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Strategies / Trend / Volume and Volatility Filter

Volume and Volatility Filter

The strategy buys 1 contract when price, momentum, direction and volume filters all line up, including volume above 1.5 times its 20 bar average. It closes when any filter weakens, such as a close at or below 95% of its 50 bar average.

TrendLong onlySwingDAX 404 hours
1.25Profit factor
5,307Net profit EUR
52.39%Win rate
710Trades
-1,148Max drawdown
7.47Avg trade

Best run of 8. DAX 40, 4 hours, spread 3, from run pf:2026-10-12-DAX40-4h.tsv:10.

Entry rules, long

  1. The close is above 0.95 times the 50 period simple moving average.
  2. RSI(14) is above 40 and below 71.
  3. +DI(14) is above -DI(14).
  5. ATR(14) is below its 20 period average.
  6. No position is open, and signals are evaluated only after bar 50.

Exit rules

  2. RSI(14) is below 40, or +DI(14) is below -DI(14).
  3. Volume is below 0.5 times its 20 period average, or ATR(14) is above its 20 period average.

Test conditions

PeriodUp to 2026-10-13
InstrumentDAX 40, 4 hours
Spread3 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best run4 hours1.25 71052.395,307 EUR-1,148
Dow Jones1 hourn/a 66852.406,554 EUR-2,769
SilverDailyn/a 4443.185,456 USD-1,093
Nasdaq 100Dailyn/a 5166.672,190 EUR-1,140
US Crude OilDailyn/a 5257.691,491 EUR-1,480
Nasdaq 1004 hoursn/a 67653.251,462 EUR-1,384
GBP/USD4 hoursn/a 44247.961,165 USD-1,003
S&P 500Dailyn/a 7061.43895 EUR-207

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume and Volatility Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

sma = Average[50](close)
myRsi = RSI[14](close)
dip = DIplus[14](close)
dim = DIminus[14](close)
myAtr = AverageTrueRange[14](close)
atrsma = Average[20](myAtr)
volma = Average[20](volume)

11 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. 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".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

SMARSIDMIVolumeATR
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Volume and Volatility Filter in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 8 market and timeframe combinations. The best run was DAX 40, 4 hours, with a profit factor of 1.25 over 710 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,148 EUR at the tested position size, against a net result of 5,307 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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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.comStatsDocs