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Strategies / Momentum / Reversal Pattern With Absolute CMO Filter

Reversal Pattern With Absolute CMO Filter

The system buys when a stochastic-based close reversal agrees with a low absolute Chande Momentum Oscillator reading (below 20), and sells short when the reversal is bearish and the reading is above 70. Positions close when the states no longer agree.

MomentumLong & shortSwingDow Jones1 hour
n/aProfit factor
13,936Net profit EUR
47.38%Win rate
1,623Trades
-5,873Max drawdown
8.59Avg trade

Best run of 6. Dow Jones, 1 hour, spread 3, from run sweeps:2026-10-12-DOW30-1h-opt.tsv:11.

Entry rules, long

  1. The close is above the prior close, and the prior close was below the close 2 bars earlier.
  2. The Stochastic %K (14 periods) is below its 3-period SMA and above 50 on the same bar.
  4. When both states are bullish and no long is open, the system buys 1 contract at market.

Entry rules, short

  1. The close is below the prior close, and the prior close was above the close 2 bars earlier.
  2. The Stochastic %K (14 periods) is above its 3-period SMA and below 50 on the same bar.
  4. When both states are bearish and no short is open, the system sells 1 contract short at market.

Exit rules

  2. When they no longer agree, an open short is bought back at market.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, 1 hour
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run1 hourn/a 1,62347.3813,936 EUR-5,873
USD/JPYDailyn/a 45349.671,147,640 USD-795,120
Nikkei 225Dailyn/a 38452.0834,594 USD-12,569
Nasdaq 100Dailyn/a 40550.376,994 EUR-6,018
S&P 500Dailyn/a 54549.542,911 EUR-1,220
FTSE 1004 hoursn/a 1,10146.782,646 EUR-2,246

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal Pattern With Absolute CMO Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE sincebad = 1000
ONCE postwo = 0

ll = lowest[14](low)
hh = highest[14](high)

52 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

SMAStochastic
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Reversal Pattern With Absolute CMO 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 6 market and timeframe combinations. The best run by trade count was Dow Jones, 1 hour, with 1,623 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,873 EUR at the tested position size, against a net result of 13,936 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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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