The books... not free though
The lower band is a 141-bar triangular moving average minus 2.4 times ATR(141). A close crossing back above that band opens a long. It sells at the middle line or on a 3% stop or 3% target.
Best run of 8. FTSE 100, 15 min, spread 2, from run sweeps:2026-09-17-FTSE100-15m-opt.tsv:3.
| Period | Up to 2026-09-17 |
| Instrument | FTSE 100, 15 minutes |
| Spread | 2 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 | 2026-09-17 |
| positionSize Contracts per trade | 1 |
| tmaHalfLength Half length of the triangular average | 141 |
| atrPeriod ATR length for channel width | 141 |
| atrMultiplier Channel width in ATRs | 2.4 |
| stopLossPct Protective stop, percent | 3 |
| takeProfitPct Profit target, percent | 3 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| FTSE 100Best run | 15 min | n/a | 1,484 | 77.29 | 3,189 EUR | -1,261 |
| Nikkei 225 | 15 min | n/a | 1,481 | 74.81 | 14,734 USD | -6,454 |
| Dow Jones | 4 hours | n/a | 90 | 78.89 | 9,366 EUR | -4,362 |
| Dow Jones | 30 min | n/a | 607 | 76.28 | 7,653 EUR | -5,013 |
| Brent Crude | Daily | n/a | 102 | 56.86 | 3,663 EUR | -1,291 |
| DAX 40 | 4 hours | n/a | 300 | 73.33 | 3,578 EUR | -2,460 |
| FTSE 100 | Daily | n/a | 152 | 59.87 | 1,807 EUR | -1,127 |
| S&P 500 | 4 hours | n/a | 306 | 74.84 | 1,190 EUR | -550 |
Charts
The code
// ============================================================ // TMA Channel Long // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long only // Timeframe tested: 15 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false DEFPARAM PreloadBars = 10000 // --- Parameters --- positionSize = 1 // contracts per trade tmaHalfLength = 141 // half length of the triangular moving average atrPeriod = 141 // ATR length for the channel width atrMultiplier = 2.4 // channel width in ATRs stopLossPct = 3 // protective stop, percent takeProfitPct = 3 // profit target, percent // --- Indicators --- // Triangular average built by hand: weights fall linearly with bar age. weightedSum = (tmaHalfLength + 1) * close weightTotal = (tmaHalfLength + 1) weight = tmaHalfLength FOR j = 1 TO tmaHalfLength DO weight = weight - 1 weightedSum = weightedSum + (weight * close[j]) weightTotal = weightTotal + weight NEXT bandOffset = AverageTrueRange[atrPeriod](close) * atrMultiplier midBand = weightedSum / weightTotal lowerBand = midBand - bandOffset
16 more lines: the entry and exit rules.
Setup
Questions
Yes, all rules are automatable. The rewritten code was not compile-checked, so run it in ProBacktest first.
FTSE 100, Nikkei 225, Dow Jones, DAX 40, S&P 500 and Brent Crude, and all 7 listed runs were positive. Nikkei 225 15 minutes made USD 14,734.4.
The FTSE 100 15 minute run had a max drawdown of EUR 1,261.1 against EUR 3,188.5 net profit.
It gave the best recorded run. The long 141-bar settings keep the channel slow even on intraday bars.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
