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Strategies / Breakout / Volume Spike Direction Trade

Volume Spike Direction Trade

The system trades when 24-bar volume, measured against prior 24-bar blocks, crosses above 0.9 with a rising 11-period EMA. It goes long if the close is above the close 2 bars back, and short otherwise.

BreakoutLong & shortIntradayNasdaq 1005 min
1.39Profit factor
12,967Net profit EUR
53.93%Win rate
725Trades
-1,885Max drawdown
17.89Avg trade

Best run of 10. Nasdaq 100, 5 min, spread 3, from run pf:2026-10-12-NAS100-5m.tsv:2.

Entry rules, long

  1. After bar 1300, relative 24-bar volume crosses above 0.9 while its 11-period EMA rises, and the close is above the close 2 bars back.

Entry rules, short

  1. The same volume trigger opens a short when the close is at or below the close 2 bars back.

Exit rules

  2. No stop loss or target is set.

Test conditions

PeriodUp to 2026-10-12
InstrumentNasdaq 100, 5 minutes
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run5 min1.39 72553.9312,967 EUR-1,885
USD/JPYDailyn/a 1566.67210,030 USD-125,360
USD/JPY4 hoursn/a 20644.17176,860 USD-86,660
EUR/USD4 hoursn/a 25148.2117,452 USD-11,313
Nasdaq 100Dailyn/a 977.785,039 EUR-2,139
Dow JonesDailyn/a 1080.004,645 EUR-3,579
US Crude Oil4 hoursn/a 26647.374,487 EUR-2,222
Brent CrudeDailyn/a 683.332,703 EUR-1,699
Gold15 minn/a 2,12346.301,434 EUR-669
GBP/USDDailyn/a 683.33570 USD-268

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume Spike Direction Trade
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

myB = summation[24](volume)
myC = 0

38 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

EMAVolume
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Volume Spike Direction Trade 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 10 market and timeframe combinations. The best run was Nasdaq 100, 5 minutes, with a profit factor of 1.39 over 725 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,885 EUR at the tested position size, against a net result of 12,967 EUR.

Does it trade long, short or both?

It trades both long and short.

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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.comStatsDocs