The books... not free though
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.
Best run of 4. Nasdaq 100, Daily, spread 3, from run sweeps:2026-09-23-NAS100-D-opt.tsv:3.
| 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 |
| 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
| 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
The code
// ============================================================ // 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.
Setup
Questions
Yes, but expect very few signals and year-long holds. The rewritten code was not compile-checked, so backtest it first.
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.
The Nasdaq 100 daily run had a max drawdown of EUR 2,267.2 with no stop in place.
The 130 and 254 bar settings are meant as roughly six months and one year of daily trading.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
