Strategies / Trend / Reversal With Lagged Close Filter

Reversal With Lagged Close Filter

Buys when a reversal pattern on closing prices and a close above the close 40 bars earlier both point up, and sells short when both point down. Any open position is closed when the two signals disagree.

TrendLong & shortSwingUSD/JPYDaily

n/aProfit factor

1,955,800Net profit USD

33.09%Win rate

550Trades

-576,200Max drawdown

3,556Avg trade

Best run of 4. USD/JPY, Daily, spread 1, from run sweeps:2026-10-12-USDJPY-D-opt.tsv:16.

Entry rules, long

Lag state is +1 when the close is above the close 40 bars earlier, and -1 when it is below.
The system buys one contract at market when both states are +1.

Entry rules, short

Lag state is -1 when the close is below the close 40 bars earlier.
The system sells short one contract at market when both states are -1.

Exit rules

A short closes when the two states no longer both point down.
There is no stop or target.

Test conditions

Period	Up to 2026-10-12
Instrument	USD/JPY, Daily
Spread	1 points
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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	n/a	550	33.09	1,955,800 USD	-576,200
Brent Crude	Daily	n/a	218	31.19	16,785 EUR	-5,863
US Crude Oil	Daily	n/a	443	35.21	13,881 EUR	-7,035
Gold	Daily	n/a	547	32.36	2,835 EUR	-809

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal With Lagged Close Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

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

ll = lowest[15](low)
hh = highest[15](high)

48 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
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.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Reversal With Lagged Close 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 4 market and timeframe combinations. The best run by trade count was USD/JPY, Daily, with 550 trades.

How large was the drawdown?

The best run had a maximum drawdown of 576,200 USD at the tested position size, against a net result of 1,955,800 USD.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

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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.com Stats Docs