The books... not free though
The strategy buys when the 2-bar rate of change crosses above a lower band set below its 18-bar average. It sells when the rate of change crosses below an upper band set above its 21-bar average.
Best run of 19. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:6.
| Period | Up to 2026-10-12 |
| Instrument | Dow Jones, Daily |
| Spread | 3 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 | 2026-10-12 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Dow JonesBest run | Daily | 2.76 | 189 | 67.72 | 46,975 EUR | -7,927 |
| Nasdaq 100 | Daily | 2.75 | 139 | 65.47 | 25,929 EUR | -5,520 |
| S&P 500 | Daily | 2.67 | 203 | 65.02 | 7,112 EUR | -1,238 |
| S&P 500 | 4 hours | 1.62 | 505 | 66.14 | 5,620 EUR | -1,159 |
| USD/JPY | 4 hours | n/a | 520 | 58.65 | 458,850 USD | -329,520 |
| Nikkei 225 | 4 hours | n/a | 358 | 61.73 | 36,869 USD | -12,604 |
| Nikkei 225 | Daily | n/a | 174 | 61.49 | 36,084 USD | -26,090 |
| Nasdaq 100 | 4 hours | n/a | 524 | 63.55 | 21,430 EUR | -5,559 |
| Dow Jones | 30 min | n/a | 1,620 | 61.17 | 19,741 EUR | -8,097 |
| Dow Jones | 4 hours | n/a | 175 | 63.43 | 16,909 EUR | -9,925 |
| Nikkei 225 | 1 hour | n/a | 1,461 | 58.73 | 15,235 USD | -12,561 |
| Dow Jones | 1 hour | n/a | 753 | 60.03 | 14,577 EUR | -10,653 |
| DAX 40 | 4 hours | n/a | 443 | 62.98 | 12,416 EUR | -4,741 |
| Dow Jones | 15 min | n/a | 2,839 | 60.48 | 12,288 EUR | -8,587 |
| FTSE 100 | Daily | n/a | 148 | 63.51 | 9,538 EUR | -2,806 |
| DAX 40 | Daily | n/a | 193 | 55.44 | 8,612 EUR | -5,503 |
| Brent Crude | 4 hours | n/a | 265 | 59.25 | 8,008 EUR | -6,042 |
| FTSE 100 | 4 hours | n/a | 443 | 62.98 | 5,681 EUR | -2,176 |
| Gold | Daily | n/a | 188 | 60.11 | 2,581 EUR | -1,303 |
Charts
Top 10 of 19 runs. The full list is in the table above.
Above 1.0 made money, below 1.0 lost money.
The code
// ============================================================== // Rate of Change Band Reversion // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long only // Timeframe tested: Daily // ============================================================== DEFPARAM CumulateOrders = false myRoc = (close - close[2]) / close[2] * 100 lower = Average[18](myRoc) - 1.7 * STD[18](myRoc) upper = Average[21](myRoc) + 2.1 * STD[21](myRoc)
9 more lines: the entry and exit rules.
Setup
Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.
| Bars available | 10,000 |
| Net, standard 200,000-bar run | 25,928.70 EUR |
| Net, long run | 25,928.70 EUR |
| Net on the older data alone | 0.00 EUR |
Questions
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.
It was tested on 19 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.76 over 189 trades.
The best run had a maximum drawdown of 7,926 EUR at the tested position size, against a net result of 46,975 EUR.
It only takes long trades.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
