Strategies / Mean reversion / Storm Short PEMA HMA

Storm Short PEMA HMA: Shorting the First Dip in an Extended Rally

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.

Mean reversionShort onlySwingDAX 404 hours

n/aProfit factor

5,089Net profit EUR

53.89%Win rate

321Trades

-4,615Max drawdown

15.85Avg trade

Best run of 9. DAX 40, 4 hours, spread 3, from run sweeps:2026-09-23-DAX40-4h-opt.tsv:2.

Entry rules, short

Close is above the PEMA (eight chained 50-period EMAs)
PEMA is above the 100-period Hull moving average
ATR(5) is above 40
Bar opens Tuesday to Friday and not in April or October

Exit rules

Stop loss at 2% from entry

Test conditions

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

Parameters (11)

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

Markets and timeframes tested

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

Results by run

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

// ============================================================
// 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.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

EMAHull MAATR

Read this firstKnown weaknesses4 points

Several runs rest on almost nothing: Gold on 3, 5 and 15 minutes had 1 trade each, and Gold 10 minutes had 2.
The headline DAX 40 4 hour run had a 4,615.10 EUR drawdown against 5,089.30 EUR of profit.
Short only. It sells into strength, so a strong bull run can produce a string of stop-outs.
Profit factor was not recorded because only sweep data exists.

Questions

About this strategy

Can Storm Short run in ProOrder?

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.

Which markets was it tested on?

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.

What drawdown came with 1 contract?

With 1 contract and a 3 point spread, DAX 40 4 hours had a max drawdown of 4,615.10 EUR.

Why the 4 hour chart?

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.

Monday Dip Buy

Uses the same indicator.

n/a PF · 146 trades

Buy After Price Fall

Best run on the same market, DAX 40.

1.88 PF · 312 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 trades

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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.com Stats Docs