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Strategies / Momentum / Volume Filtered Zero Line Reversal

Volume Filtered Zero Line Reversal

Buys when the difference between 11 and 21 period SMAs crosses above 0 while a volume oscillator is positive. Sells short on the mirror cross, with a stop at the 10 bar extreme and a target at 1.5 times that risk.

MomentumLong & shortSwingUS Crude Oil4 hours
n/aProfit factor
8,557Net profit EUR
44.44%Win rate
432Trades
-3,222Max drawdown
19.81Avg trade

Best run of 6. US Crude Oil, 4 hours, spread 3, from run sweeps:2026-10-07-CRUDE-4h-opt.tsv:7.

Entry rules, long

  2. The difference line is above its 10 period SMA signal line.
  3. The volume oscillator, based on 6 and 12 period EMAs of volume, is above 0.

Entry rules, short

  2. The difference line is below its 10 period SMA signal line.
  3. The volume oscillator is above 0.

Exit rules

  2. The stop is the distance from the signal close to the 10 bar lowest low for longs or highest high for shorts, set from the fill.
  3. The target is 1.5 times the stop distance.

Test conditions

PeriodUp to 2026-10-07
InstrumentUS Crude Oil, 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 tested2026-10-07

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
US Crude OilBest run4 hoursn/a 43244.448,557 EUR-3,222
Dow Jones4 hoursn/a 22443.3014,790 EUR-4,653
Nikkei 225Dailyn/a 6940.5814,517 USD-14,342
Nasdaq 100Dailyn/a 6544.6211,227 EUR-5,395
S&P 5004 hoursn/a 33438.621,209 EUR-963
GoldDailyn/a 11843.221,024 EUR-547

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume Filtered Zero Line Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

vshort = ExponentialAverage[6](volume)
vlong = ExponentialAverage[12](volume)

33 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

SMAEMAVolume
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Volume Filtered Zero Line Reversal 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 6 market and timeframe combinations. The best run by trade count was US Crude Oil, 4 hours, with 432 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,222 EUR at the tested position size, against a net result of 8,557 EUR.

Does it trade long, short or both?

It trades both long and short.

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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