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Strategies / Momentum / Reversal Pattern With Averaged CMO Filter

Reversal Pattern With Averaged CMO Filter

The system buys when a stochastic-based close reversal agrees with the average of Chande Momentum Oscillators with 5, 10 and 20 periods above 70, and sells short when the states are bearish and that average is below -70. Positions close when the states disagree.

MomentumLong & shortIntradayUS Crude Oil15 min
n/aProfit factor
8,887Net profit EUR
38.64%Win rate
1,822Trades
-4,728Max drawdown
4.88Avg trade

Best run of 14. US Crude Oil, 15 min, spread 3, from run sweeps:2026-10-12-CRUDE-15m-opt.tsv:4.

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
InstrumentUS Crude Oil, 15 minutes
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
US Crude OilBest run15 minn/a 1,82238.648,887 EUR-4,728
USD/JPYDailyn/a 11647.412,005,720 USD-683,200
USD/JPY10 minn/a 1,72739.14416,310 USD-150,980
USD/JPY30 minn/a 1,73037.80364,030 USD-212,570
Nikkei 225Dailyn/a 9647.9256,371 USD-12,250
Silver4 hoursn/a 29340.9628,448 USD-14,203
Dow JonesDailyn/a 12343.9015,475 EUR-9,632
Brent CrudeDailyn/a 4835.4211,254 EUR-7,033
GBP/USD4 hoursn/a 39142.974,096 USD-3,758
S&P 500Dailyn/a 12042.503,484 EUR-1,173
Gold1 hourn/a 1,11840.162,701 EUR-1,324
GoldDailyn/a 10541.902,379 EUR-1,568
Gold30 minn/a 1,71439.031,690 EUR-931
Gold4 hoursn/a 28441.201,548 EUR-1,075

Charts

Results by run

Top 10 of 14 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal Pattern With Averaged CMO Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE kraw = 50
ONCE posrev = 0
ONCE posb = 0

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

50 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

StochasticSMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 4,728 EUR is large next to the net profit of 8,887 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 Reversal Pattern With Averaged 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 14 market and timeframe combinations. The best run by trade count was US Crude Oil, 15 minutes, with 1,822 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,728 EUR at the tested position size, against a net result of 8,887 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