In an uptrend, defined as price above a rising 125-period SMA, it buys when the close dips below the 14-period SMA. In a downtrend it shorts when the close pops above the 4-period SMA. Longs exit on a close back above the 14 SMA and above the prior close, and shorts use the mirror rule.
Best run of 5. Nasdaq 100, Daily, spread 3, from run pf:2026-09-24-NAS100-D.tsv:4.
| Period | Up to 2026-09-25 |
| Instrument | Nasdaq 100, Daily |
| Spread | 3 points |
| Contracts | 1 |
| 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 | 2026-09-25 |
| positionSize Contracts per trade | 1 |
| trendPeriod Trend SMA length | 125 |
| longPullbackPeriod SMA a long must dip below, and later close above to exit | 14 |
| shortPullbackPeriod SMA a short must pop above, and later close below to exit | 4 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Nasdaq 100Best run | Daily | 1.47 | 849 | 63.49 | 15,121 EUR | -2,829 |
| USD/JPY | Daily | n/a | 1,279 | 68.26 | 534,800 JPY | -403,450 |
| EUR/USD | Daily | n/a | 1,255 | 67.89 | 67,985 USD | -29,275 |
| US Crude Oil | Daily | n/a | 1,060 | 64.91 | 8,939 EUR | -7,982 |
| GBP/USD | Daily | n/a | 1,278 | 66.98 | 5,422 USD | -3,476 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Trend Pullback Reversal // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade trendPeriod = 125 // trend SMA length longPullbackPeriod = 14 // SMA a long must dip below, and later close above to exit shortPullbackPeriod = 4 // SMA a short must pop above, and later close below to exit // --- Indicators --- trendMA = Average[trendPeriod](close) longPullbackMA = Average[longPullbackPeriod](close) shortPullbackMA = Average[shortPullbackPeriod](close)
26 more lines: the entry and exit rules.
Read this first
Questions
Yes, it is fully rule-based. The rewritten code was not compile-checked, so run it in ProBacktest before going live.
USD/JPY, EUR/USD, GBP/USD and US Crude Oil daily were all positive. EUR/USD made USD 67,985 over 1,255 trades.
The Nasdaq 100 best run had a max drawdown of EUR 2,829.4. Scale to your own account based on that figure.
The 125-period trend filter needs a slow chart. All listed results are daily.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
