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Strategies / Momentum / Time Series Momentum Long Short

Time Series Momentum Long Short

The strategy buys when the close 21 bars ago is above the close 252 bars ago and sells short when it is below. The opposite condition closes the position and opens one in the other direction.

MomentumLong & shortSwingGoldDaily
2.30Profit factor
50,900Net profit EUR
43.23%Win rate
310Trades
-23,902Max drawdown
164Avg trade

Best run of 3. Gold, Daily, spread 0.6, from run pf:2026-10-11-GOLD-D.tsv:18.

Entry rules, long

  1. Buy when the close 21 bars ago is above the close 252 bars ago and no long position is open.

Entry rules, short

  1. Sell short when the close 21 bars ago is below the close 252 bars ago and no short position is open.

Exit rules

  2. A short position is closed when the close 21 bars ago rises above the close 252 bars ago.
  3. An opposite signal closes the trade and reverses it.

Test conditions

PeriodUp to 2026-10-11
InstrumentGold, Daily
Spread0.6 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
GoldBest runDaily2.30 31043.2350,900 EUR-23,902
EUR/USDDaily1.41 27441.247,960 USD-5,381
GBP/USDDaily1.31 39148.347,637 USD-5,279

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Time Series Momentum Long Short
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

24 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.
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Time Series Momentum Long Short 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 3 market and timeframe combinations. The best run was Gold, Daily, with a profit factor of 2.30 over 310 trades.

How large was the drawdown?

The best run had a maximum drawdown of 23,902 EUR at the tested position size, against a net result of 50,900 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Trend Filtered Stochastic RSI Long

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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