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Strategies / Trend / Reversal With Swing Range Filter

Reversal With Swing Range Filter

Buys when a reversal pattern on closing prices and a swing filter based on 5-bar highs and lows both point up, and sells short when both point down. Any open position is closed when the two signals disagree.

TrendLong & shortSwingGBP/USDDaily
n/aProfit factor
10,696Net profit USD
38.97%Win rate
503Trades
-8,150Max drawdown
21.26Avg trade

Best run of 2. GBP/USD, Daily, spread 1.5, from run sweeps:2026-10-11-GBPUSD-D-opt.tsv:52.

Entry rules, long

  2. Swing state is +1 when the 5-bar high, now and two bars ago, is above its value one bar ago.
  3. The system buys one contract at market when both states are +1.

Entry rules, short

  2. Swing state is -1 when the 5-bar low, now and two bars ago, is below its value one bar ago.
  3. The system sells short one contract at market when both states are -1.

Exit rules

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

Test conditions

PeriodUp to 2026-10-11
InstrumentGBP/USD, Daily
Spread1.5 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
GBP/USDBest runDailyn/a 50338.9710,696 USD-8,150
USD/JPYDailyn/a 47037.231,116,960 USD-652,290

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal With Swing Range 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[14](low)
hh = highest[14](high)

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

SMAStochastic
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 8,150 USD is large next to the net profit of 10,696 USD.

Questions

About this strategy

Can I run Reversal With Swing Range 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 2 market and timeframe combinations. The best run by trade count was GBP/USD, Daily, with 503 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,150 USD at the tested position size, against a net result of 10,696 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