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Strategies / Trend / SMA Cross With Volatility Filter

SMA Cross With Volatility Filter

The system goes long when the 48-period SMA crosses above the 144-period SMA while the 16-period SMA is above the 144-period SMA, and short on the mirror conditions. Both require 60-bar range volatility above 1%, and a 10% stop applies from entry.

TrendLong & shortSwingGold1 hour
n/aProfit factor
2,045Net profit EUR
37.35%Win rate
664Trades
-1,603Max drawdown
3.08Avg trade

Best run of 17. Gold, 1 hour, spread 0.6, from run sweeps:2026-10-12-GOLD-1h-opt.tsv:54.

Entry rules, long

  2. The 16-period SMA is above the 144-period SMA.
  3. The 60-bar range, as a percentage of the lowest close, is above 1%.

Entry rules, short

  2. The 16-period SMA is below the 144-period SMA.
  3. The 60-bar range, as a percentage of the lowest close, is above 1%.

Exit rules

  2. An opposite signal reverses the position.

Test conditions

PeriodUp to 2026-10-12
InstrumentGold, 1 hour
Spread0.6 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
GoldBest run1 hourn/a 66437.352,045 EUR-1,603
Nikkei 225Dailyn/a 7437.8442,995 USD-18,101
Silver2 minn/a 52339.7734,925 USD-15,302
Nasdaq 100Dailyn/a 5642.8618,604 EUR-5,543
US Crude Oil4 hoursn/a 12941.0914,455 EUR-9,926
Dow Jones30 minn/a 31940.7512,765 EUR-12,426
Dow JonesDailyn/a 8435.7112,577 EUR-9,941
US Crude OilDailyn/a 7528.0010,435 EUR-8,007
Nasdaq 1004 hoursn/a 19238.548,206 EUR-5,898
DAX 403 minn/a 7247.224,961 EUR-3,937
GoldDailyn/a 6839.714,320 EUR-1,108
S&P 500Dailyn/a 7740.263,920 EUR-1,279
Gold4 hoursn/a 19539.493,211 EUR-1,063
S&P 5004 hoursn/a 20339.412,318 EUR-1,427
Gold15 minn/a 40440.101,639 EUR-1,205
FTSE 1003 minn/a 2630.771,545 EUR-989
S&P 5003 minn/a 5341.511,028 EUR-1,000

Charts

Results by run

Top 10 of 17 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// SMA Cross With Volatility Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

mashort = Average[16](close)
mamid = Average[48](close)
malong = Average[144](close)
hc = highest[60](close)
lc = lowest[60](close)
vola = 100 * (hc - lc) / lc

13 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
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 1,603 EUR is large next to the net profit of 2,045 EUR.

Questions

About this strategy

Can I run SMA Cross With Volatility 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 17 market and timeframe combinations. The best run by trade count was Gold, 1 hour, with 664 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,603 EUR at the tested position size, against a net result of 2,045 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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CCI Breakout

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ADX Filtered EMA Cross

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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