Strategies / Momentum / Six Month Price Index

Six Month Price Index Strategy

This slow momentum system buys when the close crosses above a level 44% higher than the close 130 bars ago. It then holds for exactly 254 bars, about one trading year, with no stop or target. It only goes long.

MomentumLong onlySwingNasdaq 100Daily

n/aProfit factor

3,448Net profit EUR

85.71%Win rate

7Trades

-2,267Max drawdown

493Avg trade

Best run of 4. Nasdaq 100, Daily, spread 3, from run sweeps:2026-09-23-NAS100-D-opt.tsv:3.

Entry rules, long

Members only

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-23
Instrument	Nasdaq 100, Daily
Spread	3 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	2026-09-24

Parameters

positionSize Contracts per trade	1
lookbackPeriod Bars back for the reference close, about six months	130
thresholdPct Required gain over that close, in percent	44
maxBarsInTrade Close the trade exactly this many bars after entry, about a year	254

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	Daily	n/a	7	85.71	3,448 EUR	-2,267
Dow Jones	Daily	n/a	3	100.00	7,260 EUR	-2,641
DAX 40	Daily	n/a	6	83.33	4,589 EUR	-2,272
S&P 500	Daily	n/a	4	100.00	917 EUR	-343

Charts

Results by run

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

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.

// ============================================================
// Six Month Price Index
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
lookbackPeriod = 130      // bars back for the reference close, about six months
thresholdPct = 44         // required gain over that close, in percent
maxBarsInTrade = 254      // close the trade exactly this many bars after entry, about a year

// --- Indicators ---
referenceLevel = close[lookbackPeriod] * (1 + thresholdPct / 100)

15 more lines: the entry and exit rules.

Read this first

Known weaknesses

The best run on Nasdaq 100 daily had just 7 trades, far too few to judge the 85.71% win rate.
There is no stop loss, and the max drawdown of EUR 2,267.2 is large next to the EUR 3,448 net profit.
Profit factor was not recorded, since all results come from parameter sweeps.
The other markets had 3 to 6 trades each, so every result here is a small sample.

How to load it

Copy the code with the copy button above 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.

Questions

About this strategy

Can I run this in ProOrder?

Yes, but expect very few signals and year-long holds. The rewritten code was not compile-checked, so backtest it first.

How did it do on other indices?

Dow Jones made EUR 7,260 from 3 trades, DAX 40 EUR 4,588.9 from 6 trades, and S&P 500 EUR 917.47 from 4 trades.

What is the risk at 1 contract?

The Nasdaq 100 daily run had a max drawdown of EUR 2,267.2 with no stop in place.

Why daily bars?

The 130 and 254 bar settings are meant as roughly six months and one year of daily trading.

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