The strategy buys when the 2 day SMA falls today, was rising 10 days ago, and the close is still above the 7 day SMA. It sells as soon as the 2 day SMA stops falling. A 100 point stop limits each trade.
Best run of 10. Nasdaq 100, Daily, spread 3, from run pf:2026-09-24-NAS100-D.tsv:3.
| Period | Up to 2026-09-25 |
| Instrument | Nasdaq 100, Daily |
| Spread | 3 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 |
| fastPeriod Short SMA length | 2 |
| slowPeriod Filter SMA length | 7 |
| stopLossPoints Protective stop, points | 100 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Nasdaq 100Best run | Daily | 1.41 | 561 | 50.80 | 4,455 EUR | -1,080 |
| S&P 500 | Daily | 1.38 | 770 | 57.66 | 1,353 EUR | -289 |
| Nikkei 225 | Daily | 1.36 | 611 | 39.28 | 13,355 USD | -1,800 |
| USD/JPY | Daily | n/a | 635 | 59.06 | 471,490 JPY | -143,650 |
| USD/JPY | 4 hours | n/a | 1,722 | 64.40 | 262,220 JPY | -95,640 |
| EUR/USD | 3 min | n/a | 7,854 | 32.73 | 78,110 USD | -47,743 |
| EUR/USD | Daily | n/a | 593 | 58.68 | 17,520 USD | -10,935 |
| Dow Jones | Daily | n/a | 721 | 53.54 | 5,296 EUR | -1,525 |
| Brent Crude | Daily | n/a | 261 | 45.98 | 2,076 EUR | -1,828 |
| Gold | Daily | n/a | 653 | 57.27 | 732 EUR | -277 |
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.
// ============================================================ // Two Day Buy and Hold // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long only // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade fastPeriod = 2 // very short SMA that measures the dip slowPeriod = 7 // close must be above this SMA stopLossPoints = 100 // protective stop, in points // --- Indicators --- fastMA = Average[fastPeriod](close) slowMA = Average[slowPeriod](close)
17 more lines: the entry and exit rules.
Read this first
Questions
Yes. It is a long only system with a points stop and an SMA based exit. The rewrite needs a compile check.
Nasdaq 100, S&P 500, Nikkei 225, USD/JPY, EUR/USD, Dow Jones, Brent Crude and Gold, all profitable. S&P 500 Daily made EUR 1,352.51 with a profit factor of 1.38.
The best run had a max drawdown of EUR 1,079.9 on Nasdaq 100 Daily. USD/JPY Daily reached JPY 143,650.
The rule looks at day to day SMA changes and a trend check 10 days back, so it is built around daily swings.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
