Strategies / Trend / Triple Moving Average Laguerre Filter

Triple Moving Average Laguerre Filter

The strategy buys when the moving averages stack upward, Laguerre RSI is above 80, and ADX is above 20. It sells short on the mirror conditions and exits when the 16 and 48-period EMAs cross.

TrendLong & shortSwingEUR/USDDaily

2.29Profit factor

170,286Net profit USD

49.59%Win rate

121Trades

-34,076Max drawdown

1,407Avg trade

Best run of 17. EUR/USD, Daily, spread 1, from run pf:2026-10-12-EURUSD-D.tsv:6.

Entry rules, long

The Laguerre RSI (gamma 0.8) is above 80.
ADX(14) is above 20.

Entry rules, short

The Laguerre RSI is below 20.
ADX(14) is above 20.

Exit rules

The 16-period EMA crosses over the 48-period EMA, closing the short.

Test conditions

Period	Up to 2026-10-12
Instrument	EUR/USD, Daily
Spread	1 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
EUR/USDBest run	Daily	2.29	121	49.59	170,286 USD	-34,076
USD/JPY	Daily	1.89	129	41.86	1,809,490 USD	-420,550
USD/JPY	10 min	n/a	1,921	34.15	447,790 USD	-175,110
USD/JPY	30 min	n/a	1,926	35.62	443,510 USD	-200,650
EUR/USD	4 hours	n/a	458	36.24	60,243 USD	-31,227
Nikkei 225	Daily	n/a	100	39.00	40,241 USD	-17,696
Silver	30 min	n/a	1,972	30.98	29,846 USD	-22,567
GBP/USD	Daily	n/a	133	40.60	14,707 USD	-7,199
Nasdaq 100	Daily	n/a	98	45.92	11,552 EUR	-3,470
US Crude Oil	Daily	n/a	115	33.04	9,573 EUR	-7,517
Brent Crude	Daily	n/a	50	34.00	7,839 EUR	-5,558
S&P 500	Daily	n/a	131	35.88	2,834 EUR	-1,140
Gold	Daily	n/a	128	46.09	2,638 EUR	-1,111
Gold	30 min	n/a	1,943	33.81	2,141 EUR	-676
Gold	10 min	n/a	1,980	31.16	2,049 EUR	-777
Gold	15 min	n/a	1,963	31.69	1,569 EUR	-823
Gold	5 min	n/a	1,986	30.56	1,474 EUR	-644

Charts

Results by run

Top 10 of 17 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

// ==============================================================
// Triple Moving Average Laguerre Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lzero = 0
ONCE lone = 0
ONCE ltwo = 0
ONCE lthree = 0

emafast = ExponentialAverage[16](close)
emaslow = ExponentialAverage[48](close)
smalong = Average[200](close)

gamma = 0.8
pzero = lzero
pone = lone
ptwo = ltwo
pthree = lthree
lzero = (1 - gamma) * close + gamma * pzero
lone = -gamma * lzero + pzero + gamma * pone
ltwo = -gamma * lone + pone + gamma * ptwo
lthree = -gamma * ltwo + ptwo + gamma * pthree

cu = 0
cd = 0

40 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

ADXEMASMA

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 Triple Moving Average Laguerre 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 17 market and timeframe combinations. The best run was EUR/USD, Daily, with a profit factor of 2.29 over 121 trades.

How large was the drawdown?

The best run had a maximum drawdown of 34,076 USD at the tested position size, against a net result of 170,286 USD.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

SMA Crossover Trend

Also a trend strategy.

2.29 PF · 229 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