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Strategies / Momentum / Reversal Pattern With Detrended Price Filter

Reversal Pattern With Detrended Price Filter

The system buys when a stochastic-based close reversal agrees with the close sitting above its 14-period SMA, and sells short when the reversal is bearish and the close is at or below that SMA. Positions close when the states disagree.

MomentumLong & shortSwingUSD/JPYDaily
n/aProfit factor
2,149,200Net profit USD
28.57%Win rate
1,050Trades
-581,100Max drawdown
2,047Avg trade

Best run of 3. USD/JPY, Daily, spread 1, from run sweeps:2026-10-12-USDJPY-D-opt.tsv:22.

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
InstrumentUSD/JPY, Daily
Spread1 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
USD/JPYBest runDailyn/a 1,05028.572,149,200 USD-581,100
Nikkei 225Dailyn/a 84530.8927,479 USD-13,238
Brent CrudeDailyn/a 41932.709,865 EUR-8,901

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal Pattern With Detrended Price Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

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

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

47 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 Detrended Price 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 3 market and timeframe combinations. The best run by trade count was USD/JPY, Daily, with 1,050 trades.

How large was the drawdown?

The best run had a maximum drawdown of 581,100 USD at the tested position size, against a net result of 2,149,200 USD.

Does it trade long, short or both?

It trades both long and short.

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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