The setup buys weak Tuesdays. If the close is below the 10 day SMA, the IBS is under 0.2 and ATR is at least as high as 95 days ago, it goes long at Tuesday close. The position is sold at Wednesday close.
Best run of 31. Meta, Daily, from run stock2-queue:2026-09-15-Meta.tsv:10.
| Period | Up to 2026-09-15 |
| Instrument | Meta, Daily |
| Capital per trade | 10,000 |
| Costs | Not recorded for this run. |
| Bars | Daily bars, full available history |
| Last tested | 2026-09-15 |
| capitalPerTrade Money committed to each trade | 10000 |
| tradeDay Entry day (Tuesday) | 2 |
| exitDay Exit day (Wednesday) | 3 |
| filterPeriod Close must be below this SMA | 10 |
| ibsThreshold Maximum IBS at entry | 0.2 |
| atrLookback ATR must be at least its value this many bars ago | 95 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| MetaBest run | Daily | 3.80 | 39 | 71.79 | 5,718 USD | -911 |
| Palantir | Daily | 3.49 | 12 | 58.33 | 1,665 USD | -449 |
| Microsoft | Daily | 3.14 | 147 | 58.50 | 15,880 USD | -1,625 |
| Nvidia | Daily | 2.91 | 102 | 52.94 | 17,049 USD | -2,151 |
| AMD | Daily | 2.79 | 145 | 59.31 | 21,998 USD | -2,386 |
| ExxonMobil | Daily | 2.75 | 206 | 49.03 | 11,391 USD | -657 |
| Visa | Daily | 2.65 | 54 | 66.67 | 4,304 USD | -913 |
| Walmart | Daily | 2.58 | 159 | 45.91 | 13,665 USD | -4,220 |
| Mastercard | Daily | 2.48 | 74 | 60.81 | 5,327 USD | -810 |
| Amazon | Daily | 2.13 | 86 | 58.14 | 7,460 USD | -1,063 |
| S&P 500 | Daily | 2.07 | 146 | 55.48 | 6,921 EUR | -2,698 |
| Alphabet | Daily | 2.02 | 38 | 57.89 | 2,351 USD | -661 |
| Tesla | Daily | 1.98 | 60 | 56.67 | 6,266 USD | -1,811 |
| Chevron | Daily | 1.97 | 110 | 58.18 | 6,284 USD | -1,467 |
| Lam Research | Daily | 1.90 | 139 | 54.68 | 13,114 USD | -2,184 |
| Broadcom | Daily | 1.90 | 66 | 54.55 | 3,088 USD | -1,213 |
| Cisco | Daily | 1.86 | 140 | 55.00 | 9,960 USD | -1,931 |
| Coca-Cola | Daily | 1.79 | 171 | 43.27 | 6,444 USD | -1,379 |
| Bank of America | Daily | 1.78 | 92 | 61.96 | 6,398 USD | -3,829 |
| Caterpillar | Daily | 1.70 | 193 | 50.78 | 8,213 USD | -2,652 |
| JPMorgan | Daily | 1.68 | 190 | 53.68 | 9,635 USD | -3,305 |
| Johnson & Johnson | Daily | 1.67 | 197 | 43.65 | 6,320 USD | -1,885 |
| Costco | Daily | 1.64 | 122 | 59.84 | 5,470 USD | -1,357 |
| Eli Lilly | Daily | 1.56 | 185 | 50.81 | 5,881 USD | -1,327 |
| Berkshire Hathaway | Daily | 1.53 | 87 | 55.17 | 2,550 USD | -1,691 |
| Oracle | Daily | 1.49 | 149 | 48.32 | 7,090 USD | -3,170 |
| Micron | Daily | 1.38 | 160 | 54.37 | 8,708 USD | -5,187 |
| AbbVie | Daily | 1.35 | 37 | 70.27 | 795 USD | -1,171 |
| Applied Materials | Daily | 1.28 | 107 | 42.99 | 3,169 USD | -3,271 |
| Apple | Daily | 1.06 | 129 | 44.19 | 992 USD | -5,365 |
| Intel | Daily | 0.00 | 2 | 0.00 | -10,000 USD | -10,000 |
Charts
Above 1.0 made money, below 1.0 lost money.
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Turnaround Tuesday // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long only // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- capitalPerTrade = 10000 // money committed to each trade tradeDay = 2 // entry day of week (2 = Tuesday) exitDay = 3 // exit day of week (3 = Wednesday) filterPeriod = 10 // close must be below this SMA ibsThreshold = 0.2 // close must sit in the bottom 20% of the bar's range atrLookback = 95 // ATR must be at least its value this many bars ago // --- Indicators --- positionSize = capitalPerTrade / close ibsValue = (close - low) / (high - low) filterMA = Average[filterPeriod](close) atrValue = AverageTrueRange
14 more lines: the entry and exit rules.
Read this first
Questions
Yes. It sizes each trade from 10000 of capital divided by the close and exits automatically on Wednesday.
Nearly every row was profitable. Microsoft (3.14), Nvidia (2.91) and AMD (2.79) stood out, and S&P 500 Daily reached a profit factor of 2.07.
Each trade uses about 10000 of capital. On Meta Daily the worst drawdown was 910.71 USD.
The rules are about days of the week and daily candles, so daily bars are the natural fit.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
