Strategies / Momentum / Twelve Minus Two Momentum

Twelve Minus Two Momentum

The system compares two past closes, one 28 bars back and one 207 bars back. If the recent one is higher, it buys and holds until that comparison flips. It is long only and sizes each trade from a fixed capital amount.

MomentumLong onlySwingVisaDaily

12.00Profit factor

38,440Net profit USD

61.54%Win rate

52Trades

-8,990Max drawdown

739Avg trade

Best run of 31. Visa, Daily, from run stock2-queue:2026-09-15-Visa.tsv:13.

Entry rules, long

Members only
No position is open

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-15
Instrument	Visa, Daily
Capital per trade	10,000
Costs	Not recorded for this run.
Bars	Daily bars, full available history
Last tested	2026-09-15

Parameters

capitalPerTrade Money committed to each trade	10000
recentLag Bars back to the recent reference close	28
distantLag Bars back to the distant reference close	207

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
VisaBest run	Daily	12.00	52	61.54	38,440 USD	-8,990
Palantir	Daily	111.46	13	76.92	79,699 USD	-50,083
Meta	Daily	13.28	19	52.63	79,285 USD	-16,771
Broadcom	Daily	10.25	62	51.61	75,723 USD	-16,715
Amazon	Daily	9.95	107	57.94	177,764 USD	-94,854
Oracle	Daily	9.77	149	57.72	257,341 USD	-78,792
Tesla	Daily	8.92	67	46.27	207,426 USD	-48,440
Cisco	Daily	8.54	108	45.37	179,574 USD	-45,603
Microsoft	Daily	8.12	114	46.49	169,311 USD	-40,856
Apple	Daily	7.88	91	54.95	175,138 USD	-40,091
Nvidia	Daily	6.78	70	47.14	149,329 USD	-57,284
AbbVie	Daily	6.48	47	68.09	16,154 USD	-6,527
Mastercard	Daily	6.42	59	54.24	51,965 USD	-16,760
Walmart	Daily	6.16	197	52.79	122,002 USD	-20,904
Alphabet	Daily	5.93	34	64.71	14,192 USD	-5,273
Lam Research	Daily	4.14	106	48.11	92,002 USD	-34,505
ExxonMobil	Daily	4.10	201	54.23	77,170 USD	-7,211
Coca-Cola	Daily	3.97	199	49.25	64,236 USD	-12,081
Eli Lilly	Daily	3.90	173	50.87	103,217 USD	-14,390
S&P 500	Daily	3.27	174	55.17	43,109 EUR	-4,902
Johnson & Johnson	Daily	3.23	216	50.46	62,022 USD	-10,144
Berkshire Hathaway	Daily	2.94	104	44.23	27,076 USD	-7,719
Costco	Daily	2.82	140	51.43	47,827 USD	-12,266
Bank of America	Daily	2.45	92	55.43	30,060 USD	-15,712
Applied Materials	Daily	2.33	106	50.00	36,101 USD	-43,779
Chevron	Daily	2.26	153	54.90	25,356 USD	-5,342
Caterpillar	Daily	1.84	231	45.89	41,171 USD	-12,765
AMD	Daily	0.81	92	36.96	-10,026 USD	-41,370
Intel	Daily	0.34	9	11.11	-12,833 USD	-19,500
JPMorgan	Daily	0.20	43	25.58	-10,192 USD	-10,310
Micron	Daily	0.12	8	25.00	-10,992 USD	-15,567

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

The code

ProBuilder, rewritten to house standard

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.

// ============================================================
// Twelve Minus Two Momentum
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
capitalPerTrade = 10000   // money committed to each trade
recentLag = 28            // bars back to the recent reference close
distantLag = 207          // bars back to the distant reference close

// --- Indicators ---
positionSize = capitalPerTrade / close
momentumUp = close[recentLag] > close[distantLag]
momentumDown = close[recentLag] < close[distantLag]

14 more lines: the entry and exit rules.

Read this first

Known weaknesses

The best run on Visa had only 52 trades. Palantir had 13, Intel 9 and Micron 8, which is too few to rely on.
No stop loss. Exits wait for the 28 and 207 bar comparison to flip, so drawdowns can be deep, such as USD 50,082.96 on Palantir.
Four stocks lost money: AMD, Intel, JPMorgan and Micron.
Tested only on large US stocks and the S&P 500, a group that rose strongly over the test period.

How to load it

Copy the code with the copy button above 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.

Questions

About this strategy

Can I run it in ProOrder on stocks?

Yes, it works on Daily bars and places market orders. The code is a rewrite without a compile check, and the stats are from the earlier version.

Which stocks were tested?

A set of large US stocks from Apple to Walmart, plus the S&P 500. Visa made USD 38,439.91 with a profit factor of 12.0, while AMD, Intel, JPMorgan and Micron ended negative.

How much capital does each trade use?

Each trade commits 10000 USD, divided by the close to get the share count. Visa's max drawdown at that size was USD 8,990.42.

Why Daily bars?

The rule looks back 207 bars, which on Daily bars covers most of a trading year. On faster bars the signal would lose that meaning.

Four Percent Dip

Best run on the same market, Visa.

8.77 PF · 68 trades

Long-Term Moving Average Cross

A similar profit factor.

12.31 PF · 61 trades

Repulse DPO

Also a momentum strategy.

2.87 PF · 104 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