The idea is to fade failed breakouts. A close under the lowest low of the previous 5 bars in an uptrend (21 EMA above 30 EMA) triggers a buy at the next open, and shorts mirror it. Trades exit when price breaks the opposite 5-bar extreme or hits a 3 x ATR(20) stop.
Best run of 9. S&P 500, Daily, spread 1, from run pf:2026-09-24-USA500-D.tsv:5.
| Period | Up to 2026-09-25 |
| Instrument | S&P 500, Daily |
| Spread | 1 points |
| Contracts | 1 |
| 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 | 2026-09-25 |
| positionSize Contracts per trade | 1 |
| lookbackPeriod Bars for the recent high and low | 5 |
| fastPeriod Fast EMA of the trend filter | 21 |
| slowPeriod Slow EMA of the trend filter | 30 |
| atrPeriod ATR length for the stop | 20 |
| atrMultiplier Stop distance in ATRs | 3 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| S&P 500Best run | Daily | 1.26 | 867 | 53.52 | 2,651 EUR | -758 |
| USD/JPY | Daily | n/a | 706 | 64.16 | 594,850 JPY | -519,470 |
| EUR/USD | Daily | n/a | 676 | 62.72 | 80,084 USD | -25,971 |
| EUR/USD | 4 hours | n/a | 2,371 | 61.83 | 76,581 USD | -26,468 |
| Nikkei 225 | Daily | n/a | 660 | 61.67 | 12,768 USD | -12,607 |
| Brent Crude | Daily | n/a | 288 | 61.81 | 11,720 EUR | -5,440 |
| Dow Jones | Daily | n/a | 791 | 62.83 | 10,574 EUR | -7,567 |
| US Crude Oil | Daily | n/a | 633 | 60.98 | 7,497 EUR | -6,879 |
| Nasdaq 100 | Daily | n/a | 649 | 60.40 | 5,991 EUR | -4,518 |
Charts
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.
// ============================================================ // Turtle Soup // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade lookbackPeriod = 5 // bars for the recent high and low fastPeriod = 21 // fast EMA of the trend filter slowPeriod = 30 // slow EMA of the trend filter atrPeriod = 20 // ATR length for the stop atrMultiplier = 3 // stop distance in ATRs // --- Indicators --- recentHigh = Highest[lookbackPeriod](high)[1] recentLow = Lowest[lookbackPeriod](low)[1] fastMA = ExponentialAverage[fastPeriod](close) slowMA = ExponentialAverage[slowPeriod](close) stopDistance = atrMultiplier * AverageTrueRange[atrPeriod](close)
28 more lines: the entry and exit rules.
Read this first
Questions
Yes. Entries, both exits and the ATR stop are coded, at 1 contract per trade.
S&P 500 daily gave profit factor 1.26 and EUR 2,651.09 over 867 trades. All eight tested runs were profitable, including EUR/USD daily at USD 80,084.00.
S&P 500 daily had a max drawdown of EUR 757.64.
False breaks of a 5-bar range carry more meaning on daily charts. EUR/USD 4 hours worked too, over 2,371 trades.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
