Strategies / Momentum / Volume Spike MACD Direction Trade

Volume Spike MACD Direction Trade

The system measures volume over 24-bar blocks against the average of past blocks and trades when that ratio crosses above 0.9. Direction comes from the MACD line, and each position has a 2 percent stop loss.

MomentumLong & shortIntradayNasdaq 1005 min

1.35Profit factor

11,824Net profit EUR

54.43%Win rate

722Trades

-2,466Max drawdown

16.38Avg trade

Best run of 9. Nasdaq 100, 5 min, spread 3, from run pf:2026-10-12-NAS100-5m.tsv:1.

Entry rules, long

A long is taken when the MACD line (12, 26) is rising.

Entry rules, short

Exit rules

A position also closes when the signal state flips.
A stop loss is set 2 percent from the fill.

Test conditions

Period	Up to 2026-10-12
Instrument	Nasdaq 100, 5 minutes
Spread	3 points
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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Nasdaq 100Best run	5 min	1.35	722	54.43	11,824 EUR	-2,466
USD/JPY	Daily	n/a	14	57.14	145,590 USD	-82,750
EUR/USD	4 hours	n/a	235	50.21	10,987 USD	-10,944
Nikkei 225	Daily	n/a	18	50.00	6,935 USD	-3,724
Nasdaq 100	10 min	n/a	1,371	51.42	6,645 EUR	-5,129
Nasdaq 100	Daily	n/a	9	55.56	3,275 EUR	-1,956
US Crude Oil	1 hour	n/a	720	44.17	2,814 EUR	-1,862
Brent Crude	4 hours	n/a	203	41.87	1,960 EUR	-1,596
GBP/USD	Daily	n/a	5	80.00	407 USD	-268

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ONCE possig = 0

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

51 more lines: the entry and exit rules.

Setup

How to load it

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

Indicators used

MACDEMAVolume

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 MACD 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 9 market and timeframe combinations. The best run was Nasdaq 100, 5 minutes, with a profit factor of 1.35 over 722 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,466 EUR at the tested position size, against a net result of 11,824 EUR.

Does it trade long, short or both?

It trades both long and short.

Slow MACD Slope

Uses the same indicator.

6.80 PF · 7,305 trades

Volatility Spike Regression Long

Best run on the same market, Nasdaq 100.

1.22 PF · 1,850 trades

18 Bar Momentum Stop Reversal

Also a momentum strategy.

1.35 PF · 1,324 trades

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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.com Stats Docs