The signal is an 878-bar running sum of bar-to-bar changes in candle body size. As configured it is contrarian: it buys when that sum sets a new low below 0 and shorts when it sets a new high above 41 pips. Every opposite signal reverses the position, so it is always in the market.
Best run of 29. S&P 500, 30 min, spread 1, from run pf:2026-09-24-USA500-30m.tsv:1.
| Period | Up to 2026-09-24 |
| 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 | 2026-09-24 |
| positionSize Contracts per trade | 1 |
| sumPeriod Bars summed for the body-change total | 878 |
| invertSignal 1 trades as written, -1 flips every signal | 1 |
| upperFilterPips Total must exceed this many pips to count as a positive reading | 41 |
| lowerFilterPips Total must be below minus this many pips to count as a negative reading | 0 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| S&P 500Best run | 30 min | 2.03 | 294 | 61.90 | 6,910 EUR | -1,336 |
| S&P 500 | 15 min | 1.87 | 202 | 57.43 | 5,222 EUR | -1,215 |
| USD/JPY | 30 min | n/a | 1,334 | 53.37 | 583,360 JPY | -311,340 |
| USD/JPY | 15 min | n/a | 680 | 53.68 | 390,690 JPY | -260,480 |
| USD/JPY | 10 min | n/a | 470 | 53.40 | 356,070 JPY | -299,470 |
| EUR/USD | 5 min | n/a | 124 | 50.00 | 226,540 USD | -178,822 |
| EUR/USD | 10 min | n/a | 150 | 53.33 | 206,625 USD | -82,297 |
| USD/JPY | 2 min | n/a | 48 | 50.00 | 106,210 JPY | -94,070 |
| EUR/USD | 30 min | n/a | 1,134 | 52.38 | 101,930 USD | -82,289 |
| Nikkei 225 | Daily | n/a | 1,299 | 59.28 | 65,932 USD | -17,149 |
| Silver | Daily | n/a | 849 | 57.83 | 36,872 USD | -16,947 |
| Dow Jones | Daily | n/a | 2,118 | 56.94 | 21,680 EUR | -18,902 |
| DAX 40 | Daily | n/a | 1,968 | 59.10 | 20,493 EUR | -6,430 |
| Nasdaq 100 | Daily | n/a | 1,351 | 58.18 | 17,701 EUR | -11,124 |
| FTSE 100 | 1 hour | n/a | 2,537 | 53.72 | 7,365 EUR | -2,920 |
| US Crude Oil | Daily | n/a | 1,183 | 56.97 | 6,255 EUR | -5,266 |
| S&P 500 | 4 hours | n/a | 566 | 56.89 | 6,141 EUR | -1,923 |
| S&P 500 | Daily | n/a | 444 | 53.83 | 5,968 EUR | -2,189 |
| S&P 500 | 1 hour | n/a | 460 | 54.57 | 5,400 EUR | -1,509 |
| Gold | 30 min | n/a | 150 | 60.00 | 4,171 EUR | -1,172 |
| Gold | 4 hours | n/a | 180 | 55.00 | 3,655 EUR | -2,304 |
| FTSE 100 | 10 min | n/a | 182 | 60.44 | 3,625 EUR | -1,305 |
| Gold | 1 hour | n/a | 176 | 53.41 | 3,384 EUR | -2,098 |
| S&P 500 | 10 min | n/a | 94 | 51.06 | 3,049 EUR | -1,455 |
| Gold | 15 min | n/a | 120 | 52.50 | 2,806 EUR | -1,935 |
| Gold | Daily | n/a | 194 | 57.22 | 2,643 EUR | -1,484 |
| S&P 500 | 5 min | n/a | 44 | 56.82 | 2,266 EUR | -1,426 |
| FTSE 100 | 5 min | n/a | 72 | 56.94 | 2,035 EUR | -1,593 |
| S&P 500 | 2 min | n/a | 12 | 66.67 | 840 EUR | -833 |
Charts
Above 1.0 made money, below 1.0 lost money.
Longer history
The S&P 500 15 minute rerun had 456,000 bars and made EUR 6,660.97 against EUR 5,222.27 in the standard run, so the older data alone added EUR 1,438.70.
| Bars available | 456,000 |
| Net, standard 200,000-bar run | 5,222.27 EUR |
| Net, long run | 6,660.97 EUR |
| Net on the older data alone | 1,438.70 EUR |
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.
// ============================================================ // Candle Body Momentum // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long & short // Timeframe tested: 30 minutes // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade sumPeriod = 878 // bars summed for the body-change total invertSignal = 1 // 1 = trade as written, -1 = flip every signal upperFilterPips = 41 // total must exceed this many pips to count as positive lowerFilterPips = 0 // total must be below minus this many pips to count as negative ONCE lastPositiveSum = 0 ONCE lastNegativeSum = 0 ONCE tradeDirection = 0 // --- Indicators --- bodySize = close - open bodyChange = bodySize - bodySize[1] bodyChangeSum = Summation[sumPeriod](bodyChange) // Remember the latest positive and negative readings; each holds until replaced. IF bodyChangeSum > upperFilterPips * PipSize THEN lastPositiveSum = bodyChangeSum ENDIF IF bodyChangeSum < (0 - lowerFilterPips) * PipSize THEN lastNegativeSum = bodyChangeSum ENDIF negativeSumFalling = lastNegativeSum < lastNegativeSum[1] positiveSumRising = lastPositiveSum > lastPositiveSum[1]
20 more lines: the entry and exit rules.
Read this first
Questions
Yes, but make sure enough history loads for the 878-bar sum. The rewritten code was not compile-checked, so test it in ProBacktest first.
Indices, currency pairs, metals and oil, and every listed run was positive. S&P 500 15 minutes recorded a profit factor of 1.87 over 202 trades.
The S&P 500 30 minute best run had a max drawdown of EUR 1,335.84 against EUR 6,909.96 net profit.
It gave the best recorded run, and it keeps the 878-bar window to a manageable span of history.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
