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Strategies / Momentum / Rate of Change Hull TRIX Crossover

Rate of Change Hull TRIX Crossover

The strategy buys when the 50 bar rate of change crosses above a Hull TRIX line below zero while price opens above a 65 period Hull moving average. It sells short on the mirror condition, and positions close on a Fisher transform signal.

MomentumLong & shortIntradayDow Jones5 min
n/aProfit factor
4,676Net profit EUR
51.59%Win rate
1,855Trades
-3,881Max drawdown
2.52Avg trade

Best run of 4. Dow Jones, 5 min, spread 3, from run sweeps:2026-10-11-DOW30-5m-opt.tsv:32.

Entry rules, long

  2. The open is above the 65 period Hull moving average of the close.
  3. Signals are checked only after bar 310 and only when no long position is open.

Entry rules, short

  2. The open is below the 65 period Hull moving average of the close.
  3. Signals are checked only after bar 310 and only when no short position is open.

Exit rules

  2. A long closes when the smoothed Fisher transform of the 50 bar median price is above 1.5 and crosses below its prior bar value.
  3. A short closes when the 50 bar rate of change crosses above the Hull TRIX line.
  4. A short closes when the smoothed Fisher transform is below negative 1.5 and crosses above its prior bar value.
  5. An opposite entry signal reverses the position instead of closing it.

Test conditions

PeriodUp to 2026-10-11
InstrumentDow Jones, 5 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run5 minn/a 1,85551.594,676 EUR-3,881
USD/JPY1 hourn/a 1,35354.25282,400 USD-266,440
Brent Crude1 hourn/a 58954.675,345 EUR-3,373
US Crude Oil1 hourn/a 84754.074,914 EUR-3,474

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Rate of Change Hull TRIX Crossover
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE value = 0
ONCE fish = 0

myRoc = 100 * (close - close[50]) / close[50]

lc = log(close)
aa = WeightedAverage[45](lc)
ab = WeightedAverage[90](lc)
ac = 2 * aa - ab
ha = WeightedAverage[9](ac)
ba = WeightedAverage[45](ha)
bb = WeightedAverage[90](ha)
bc = 2 * ba - bb
hb = WeightedAverage[9](bc)
ca = WeightedAverage[45](hb)
cb = WeightedAverage[90](hb)
cc = 2 * ca - cb
hc = WeightedAverage[9](cc)
trix = 10000 * (hc - hc[1])

da = WeightedAverage[32](close)
db = WeightedAverage[65](close)
dc = 2 * da - db
hullent = WeightedAverage[8](dc)

fhigh = highest[50](MedianPrice)
flow = lowest[50](MedianPrice)

39 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

Hull MA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 3,881 EUR is large next to the net profit of 4,676 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 Rate of Change Hull TRIX Crossover 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 4 market and timeframe combinations. The best run by trade count was Dow Jones, 5 minutes, with 1,855 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,881 EUR at the tested position size, against a net result of 4,676 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Turtle Trade

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2.42 PF · 6,324 trades

ATR Momentum

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n/a PF · 15,021 trades

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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