Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos
Strategies / Trend / Signal To Noise Stop And Reverse

Signal To Noise Stop And Reverse

It buys when the signal-to-noise value on the prior bar is above its 7-period average, and sells short when it is below. The value is a log-based measure built from the last 21 closes.

TrendLong & shortSwingUSD/JPYDaily
1.56Profit factor
3,666,700Net profit USD
42.07%Win rate
656Trades
-768,160Max drawdown
5,589Avg trade

Best run of 9. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:11.

Entry rules, long

  1. On the prior bar, the signal-to-noise value is above its 7-period average.

Entry rules, short

  1. On the prior bar, the signal-to-noise value is below its 7-period average.

Exit rules

  2. If the two values are equal, the open position is closed.

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 runDaily1.56 65642.073,666,700 USD-768,160
USD/JPY1 hourn/a 6,68040.041,267,690 USD-352,220
EUR/USDDailyn/a 58041.55155,794 USD-64,507
Brent CrudeDailyn/a 23036.9616,561 EUR-10,313
US Crude OilDailyn/a 52542.2912,727 EUR-10,636
GBP/USDDailyn/a 66741.8312,063 USD-10,895
Nasdaq 100Dailyn/a 49337.738,404 EUR-5,893
Gold1 hourn/a 5,79838.503,344 EUR-1,546
Gold4 hoursn/a 1,47339.712,432 EUR-1,342

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Signal To Noise Stop And Reverse
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

inv = 1 / close
suminv = summation[20](inv)
stn = -10 * log(suminv[1] / 21)
smastn = Average[7](stn)

19 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

SMA
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Signal To Noise Stop And Reverse 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 9 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 1.56 over 656 trades.

How large was the drawdown?

The best run had a maximum drawdown of 768,160 USD at the tested position size, against a net result of 3,666,700 USD.

Does it trade long, short or both?

It trades both long and short.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

EMA 8 21 RSI Filtered Bracket

Best run on the same market, USD/JPY.

1.09 PF · 6,194 trades

Short EMA Crossover Trend

Also a trend strategy.

1.56 PF · 333 trades

Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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