Strategies / Trend / Trend Filter MACD Drop Exit

Trend Filter MACD Drop Exit

The system buys when the close is above a 120-period weighted moving average and the MACD histogram is positive. It sells when the close falls to 0.97 times the higher of the last two closes.

TrendLong onlySwingNasdaq 100Daily

2.82Profit factor

22,426Net profit EUR

54.46%Win rate

112Trades

-4,605Max drawdown

200Avg trade

Best run of 69. Nasdaq 100, Daily, spread 3, from run pf:2026-10-11-NAS100-D.tsv:5.

Entry rules, long

The MACD histogram, using 10 and 20 period EMAs and a 10-period signal, is above zero.

Exit rules

No stop loss or profit target is set.

Test conditions

Period	Up to 2026-10-11
Instrument	Nasdaq 100, 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	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	Daily	2.82	112	54.46	22,426 EUR	-4,605
USD/JPY	30 min	n/a	1	100.00	769,170 USD	-260,990
USD/JPY	4 hours	n/a	4	75.00	549,470 USD	-483,860
USD/JPY	1 hour	n/a	1	100.00	511,220 USD	-484,160
USD/JPY	10 min	n/a	1	100.00	481,870 USD	-246,630
USD/JPY	15 min	n/a	1	100.00	459,230 USD	-245,400
EUR/USD	10 min	n/a	32	37.50	70,051 USD	-54,674
Nikkei 225	Daily	n/a	81	48.15	56,987 USD	-18,522
Nikkei 225	30 min	n/a	13	46.15	53,877 USD	-12,879
Nikkei 225	1 hour	n/a	14	50.00	53,327 USD	-14,317
Nikkei 225	4 hours	n/a	19	57.89	50,457 USD	-11,865
Nikkei 225	15 min	n/a	8	50.00	44,325 USD	-13,076
Dow Jones	Daily	n/a	44	56.82	39,671 EUR	-8,722
Nikkei 225	10 min	n/a	6	83.33	36,934 USD	-13,088
Nikkei 225	5 min	n/a	3	66.67	31,989 USD	-13,126
Nikkei 225	3 min	n/a	2	50.00	29,851 USD	-13,081
Nasdaq 100	1 hour	n/a	19	42.11	28,649 EUR	-5,931
Nasdaq 100	4 hours	n/a	26	61.54	28,101 EUR	-5,748
Nasdaq 100	30 min	n/a	10	60.00	27,040 EUR	-6,545
Dow Jones	4 hours	n/a	4	75.00	26,106 EUR	-11,463
Nikkei 225	2 min	n/a	1	100.00	25,347 USD	-13,121
Silver	10 min	n/a	11	54.55	25,269 USD	-22,186
Nasdaq 100	15 min	n/a	10	60.00	21,731 EUR	-6,462
Dow Jones	30 min	n/a	5	40.00	21,127 EUR	-11,695
Dow Jones	1 hour	n/a	7	42.86	20,717 EUR	-10,640
Dow Jones	15 min	n/a	7	42.86	20,230 EUR	-12,222
DAX 40	4 hours	n/a	23	39.13	19,413 EUR	-4,461
DAX 40	30 min	n/a	8	62.50	18,145 EUR	-5,531
Dow Jones	10 min	n/a	2	100.00	17,038 EUR	-8,868
Nasdaq 100	10 min	n/a	7	71.43	16,810 EUR	-6,629
Nikkei 225	1 min	n/a	1	100.00	16,198 USD	-13,148
DAX 40	1 hour	n/a	20	40.00	16,032 EUR	-6,210
Dow Jones	5 min	n/a	2	50.00	13,856 EUR	-8,817
Nasdaq 100	5 min	n/a	2	50.00	13,619 EUR	-6,056
DAX 40	Daily	n/a	93	47.31	13,090 EUR	-5,885
DAX 40	15 min	n/a	5	40.00	12,544 EUR	-5,308
DAX 40	10 min	n/a	2	100.00	9,937 EUR	-4,474
Nasdaq 100	3 min	n/a	2	50.00	8,585 EUR	-6,101
DAX 40	5 min	n/a	2	100.00	8,089 EUR	-4,941
Nasdaq 100	2 min	n/a	1	100.00	7,164 EUR	-3,756
Nasdaq 100	1 min	n/a	1	100.00	6,885 EUR	-3,760
S&P 500	4 hours	n/a	16	56.25	6,447 EUR	-1,301
S&P 500	30 min	n/a	5	60.00	6,335 EUR	-1,521
Dow Jones	2 min	n/a	1	100.00	6,223 EUR	-5,676
S&P 500	1 hour	n/a	15	40.00	6,013 EUR	-1,616
Dow Jones	1 min	n/a	1	100.00	5,382 EUR	-4,166
S&P 500	Daily	n/a	53	60.38	5,295 EUR	-1,300
FTSE 100	4 hours	n/a	16	43.75	4,795 EUR	-3,880
S&P 500	15 min	n/a	7	57.14	4,679 EUR	-1,448
FTSE 100	30 min	n/a	8	37.50	4,238 EUR	-3,167
FTSE 100	1 hour	n/a	17	47.06	4,045 EUR	-3,346
Gold	1 hour	n/a	6	66.67	3,690 EUR	-1,445
S&P 500	10 min	n/a	3	100.00	3,580 EUR	-1,346
Gold	Daily	n/a	101	53.47	3,560 EUR	-1,393
FTSE 100	10 min	n/a	2	100.00	3,383 EUR	-1,494
FTSE 100	5 min	n/a	1	100.00	3,100 EUR	-1,320
Gold	4 hours	n/a	18	50.00	3,054 EUR	-1,937
S&P 500	5 min	n/a	2	100.00	3,004 EUR	-1,406
FTSE 100	15 min	n/a	6	33.33	2,792 EUR	-2,690
Gold	30 min	n/a	5	60.00	2,538 EUR	-2,063
Gold	15 min	n/a	4	50.00	2,535 EUR	-1,902
Gold	10 min	n/a	1	100.00	2,372 EUR	-1,629
DAX 40	1 min	n/a	1	100.00	2,291 EUR	-1,831
Gold	5 min	n/a	1	100.00	2,205 EUR	-1,631
FTSE 100	3 min	n/a	2	50.00	1,772 EUR	-1,485
S&P 500	3 min	n/a	2	50.00	1,563 EUR	-1,434
FTSE 100	2 min	n/a	1	100.00	1,342 EUR	-1,265
S&P 500	2 min	n/a	1	100.00	1,299 EUR	-699
S&P 500	1 min	n/a	1	100.00	1,213 EUR	-396

Charts

Results by run

Top 10 of 69 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filter MACD Drop Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myMacd = ExponentialAverage[10](close) - ExponentialAverage[20](close)
signal = ExponentialAverage[10](myMacd)
hist = myMacd - signal
wma = WeightedAverage[120](close)
sl = MAX(close * 0.97, close[1] * 0.97)

10 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

WMAMACDEMA

Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available	10,000
Net, standard 200,000-bar run	22,426.10 EUR
Net, long run	22,426.10 EUR
Net on the older data alone	0.00 EUR

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 Trend Filter MACD Drop Exit 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 69 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 2.82 over 112 trades.

How large was the drawdown?

The best run had a maximum drawdown of 4,605 EUR at the tested position size, against a net result of 22,426 EUR.

Does it trade long, short or both?

It only takes long trades.

Slow MACD Slope

Uses the same indicator.

6.80 PF · 7,305 trades

Volatility Spike Regression Long

Best run on the same market, Nasdaq 100.

1.22 PF · 1,850 trades

Double Supertrend Long

Also a trend strategy.

2.81 PF · 104 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