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Strategies / Momentum / Return Versus Moving Average Crossover

Return Versus Moving Average Crossover

The strategy buys when the 252-bar percentage return crosses above its 12-bar moving average and sells when it crosses below. It trades long positions only.

MomentumLong onlySwingNasdaq 1004 hours
n/aProfit factor
7,411Net profit EUR
38.45%Win rate
2,489Trades
-4,374Max drawdown
2.98Avg trade

Best run of 4. Nasdaq 100, 4 hours, spread 3, from run sweeps:2026-10-07-NAS100-4h-opt.tsv:10.

Entry rules, long

Exit rules

  1. The 252-bar percentage return crosses below its 12-bar SMA.

Test conditions

PeriodUp to 2026-10-07
InstrumentNasdaq 100, 4 hours
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 tested2026-10-07

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run4 hoursn/a 2,48938.457,411 EUR-4,374
Nikkei 225Dailyn/a 93840.0928,224 USD-17,574
Dow JonesDailyn/a 1,12841.2223,124 EUR-9,001
Nasdaq 100Dailyn/a 93038.7110,001 EUR-4,763

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Return Versus Moving Average Crossover
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ret = (close / close[252] - 1) * 100
retma = Average[12](ret)

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

SMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 4,374 EUR is large next to the net profit of 7,411 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 Return Versus Moving Average 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 Nasdaq 100, 4 hours, with 2,489 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,374 EUR at the tested position size, against a net result of 7,411 EUR.

Does it trade long, short or both?

It only takes long 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