Storm Short looks for an uptrend that has run far: close above the PEMA (eight chained 50-period EMAs), which itself sits above the 100-period Hull average. It sells the first down close after an up close, if ATR(5) is above 40. Trades use a 2% stop and a 2% target, and skip Mondays, April and October.
Best run of 9. DAX 40, 4 hours, spread 3, from run sweeps:2026-09-23-DAX40-4h-opt.tsv:2.
| Period | Up to 2026-09-23 |
| Instrument | DAX 40, 4 hours |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-24 |
| positionSize Contracts per trade | 1 |
| pemaPeriod EMA length inside the PEMA | 50 |
| hullPeriod Hull moving average length | 100 |
| atrPeriod ATR length for the volatility filter | 5 |
| atrMinimum Only trade when ATR is above this | 40 |
| skipMonthA No trades in April | 4 |
| skipMonthB No trades in October | 10 |
| firstTradeDay Trade from Tuesday | 2 |
| lastTradeDay To Friday | 5 |
| stopLossPct Protective stop, percent of entry price | 2 |
| takeProfitPct Target, percent of entry price | 2 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| DAX 40Best run | 4 hours | n/a | 321 | 53.89 | 5,089 EUR | -4,615 |
| FTSE 100 | Daily | n/a | 115 | 57.39 | 2,066 EUR | -1,127 |
| FTSE 100 | 1 hour | n/a | 77 | 57.14 | 1,153 EUR | -926 |
| FTSE 100 | 15 min | n/a | 19 | 68.42 | 819 EUR | -351 |
| Gold | 10 min | n/a | 2 | 100.00 | 199 EUR | -46.10 |
| S&P 500 | 30 min | n/a | 7 | 71.43 | 178 EUR | -78.70 |
| Gold | 15 min | n/a | 1 | 100.00 | 103 EUR | -15.60 |
| Gold | 5 min | n/a | 1 | 100.00 | 97.90 EUR | -64.20 |
| Gold | 3 min | n/a | 1 | 100.00 | 97.60 EUR | -78.70 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Storm Short PEMA HMA // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Short only // Timeframe tested: 4 hours // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade pemaPeriod = 50 // EMA length inside the PEMA hullPeriod = 100 // Hull moving average length atrPeriod = 5 // ATR length for the volatility filter atrMinimum = 40 // only trade when ATR is above this skipMonthA = 4 // no trades in April skipMonthB = 10 // no trades in October firstTradeDay = 2 // trade from Tuesday lastTradeDay = 5 // to Friday stopLossPct = 2 // protective stop, percent of entry price takeProfitPct = 2 // target, percent of entry price // --- Indicators --- // PEMA: eight chained EMAs combined with binomial weights to cut lag emaOne = ExponentialAverage[pemaPeriod](close) emaTwo = ExponentialAverage[pemaPeriod](emaOne) emaThree = ExponentialAverage[pemaPeriod](emaTwo) emaFour = ExponentialAverage[pemaPeriod](emaThree) emaFive = ExponentialAverage[pemaPeriod](emaFour) emaSix = ExponentialAverage[pemaPeriod](emaFive) emaSeven = ExponentialAverage[pemaPeriod](emaSix) emaEight = ExponentialAverage[pemaPeriod](emaSeven) pemaValue = (8 * emaOne) - (28 * emaTwo) + (56 * emaThree) - (70 * emaFour) + (56 * emaFive) - (28 * emaSix) + (8 * emaSeven) - emaEight hullMA = WeightedAverage[ROUND(SQRT(hullPeriod))](2 * WeightedAverage[ROUND(hullPeriod / 2)](close) - WeightedAverage[hullPeriod](close)) atrValue = AverageTrueRange[atrPeriod](close) tradingWindow = OpenMonth <> skipMonthA AND OpenMonth <> skipMonthB AND OpenDayOfWeek >= firstTradeDay AND OpenDayOfWeek <= lastTradeDay
11 more lines: the entry and exit rules.
Read this first
Questions
Yes, it is fully automated with a fixed 2% stop and target. The rewritten code has not been compile checked yet, so test in demo first.
DAX 40 4 hours made 5,089.30 EUR over 321 trades. FTSE 100 Daily made 2,065.60 EUR, and S&P 500 and Gold produced only a handful of trades.
With 1 contract and a 3 point spread, DAX 40 4 hours had a max drawdown of 4,615.10 EUR.
The ATR(5) filter of 40 needs bars with real range, which the 4 hour DAX 40 chart delivers. On short Gold charts it barely triggered.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
