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Strategies / Momentum / Stochastic Reversal With Volume Filter

Stochastic Reversal With Volume Filter

The strategy buys at market when the stochastic reversal state is bullish and volume is below its 40-bar average, and sells short when both are bearish with volume above that average. Positions close when the two states disagree.

MomentumLong & shortSwingDAX 40Daily
n/aProfit factor
7,057Net profit EUR
48.95%Win rate
621Trades
-3,267Max drawdown
11.36Avg trade

Best run of 2. DAX 40, Daily, spread 3, from run sweeps:2026-10-11-DAX40-D-opt.tsv:125.

Entry rules, long

  2. The volume state turns bullish when volume is below its 40-bar average and bearish when above it.
  3. A long opens at market when both states are bullish and no long position is open.

Entry rules, short

  2. The volume state turns bearish when volume is above its 40-bar average and bullish when below it.
  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
InstrumentDAX 40, Daily
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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best runDailyn/a 62148.957,057 EUR-3,267
S&P 500Dailyn/a 58248.111,760 EUR-1,068

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Stochastic Reversal With Volume 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

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

50 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

StochasticSMAVolume
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 Volume 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 DAX 40, Daily, with 621 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,267 EUR at the tested position size, against a net result of 7,057 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Heikin Ashi Color Flip

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ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

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