Jones, 1 hour, spread 3, from run sweeps:2026-10-04-DOW30-1h-opt.tsv:50.

Entry rules, long

Exit rules

  1. When long, sells at market if the close is at or below 0.999 times the previous close.

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, 1 hour
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run1 hourn/a 5,03037.7312,840 EUR-12,815
USD/JPY2 minn/a 21643.52114,770 USD-78,270
S&P 5001 minn/a 44741.61575 EUR-506

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Previous Close Momentum Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

9 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.
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 12,814 EUR is large next to the net profit of 12,840 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 Previous Close Momentum Long 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 3 market and timeframe combinations. The best run by trade count was Dow Jones, 1 hour, with 5,030 trades.

How large was the drawdown?

The best run had a maximum drawdown of 12,814 EUR at the tested position size, against a net result of 12,840 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 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.comStatsDocs