The angle of a 10-period EMA over 15 bars must reach 45 or more for a long, or -37 or less for a short. A 20 EMA slope must also confirm against its signal line. Exits use percent targets, an ATR trailing stop and a time stop on losing trades.
Best run of 15. US Crude Oil, Daily, spread 3, from run pf:2026-09-15-CRUDE-D.tsv:2.
| Period | Up to 2026-09-15 |
| Instrument | US Crude Oil, 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 | 2026-09-16 |
| positionSize Contracts per long trade | 1 |
| shortSizeMultiplier Shorts trade this multiple of positionSize | 2 |
| anglePeriod EMA length for the angle | 10 |
| angleLookback Bars the angle is measured over | 15 |
| buyAngle Minimum angle for a long | 45 |
| sellAngle Maximum angle for a short | -37 |
| slopePeriod EMA length for the slope | 20 |
| slopeLookback Bars the slope is measured over | 35 |
| slopeLag Extra length for the slope's signal line | 5 |
| slopeSellFloor Shorts only while the slope is above this | -1 |
| longTargetPct Long profit target, percent | 4.25 |
| shortTargetPct Short profit target, percent | 1.25 |
| useTrailingStop 1 turns the trailing stop on | 1 |
| trailAtrPeriod ATR length for the trail distance | 25 |
| trailLongFactor Trail distance multiple for longs | 7.5 |
| trailShortFactor Trail distance multiple for shorts | 4 |
| atrPriceDivisor Price scaling inside the ATR input, as published | 10 |
| atrScaleDivisor Final ATR scaling, as published | 1000 |
| minStopPoints Minimum trail distance | 0 |
| maxBarsLong Close a losing long after this many bars | 950 |
| maxBarsShort Close a losing short after this many bars | 650 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| US Crude OilBest run | Daily | 1.76 | 268 | 87.31 | 8,907 EUR | -4,158 |
| Silver | Daily | 1.62 | 205 | 81.46 | 10,550 USD | -4,229 |
| FTSE 100 | 4 hours | 1.34 | 374 | 80.75 | 5,627 EUR | -3,421 |
| DAX 40 | 4 hours | 1.33 | 398 | 80.90 | 11,668 EUR | -7,541 |
| Dow Jones | 1 hour | 1.29 | 460 | 65.43 | 24,708 EUR | -8,304 |
| Nikkei 225 | 4 hours | 1.19 | 331 | 83.08 | 14,346 USD | -12,547 |
| US Crude Oil | 30 min | 1.18 | 2,109 | 73.21 | 16,844 EUR | -4,602 |
| Nikkei 225 | 1 hour | 1.16 | 1,218 | 70.28 | 28,930 USD | -18,706 |
| S&P 500 | 5 min | 1.16 | 304 | 60.86 | 1,277 EUR | -921 |
| DAX 40 | 30 min | 1.14 | 1,997 | 60.39 | 16,845 EUR | -5,328 |
| Nikkei 225 | 30 min | 1.12 | 2,186 | 61.02 | 32,383 USD | -23,899 |
| Nasdaq 100 | 30 min | 1.11 | 1,417 | 65.07 | 10,901 EUR | -7,938 |
| Brent Crude | 30 min | 1.11 | 1,550 | 72.32 | 8,152 EUR | -6,335 |
| DAX 40 | 1 hour | 1.10 | 1,387 | 68.20 | 10,393 EUR | -9,180 |
| S&P 500 | 1 min | n/a | 53 | 52.83 | 569 EUR | -494 |
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.
// ============================================================ // Vectorial Slope // ProRealAlgos Strategy Library | prorealalgos.com // Type: Momentum // Direction: Long & short // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false DEFPARAM PreloadBars = 1000 // --- Parameters --- positionSize = 1 // contracts per long trade shortSizeMultiplier = 2 // shorts trade twice the long size anglePeriod = 10 // EMA used for the angle angleLookback = 15 // bars the angle is measured over buyAngle = 45 // minimum angle for a long sellAngle = -37 // maximum angle for a short slopePeriod = 20 // EMA used for the slope slopeLookback = 35 // bars the slope is measured over slopeLag = 5 // extra length for the slope's signal line slopeSellFloor = -1 // shorts only while the slope is above this longTargetPct = 4.25 // long profit target, percent shortTargetPct = 1.25 // short profit target, percent useTrailingStop = 1 // 1 = trailing stop on trailAtrPeriod = 25 // ATR length for the trail distance trailLongFactor = 7.5 // trail distance multiple for longs trailShortFactor = 4 // trail distance multiple for shorts atrPriceDivisor = 10 // price scaling inside the ATR input, as published atrScaleDivisor = 1000 // final scaling of the ATR, as published minStopPoints = 0 // minimum trail distance maxBarsLong = 950 // close a losing long after this many bars maxBarsShort = 650 // close a losing short after this many bars // --- Indicators --- angleMA = ExponentialAverage[anglePeriod](close) angleSlope = (angleMA - angleMA[angleLookback] * PipSize) / angleLookback angleValue = ATAN(angleSlope) slopeMA = ExponentialAverage[slopePeriod](close) slopeValue = (slopeMA - slopeMA[slopeLookback] * PipSize) / slopeLookback slopeSignal = ExponentialAverage[slopePeriod + slopeLag](slopeValue) atrTrail = AverageTrueRange[trailAtrPeriod]((close / atrPriceDivisor) * PipSize) / atrScaleDivisor trailDistanceLong = round(atrTrail * trailLongFactor) trailDistanceShort = round(atrTrail * trailShortFactor)
63 more lines: the entry and exit rules.
Read this first
Questions
Yes. The rewritten code has not been compile-checked, and the stats come from the pre-rewrite version.
Every row tested was profitable. US Crude Oil Daily had a profit factor of 1.76, Silver Daily 1.62 and DAX 40 4 hours 1.33.
At 1 contract for longs and 2 for shorts, the best run had a max drawdown of EUR 4,158. Nikkei 225 30 minutes reached USD 23,898.70.
Longs need a 45 angle and a 4.25% target, while shorts use -37 and 1.25%. The tested version treats down moves as shorter and sharper.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
