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Strategies / Momentum / Stochastic Reversal With Accumulation Filter

Stochastic Reversal With Accumulation Filter

The strategy buys at market when the stochastic reversal state is bullish and the cumulative accumulation line is above its 14-bar average, and sells short when both are bearish with the line below that average. Positions close when the two states disagree.

MomentumLong & shortSwingUSD/JPYDaily
n/aProfit factor
1,620,650Net profit USD
29.01%Win rate
972Trades
-730,000Max drawdown
1,667Avg trade

Best run of 2. USD/JPY, Daily, spread 1, from run sweeps:2026-10-11-USDJPY-D-opt.tsv:83.

Entry rules, long

  2. The accumulation state turns bullish when the running total is above its 14-bar average and bearish when below.
  3. A long opens at market when both states are bullish and no long position is open.

Entry rules, short

  2. The accumulation state turns bearish when the running total is below its 14-bar average and bullish when above.
  3. A short opens at market when both states are bearish and no short position is open.

Exit rules

  2. An open short closes at market when the two states are no longer both bearish.

Test conditions

PeriodUp to 2026-10-11
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest runDailyn/a 97229.011,620,650 USD-730,000
Nikkei 225Dailyn/a 77534.7129,090 USD-16,122

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Stochastic Reversal With Accumulation Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE posrev = 0
ONCE sincebad = 1000
ONCE postwo = 0
ONCE wad = 0

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

58 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

StochasticSMA
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Stochastic Reversal With Accumulation 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 USD/JPY, Daily, with 972 trades.

How large was the drawdown?

The best run had a maximum drawdown of 730,000 USD at the tested position size, against a net result of 1,620,650 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