Strategies / Momentum / True Strength Index Thresholds

True Strength Index Thresholds

Buys when the True Strength Index drops below -25 and sells when it rises above 25, a momentum ratio built from double-smoothed exponential averages. Each signal fires once per entry into a zone, and the strategy holds one contract, long only.

MomentumLong onlyIntradayNikkei 22530 min

n/aProfit factor

37,727Net profit USD

66.75%Win rate

758Trades

-9,958Max drawdown

49.77Avg trade

Best run of 38. Nikkei 225, 30 min, spread 10, from run sweeps:2026-10-04-NIKKEI-30m-opt.tsv:26.

Entry rules, long

Exit rules

The True Strength Index rises above 25, signaling once per entry into that zone, and closes the long

Test conditions

Period	Up to 2026-10-04
Instrument	Nikkei 225, 30 minutes
Spread	10 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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nikkei 225Best run	30 min	n/a	758	66.75	37,727 USD	-9,958
Dow Jones	Daily	n/a	54	79.63	31,447 EUR	-8,615
Nikkei 225	4 hours	n/a	100	71.00	31,274 USD	-9,360
Nikkei 225	15 min	n/a	749	64.89	21,938 USD	-11,963
Nikkei 225	10 min	n/a	741	65.45	17,656 USD	-10,314
Dow Jones	30 min	n/a	317	69.09	17,548 EUR	-8,490
Silver	Daily	n/a	50	74.00	17,452 USD	-7,304
Nikkei 225	1 hour	n/a	395	67.34	17,106 USD	-12,318
Nasdaq 100	1 hour	n/a	521	71.40	16,286 EUR	-5,725
Dow Jones	10 min	n/a	747	65.46	16,244 EUR	-5,690
Nasdaq 100	4 hours	n/a	141	73.76	15,943 EUR	-4,549
Nasdaq 100	30 min	n/a	736	68.34	14,860 EUR	-5,305
Dow Jones	4 hours	n/a	49	73.47	13,830 EUR	-10,393
Nikkei 225	5 min	n/a	744	64.78	13,649 USD	-12,634
DAX 40	Daily	n/a	52	71.15	12,108 EUR	-6,074
DAX 40	4 hours	n/a	132	70.45	12,080 EUR	-5,288
Dow Jones	15 min	n/a	607	66.56	11,814 EUR	-8,767
Nasdaq 100	Daily	n/a	35	74.29	7,895 EUR	-4,023
FTSE 100	Daily	n/a	38	86.84	7,280 EUR	-3,190
Nasdaq 100	15 min	n/a	741	64.78	6,645 EUR	-4,264
DAX 40	30 min	n/a	754	65.38	6,567 EUR	-5,637
FTSE 100	1 hour	n/a	438	67.12	5,821 EUR	-2,511
Dow Jones	5 min	n/a	719	67.04	5,414 EUR	-5,173
Dow Jones	1 min	n/a	639	65.10	5,239 EUR	-2,859
S&P 500	30 min	n/a	735	67.76	4,090 EUR	-1,328
S&P 500	4 hours	n/a	141	75.89	3,984 EUR	-1,105
FTSE 100	30 min	n/a	732	67.49	3,909 EUR	-2,880
Dow Jones	2 min	n/a	644	64.13	3,837 EUR	-3,608
FTSE 100	4 hours	n/a	117	74.36	3,784 EUR	-2,452
FTSE 100	10 min	n/a	702	68.52	3,597 EUR	-1,072
S&P 500	1 hour	n/a	518	70.66	3,478 EUR	-1,375
FTSE 100	15 min	n/a	714	67.23	3,173 EUR	-2,551
S&P 500	Daily	n/a	51	76.47	2,653 EUR	-945
FTSE 100	5 min	n/a	733	65.35	2,121 EUR	-1,008
S&P 500	15 min	n/a	724	66.02	1,438 EUR	-1,214
Gold	4 hours	n/a	140	62.14	1,337 EUR	-853
S&P 500	10 min	n/a	726	66.80	1,274 EUR	-1,084
S&P 500	1 min	n/a	607	67.71	708 EUR	-391

Charts

Results by run

Top 10 of 38 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// True Strength Index Thresholds
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE dir = 0

mom = close - close[1]
inner = ExponentialAverage[25](mom)
outer = ExponentialAverage[13](inner)
absinner = ExponentialAverage[25](ABS(mom))
absouter = ExponentialAverage[13](absinner)
longsig = 0
exitsig = 0

22 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

EMA

Read this firstKnown weaknesses2 points

No profit factor is available, because only sweep results exist for this strategy.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run True Strength Index Thresholds 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 38 market and timeframe combinations. The best run by trade count was Nikkei 225, 30 minutes, with 758 trades.

How large was the drawdown?

The best run had a maximum drawdown of 9,958 USD at the tested position size, against a net result of 37,726 USD.

Does it trade long, short or both?

It only takes long trades.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

Rock Climber

Best run on the same market, Nikkei 225.

1.44 PF · 1,644 trades

ATR Momentum

Also a momentum strategy.

n/a PF · 15,021 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

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