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Strategies / Trend / Price Trend Correlation Long

Price Trend Correlation Long

The strategy buys when the 14-bar correlation between close and bar number crosses above -0.65 while the close is above its 55-bar volume-weighted average. It closes the long when that correlation crosses above 0.65.

TrendLong onlyIntradayDow Jones15 min
n/aProfit factor
6,488Net profit EUR
66.85%Win rate
1,867Trades
-5,156Max drawdown
3.48Avg trade

Best run of 8. Dow Jones, 15 min, spread 3, from run sweeps:2026-10-12-DOW30-15m-opt.tsv:9.

Entry rules, long

  2. The close is above the 55-bar volume-weighted average of close.
  3. Buys one contract at market when flat, after bar 60.

Exit rules

  1. The 14-bar correlation crosses above 0.65, which closes the long at market.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run15 minn/a 1,86766.856,488 EUR-5,156
EUR/USD4 hoursn/a 44667.4926,814 USD-14,410
Nikkei 2254 hoursn/a 28968.8610,105 USD-6,812
SilverDailyn/a 9966.678,230 USD-3,938
Dow JonesDailyn/a 16571.527,076 EUR-6,277
DAX 404 hoursn/a 32569.856,746 EUR-4,348
GBP/USDDailyn/a 12170.255,958 USD-2,943
GBP/USD4 hoursn/a 44663.683,282 USD-2,040

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Price Trend Correlation Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE tsi = 0

bi = BarIndex
mx = Average[14](bi)
my = Average[14](close)
mxy = Average[14](close * bi)
cov = mxy - mx * my
sdy = STD[14](close)

22 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

SMAStandard DeviationVolume
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 5,156 EUR is large next to the net profit of 6,488 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 Price Trend Correlation 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 8 market and timeframe combinations. The best run by trade count was Dow Jones, 15 minutes, with 1,867 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,156 EUR at the tested position size, against a net result of 6,488 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Turtle Trade

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ADX Filtered EMA Cross

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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