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Strategies / Momentum / Rate Of Change Momentum Trailing

Rate Of Change Momentum Trailing

Buys when the close is over 1.10 times the close 5 bars earlier and over 1.01 times the close 2 bars earlier. Exits only through a 1% trailing stop or a 5% profit target.

MomentumLong onlySwingUS Crude OilDaily
1.83Profit factor
3,255Net profit EUR
39.50%Win rate
200Trades
-463Max drawdown
16.27Avg trade

Best run of 26. US Crude Oil, Daily, spread 3, from run pf:2026-10-04-CRUDE-D.tsv:4.

Entry rules, long

  2. The close divided by the close 2 bars earlier is above 1.01.

Exit rules

  1. There is no signal-based exit.
  3. A 5% profit target closes the trade.

Test conditions

PeriodUp to 2026-10-05
InstrumentUS Crude Oil, Daily
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 tested2026-10-05

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
US Crude OilBest runDaily1.83 20039.503,255 EUR-463
EUR/USD2 minn/a 6060.00176,777 USD-5,822
EUR/USD3 minn/a 3655.5694,481 USD-4,274
EUR/USD5 minn/a 2948.2861,075 USD-5,711
EUR/USD10 minn/a 1850.0040,255 USD-3,962
EUR/USD15 minn/a 1553.3337,699 USD-2,850
EUR/USD1 hourn/a 3100.0017,600 USD-0.00
EUR/USD30 minn/a 650.0013,385 USD-1,434
SilverDailyn/a 14434.036,233 USD-2,191
EUR/USD4 hoursn/a 1100.005,865 USD-0.00
Brent CrudeDailyn/a 8551.764,925 EUR-338
EUR/USDDailyn/a 1100.001,447 USD-0.00
US Crude Oil4 hoursn/a 4647.83942 EUR-424
US Crude Oil3 minn/a 450.00689 EUR-59.20
Brent Crude3 minn/a 2100.00531 EUR-26.00
Nasdaq 100Dailyn/a 5735.09507 EUR-142
Brent Crude1 minn/a 1100.00504 EUR-5.10
US Crude Oil5 minn/a 333.33395 EUR-107
Brent Crude5 minn/a 333.33349 EUR-155
US Crude Oil1 hourn/a 3735.14330 EUR-290
Nikkei 2254 hoursn/a 1100.00328 USD-0.00
US Crude Oil2 minn/a 425.00319 EUR-125
Brent Crude2 minn/a 333.33314 EUR-109
Silver30 minn/a 1100.00139 USD-41.50
Brent Crude30 minn/a 666.67135 EUR-91.70
US Crude Oil30 minn/a 2343.48134 EUR-95.90

Charts

Results by run

Top 10 of 26 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Rate Of Change Momentum Trailing
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

rocrlong = close / close[5]
rocrshort = close / close[2]

9 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.
Longer historyRe-run on up to 1,000,000 barsUS Crude Oil · Daily · older data 0.00 EUR

US Crude Oil had no history beyond the standard run, so both runs used 11,000 bars.

US Crude Oil · Daily

Bars available11,000
Net, standard 200,000-bar run3,254.80 EUR
Net, long run3,254.80 EUR
Net on the older data alone0.00 EUR
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 Rate Of Change Momentum Trailing 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 26 market and timeframe combinations. The best run was US Crude Oil, Daily, with a profit factor of 1.83 over 200 trades.

How large was the drawdown?

The best run had a maximum drawdown of 463 EUR at the tested position size, against a net result of 3,255 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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