Strategies / Mean reversion / Candle Body Sum Intraday

Candle Body Sum: Fading Extreme Body Momentum

The system adds up candle body changes over 978 bars and trades against extremes: it buys when a negative sum makes a new low and sells when a sum above 51 pips makes a new high. Positions only close when the opposite signal flips them.

Mean reversionLong & shortIntradayS&P 50030 min

2.86Profit factor

6,859Net profit EUR

60.48%Win rate

124Trades

-1,368Max drawdown

55.32Avg trade

Best run of 37. S&P 500, 30 min, spread 1, from run pf:2026-09-24-USA500-30m.tsv:3.

Entry rules, long

Members only
The long direction stays until the short condition appears

Entry rules, short

Members only
The short direction stays until the long condition appears

Exit rules

Members only

Test conditions

Period	Up to 2026-09-25
Instrument	S&P 500, 30 minutes
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

Parameters

positionSize Contracts per trade	1
sumPeriod Bars summed	978
upperFilter Sum must exceed this many pips to count as positive	51
lowerFilter Sum must be below minus this many pips to count as negative	0
invertSignal 1 = as tested, -1 flips every signal	1

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	30 min	2.86	124	60.48	6,859 EUR	-1,368
S&P 500	1 hour	1.88	226	58.85	6,349 EUR	-1,457
Gold	Daily	1.77	110	63.64	3,481 EUR	-893
S&P 500	4 hours	1.62	406	57.64	6,775 EUR	-1,337
Silver	1 hour	n/a	1,242	55.56	1,147,598 USD	-570,335
USD/JPY	30 min	n/a	674	54.75	579,880 JPY	-299,590
USD/JPY	4 hours	n/a	2,176	55.70	508,890 JPY	-483,600
USD/JPY	1 hour	n/a	1,548	54.07	449,840 JPY	-431,210
USD/JPY	10 min	n/a	256	53.91	347,360 JPY	-282,470
EUR/USD	10 min	n/a	96	52.08	308,238 USD	-82,119
USD/JPY	15 min	n/a	330	52.73	275,920 JPY	-267,040
EUR/USD	5 min	n/a	96	48.96	220,522 USD	-153,172
EUR/USD	Daily	n/a	2,332	58.58	130,587 USD	-56,759
Dow Jones	Daily	n/a	2,069	60.27	44,774 EUR	-16,838
Silver	15 min	n/a	1,380	55.72	37,932 USD	-29,790
Nasdaq 100	Daily	n/a	1,137	58.66	25,832 EUR	-6,474
US Crude Oil	Daily	n/a	1,994	58.58	23,394 EUR	-12,345
DAX 40	Daily	n/a	1,808	56.53	21,517 EUR	-6,042
Silver	Daily	n/a	623	55.22	21,449 USD	-16,797
GBP/USD	Daily	n/a	2,841	58.08	13,163 USD	-10,446
FTSE 100	Daily	n/a	1,484	57.35	10,604 EUR	-4,572
FTSE 100	1 hour	n/a	1,312	55.03	9,034 EUR	-3,297
S&P 500	Daily	n/a	299	57.53	6,078 EUR	-1,700
S&P 500	15 min	n/a	90	63.33	4,871 EUR	-1,267
Gold	1 hour	n/a	102	56.86	3,958 EUR	-1,769
FTSE 100	10 min	n/a	78	57.69	3,708 EUR	-1,320
Gold	4 hours	n/a	115	58.26	3,586 EUR	-1,649
Gold	30 min	n/a	64	54.69	3,426 EUR	-1,549
Gold	15 min	n/a	76	52.63	3,319 EUR	-1,511
FTSE 100	15 min	n/a	282	52.48	3,034 EUR	-2,986
S&P 500	10 min	n/a	48	52.08	2,560 EUR	-1,692
Gold	10 min	n/a	46	41.30	2,158 EUR	-2,068
Gold	5 min	n/a	38	47.37	2,143 EUR	-2,008
Gold	3 min	n/a	28	46.43	2,116 EUR	-1,489
FTSE 100	5 min	n/a	28	53.57	2,022 EUR	-1,301
S&P 500	5 min	n/a	26	69.23	2,010 EUR	-1,332
FTSE 100	3 min	n/a	30	63.33	1,410 EUR	-1,348

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.

// ============================================================
// Candle Body Sum Intraday
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 30 minutes
// ============================================================

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

// --- Parameters ---
positionSize = 1          // contracts per trade
sumPeriod = 978           // bars summed
upperFilter = 51          // sum must exceed this many pips to count as positive
lowerFilter = 0           // sum must be below minus this many pips to count as negative
invertSignal = 1          // 1 = as tested, -1 flips every signal

// --- Indicators ---
candleBody = close - open
bodyChange = candleBody - candleBody[1]
bodySum = Summation[sumPeriod](bodyChange)

// Last sum reading on each side of the filters, held until the next one
IF bodySum > upperFilter * PipSize THEN
  positiveSum = bodySum
ENDIF
IF bodySum < (0 - lowerFilter) * PipSize THEN
  negativeSum = bodySum
ENDIF

negativeFalling = negativeSum < negativeSum[1]
positiveRising = positiveSum > positiveSum[1]

20 more lines: the entry and exit rules.

Read this first

Known weaknesses

There is no stop loss or target, so a trade stays open until the reverse signal, however far price runs.
Silver 1 hour shows USD 1,147,598.00 profit with a USD 570,335.00 drawdown, and USD/JPY runs have similar swings, so size risk carefully.
Many intraday runs have few trades, such as S&P 500 5 minutes with 26 and Gold 3 minutes with 28.
Most runs only have sweep data with no profit factor recorded.

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 it run in ProOrder?

Yes, it always holds 1 contract long or short and switches on each reverse signal. The rewritten code has not been compile checked.

Where was it tested?

Indices, gold, silver, oil and currency pairs from 3 minutes to daily, and every run was profitable. S&P 500 1 hour had a profit factor of 1.88 and Gold Daily 1.77.

How big was the drawdown at 1 contract?

On S&P 500 30 minutes the maximum drawdown was EUR 1,368.31 against EUR 6,859.16 net profit.

Why a 978-bar window on 30 minute bars?

The long window turns the body sum into a slow gauge of stretched momentum. On 30 minute bars it covers several weeks.

One Notch Long

Best run on the same market, S&P 500.

2.38 PF · 161 trades

Repulse DPO

A similar profit factor.

2.87 PF · 104 trades

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Copy trading on US indices is available to ProRealAlgos members as spots open.

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