Strategies / Momentum / Strength Index Signal Filter

Strength Index Signal Filter

The strategy buys when a double-smoothed momentum index (TSI) is above its 14-period EMA and 5-period RSI is above 50. It closes the long when TSI falls below its signal line and RSI is below 50.

MomentumLong onlySwingDow JonesDaily

1.40Profit factor

26,051Net profit EUR

40.74%Win rate

653Trades

-6,257Max drawdown

39.89Avg trade

Best run of 16. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:14.

Entry rules, long

The 5-period RSI is above 50.
Buys one contract at market when flat, after bar 60.

Exit rules

No stop or target is set.

Test conditions

Period	Up to 2026-10-12
Instrument	Dow Jones, Daily
Spread	3 points
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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	Daily	1.40	653	40.74	26,051 EUR	-6,257
USD/JPY	4 hours	n/a	1,541	39.20	774,660 USD	-212,580
USD/JPY	Daily	n/a	577	36.22	695,300 USD	-613,250
USD/JPY	1 hour	n/a	6,184	34.57	434,130 USD	-314,450
Nikkei 225	4 hours	n/a	1,126	37.92	26,915 USD	-9,738
Nikkei 225	Daily	n/a	510	36.08	25,510 USD	-14,624
Silver	4 hours	n/a	1,372	34.91	19,666 USD	-16,134
DAX 40	4 hours	n/a	1,349	38.10	12,651 EUR	-3,939
DAX 40	Daily	n/a	665	39.10	11,687 EUR	-3,689
Nasdaq 100	4 hours	n/a	1,356	38.94	10,799 EUR	-5,132
DAX 40	1 hour	n/a	4,810	35.47	8,640 EUR	-6,108
Nasdaq 100	Daily	n/a	489	39.67	6,341 EUR	-6,063
GBP/USD	Daily	n/a	607	36.74	6,282 USD	-5,692
Gold	Daily	n/a	595	36.64	2,900 EUR	-1,224
Gold	4 hours	n/a	1,365	36.85	2,732 EUR	-924
S&P 500	Daily	n/a	676	38.76	2,526 EUR	-1,034

Charts

Results by run

Top 10 of 16 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Strength Index Signal Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

pc = close - close[1]
first = ExponentialAverage[25](pc)
num = ExponentialAverage[5](first)
firstabs = ExponentialAverage[25](abs(pc))
den = ExponentialAverage[5](firstabs)

20 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

EMARSI

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 Strength Index Signal 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 16 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 1.40 over 653 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,257 EUR at the tested position size, against a net result of 26,051 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

DEMA Spread Momentum Hold

Also a momentum strategy.

1.41 PF · 826 trades

Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

Copy trading on US indices is available to ProRealAlgos members as spots open.

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