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Strategies / Volatility / Squeeze Momentum SMA Filter

Squeeze Momentum SMA Filter

The strategy trades moves out of a squeeze, when Bollinger Bands expand beyond the Keltner Channel, in the direction of a momentum reading and the 200-bar SMA. It exits when momentum stops rising or falling, and it uses a 2 times ATR(14) stop.

VolatilityLong & shortSwingUSD/JPYDaily
8.53Profit factor
274,600Net profit USD
4.66%Win rate
193Trades
-59,540Max drawdown
1,423Avg trade

Best run of 4. USD/JPY, Daily, spread 1, from run pf:2026-10-12-USDJPY-D.tsv:22.

Entry rules, long

  2. The momentum value is above 0 and higher than on the prior bar.
  3. The close is above the 200-bar SMA.

Entry rules, short

  2. The momentum value is not above 0 and is lower than on the prior bar.
  3. The close is below the 200-bar SMA.

Exit rules

  1. A stop loss sits 2 times ATR(14) from the entry price.
  3. A short closes when the momentum value is not above 0 and no longer falling.

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 runDaily8.53 1934.66274,600 USD-59,540
Gold4 hours1.53 50742.211,347 EUR-269
Nikkei 2254 hoursn/a 37044.3216,871 USD-5,599
US Crude Oil4 hoursn/a 34040.002,588 EUR-1,543

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Squeeze Momentum SMA Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE cnt = 0

basis = Average[20](close)
dev = 1.5 * STD[20](close)
upperbb = basis + dev
lowerbb = basis - dev
rangema = Average[20](TR(close))
upperkc = basis + rangema * 1.5
lowerkc = basis - rangema * 1.5

43 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

ATRBollinger BandsLinear RegressionSMAStandard DeviationTrue Range
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Squeeze Momentum SMA 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 was USD/JPY, Daily, with a profit factor of 8.53 over 193 trades.

How large was the drawdown?

The best run had a maximum drawdown of 59,540 USD at the tested position size, against a net result of 274,600 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