Strategies / Trend / Trend Filtered Momentum Long

Trend Filtered Momentum Long

Buys when price is above a rising 200 EMA, the 20 bar rate of change exceeds 1% and ADX(14) is above 20. Trades exit at a stop on the lowest low of the last 7 bars or a target at 3 times that risk.

TrendLong onlySwingNasdaq 100Daily

2.29Profit factor

20,279Net profit EUR

29.94%Win rate

157Trades

-3,273Max drawdown

129Avg trade

Best run of 52. Nasdaq 100, Daily, spread 3, from run pf:2026-10-05-NAS100-D.tsv:21.

Entry rules, long

The 200 EMA is higher than it was 10 bars earlier.
The 20 bar rate of change, (close minus the close 20 bars ago) as a percent of that older close, is above 1%.
ADX(14) is above 20.

Exit rules

A target sits 3 times that distance above the entry.

Test conditions

Period	Up to 2026-10-05
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	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	Daily	2.29	157	29.94	20,279 EUR	-3,273
Nikkei 225	Daily	2.12	116	35.34	61,884 USD	-11,188
USD/JPY	Daily	2.04	2,290	34.98	357,970 USD	-5,340
Gold	15 min	1.58	278	33.09	2,581 EUR	-548
S&P 500	30 min	1.57	431	27.61	4,392 EUR	-961
S&P 500	1 hour	1.57	443	28.22	4,327 EUR	-780
Nasdaq 100	4 hours	1.56	303	29.04	14,891 EUR	-3,589
Dow Jones	30 min	1.49	186	33.33	20,267 EUR	-4,709
S&P 500	15 min	1.48	239	29.71	2,919 EUR	-605
DAX 40	30 min	1.41	552	28.62	16,012 EUR	-3,614
Nasdaq 100	15 min	1.38	446	30.04	15,115 EUR	-3,221
Dow Jones	Daily	n/a	145	40.00	32,222 EUR	-9,132
Silver	1 hour	n/a	823	23.94	31,093 USD	-16,413
Nikkei 225	1 hour	n/a	563	30.37	28,895 USD	-8,634
Nikkei 225	30 min	n/a	764	27.09	25,286 USD	-13,792
Nikkei 225	15 min	n/a	438	25.80	25,062 USD	-9,291
Dow Jones	1 hour	n/a	135	31.85	23,056 EUR	-5,824
Silver	3 min	n/a	362	29.56	20,239 USD	-13,643
Nasdaq 100	30 min	n/a	571	26.44	17,875 EUR	-4,476
Nikkei 225	4 hours	n/a	200	27.00	17,789 USD	-17,269
Silver	5 min	n/a	451	28.16	16,648 USD	-13,910
Nasdaq 100	1 hour	n/a	616	25.00	14,310 EUR	-5,670
Dow Jones	15 min	n/a	215	28.84	13,904 EUR	-5,985
DAX 40	1 hour	n/a	550	27.27	12,107 EUR	-4,047
Dow Jones	4 hours	n/a	70	27.14	9,829 EUR	-7,739
Dow Jones	5 min	n/a	46	28.26	7,976 EUR	-4,842
Nasdaq 100	10 min	n/a	297	28.62	7,522 EUR	-3,730
DAX 40	10 min	n/a	147	28.57	6,779 EUR	-3,312
Dow Jones	10 min	n/a	141	29.08	6,755 EUR	-5,698
Nikkei 225	1 min	n/a	38	23.68	6,102 USD	-4,945
Nasdaq 100	5 min	n/a	109	26.61	4,168 EUR	-4,073
Nasdaq 100	3 min	n/a	70	31.43	3,689 EUR	-3,061
S&P 500	Daily	n/a	182	29.12	3,511 EUR	-983
S&P 500	4 hours	n/a	252	26.59	3,367 EUR	-945
DAX 40	3 min	n/a	36	25.00	2,941 EUR	-2,635
DAX 40	5 min	n/a	28	28.57	2,853 EUR	-2,450
DAX 40	1 min	n/a	6	50.00	2,698 EUR	-1,442
DAX 40	2 min	n/a	6	33.33	2,692 EUR	-2,043
Gold	Daily	n/a	134	39.55	2,339 EUR	-1,754
Gold	4 hours	n/a	256	28.91	2,305 EUR	-1,110
Gold	1 hour	n/a	582	29.04	2,162 EUR	-1,129
Gold	10 min	n/a	225	33.78	1,981 EUR	-629
S&P 500	10 min	n/a	170	29.41	1,738 EUR	-670
Nasdaq 100	1 min	n/a	18	33.33	1,728 EUR	-1,291
S&P 500	5 min	n/a	43	34.88	1,486 EUR	-864
FTSE 100	5 min	n/a	13	23.08	1,200 EUR	-604
FTSE 100	3 min	n/a	13	30.77	1,019 EUR	-603
S&P 500	3 min	n/a	27	33.33	682 EUR	-637
S&P 500	2 min	n/a	11	36.36	550 EUR	-421
FTSE 100	1 min	n/a	1	100.00	548 EUR	-258
FTSE 100	2 min	n/a	3	33.33	546 EUR	-256
S&P 500	1 min	n/a	4	75.00	380 EUR	-285

Charts

Results by run

Top 10 of 52 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Trend Filtered Momentum Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ema = ExponentialAverage[200](close)
myRoc = (close - close[20]) / close[20] * 100
swinglow = lowest[7](low)
myAdx = ADX[14]

13 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

EMAADX

Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 271.20 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	20,278.60 EUR
Net, long run	20,549.80 EUR
Net on the older data alone	271.20 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 Filtered Momentum Long 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 52 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 2.29 over 157 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,273 EUR at the tested position size, against a net result of 20,279 EUR.

Does it trade long, short or both?

It only takes long 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