Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos
Strategies / Momentum / Rate Of Change Volume Filter

Rate Of Change Volume Filter

The strategy buys when the 20-bar rate of change is above 3% and volume is above its 20-bar average. It sells when the 20-bar rate of change turns negative.

MomentumLong onlySwingSilver4 hours
n/aProfit factor
20,214Net profit USD
41.67%Win rate
396Trades
-12,913Max drawdown
51.05Avg trade

Best run of 8. Silver, 4 hours, spread 2, from run sweeps:2026-10-07-SILVER-4h-opt.tsv:26.

Entry rules, long

  2. Volume is above its 20-bar simple moving average

Exit rules

  1. The 20-bar rate of change is below zero

Test conditions

PeriodUp to 2026-10-07
InstrumentSilver, 4 hours
Spread2 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
SilverBest run4 hoursn/a 39641.6720,214 USD-12,913
USD/JPYDailyn/a 3946.15339,680 USD-147,500
EUR/USD2 minn/a 2060.0080,057 USD-76,440
Nikkei 225Dailyn/a 5740.3519,145 USD-9,795
Nasdaq 100Dailyn/a 6048.339,874 EUR-3,704
Nikkei 2254 hoursn/a 11446.498,875 USD-6,252
GoldDailyn/a 6844.121,422 EUR-1,031
S&P 500Dailyn/a 5054.001,417 EUR-987

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Rate Of Change Volume Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

myRoc = 100 * (close / close[20] - 1)
volsma = Average[20](volume)

10 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

SMAVolume
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 12,913 USD is large next to the net profit of 20,214 USD.
  • 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 Volume Filter 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 Silver, 4 hours, with 396 trades.

How large was the drawdown?

The best run had a maximum drawdown of 12,913 USD at the tested position size, against a net result of 20,214 USD.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

SMA Crossover With RSI Exit

Best run on the same market, Silver.

2.13 PF · 8,999 trades

ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 trades

Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

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