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Strategies / Momentum / Reversal With Volatility Finite Volume

Reversal With Volatility Finite Volume

Buys when a reversal pattern on closing prices and a volatility-adjusted Finite Volume Elements value above its 40-period EMA both point up, and sells short when both point down. Any open position is closed when the two signals disagree.

MomentumLong & shortSwingUS Crude Oil1 hour
n/aProfit factor
5,591Net profit EUR
37.44%Win rate
4,100Trades
-4,958Max drawdown
1.36Avg trade

Best run of 3. US Crude Oil, 1 hour, spread 3, from run sweeps:2026-10-12-CRUDE-1h-opt.tsv:4.

Entry rules, long

  2. Volatility FVE state is +1 when the FVE value is above its 40-period EMA, and -1 when it is below.
  3. The FVE value is signed volume over 22 bars as a percentage of total volume, using a volatility-based cutoff.
  4. The system buys one contract at market when both states are +1.

Entry rules, short

  2. Volatility FVE state is -1 when the FVE value is below its 40-period EMA.
  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 2026-10-12
InstrumentUS Crude Oil, 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
US Crude OilBest run1 hourn/a 4,10037.445,591 EUR-4,958
DAX 40Dailyn/a 18538.385,533 EUR-3,487
GoldDailyn/a 27336.261,201 EUR-809

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Reversal With Volatility Finite Volume
// 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
ONCE fve = 0

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

66 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

EMASMAStochasticStandard DeviationVolume
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 4,958 EUR is large next to the net profit of 5,590 EUR.

Questions

About this strategy

Can I run Reversal With Volatility Finite Volume 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 US Crude Oil, 1 hour, with 4,100 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,958 EUR at the tested position size, against a net result of 5,590 EUR.

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