Strategies / Trend / Range Filter Trend With ATR Brackets

Range Filter Trend With ATR Brackets

This idea follows a range filter line that moves with the close, buying or selling when the close moves past it after a change in direction. Entries also need volume, RSI, EMA and volatility conditions, and each trade has a fixed stop and target.

TrendLong & shortSwingUSD/JPYDaily

2.54Profit factor

24,190Net profit USD

37.31%Win rate

134Trades

-2,150Max drawdown

181Avg trade

Best run of 8. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:69.

Entry rules, long

Volume is at least 1.2 times its 20-bar average.
RSI(14) is below 65 and the 9-bar EMA is above the 21-bar EMA.
The market is not ranging, meaning ATR(14) is at least half the average bar range over 14 bars.

Entry rules, short

Volume is at least 1.2 times its 20-bar average.
RSI(14) is above 35 and the 9-bar EMA is below the 21-bar EMA.
The market is not ranging, meaning ATR(14) is at least half the average bar range over 14 bars.

Exit rules

A target is set 6 times ATR(14) from entry.
No other exit is coded, so the stop or target closes each trade.

Test conditions

Period	Up to 2026-10-13
Instrument	USD/JPY, Daily
Spread	1 points
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	2026-10-13

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	2.54	134	37.31	24,190 USD	-2,150
Silver	4 hours	n/a	139	24.46	15,412 USD	-4,278
Dow Jones	Daily	n/a	191	23.04	12,573 EUR	-5,030
Dow Jones	4 hours	n/a	58	27.59	5,920 EUR	-4,300
DAX 40	1 hour	n/a	975	22.36	5,370 EUR	-1,963
US Crude Oil	30 min	n/a	1,411	23.88	5,104 EUR	-2,899
Brent Crude	4 hours	n/a	133	27.82	4,453 EUR	-3,332
Gold	4 hours	n/a	119	21.01	524 EUR	-511

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Range Filter Trend With ATR Brackets
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE filt = 0
ONCE upward = 0
ONCE downward = 0
ONCE condini = 0

chg = ABS(close - close[1])
avrng = ExponentialAverage[100](chg)
smrng = ExponentialAverage[199](avrng) * 3

prevfilt = filt

67 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on 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.

Indicators used

EMARSIATRVolume

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Range Filter Trend With ATR Brackets 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 was USD/JPY, Daily, with a profit factor of 2.54 over 134 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,150 USD at the tested position size, against a net result of 24,190 USD.

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.com Stats Docs