Strategies / Trend / Volume State Trend Filter

Volume State Trend Filter

A volume ratio built from 34-bar and 200-bar volume sums sets a long state after a rising volume trigger. It buys while the state holds and the close is above its level 13 bars earlier, and sells when the state ends.

TrendLong onlyIntradayEUR/USD3 min

n/aProfit factor

127,663Net profit USD

28.71%Win rate

3,661Trades

-51,009Max drawdown

34.87Avg trade

Best run of 10. EUR/USD, 3 min, spread 1, from run sweeps:2026-10-11-EURUSD-3m-opt.tsv:8.

Entry rules, long

In the long state, a buy occurs when the close is above the close 13 bars earlier and no long is open.

Exit rules

The long is also sold when the volume ratio crosses above 1.2 with the close below the close 13 bars earlier.

Test conditions

Period	Up to 2026-10-11
Instrument	EUR/USD, 3 minutes
Spread	1 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	2026-10-11

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
EUR/USDBest run	3 min	n/a	3,661	28.71	127,663 USD	-51,009
USD/JPY	Daily	n/a	76	53.95	417,080 USD	-106,750
USD/JPY	1 hour	n/a	1,831	44.89	145,830 USD	-117,430
Nikkei 225	4 hours	n/a	314	44.59	12,074 USD	-9,643
Nasdaq 100	1 hour	n/a	1,516	48.75	9,979 EUR	-3,368
Nikkei 225	Daily	n/a	54	55.56	8,441 USD	-4,695
DAX 40	1 hour	n/a	1,523	50.16	6,832 EUR	-3,035
Gold	Daily	n/a	89	44.94	1,316 EUR	-809
Gold	4 hours	n/a	597	44.72	1,272 EUR	-876
S&P 500	4 hours	n/a	381	46.72	1,055 EUR	-716

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume State Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: 3 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE state = 0

den = summation[200](volume) / (200 / 34)

42 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

Volume

Read this firstKnown weaknesses2 points

No profit factor is available, because only sweep results exist for this strategy.
The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Volume State Trend 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 10 market and timeframe combinations. The best run by trade count was EUR/USD, 3 minutes, with 3,661 trades.

How large was the drawdown?

The best run had a maximum drawdown of 51,009 USD at the tested position size, against a net result of 127,663 USD.

Does it trade long, short or both?

It only takes long trades.

Herd Selling Band Reversal

Uses the same indicator.

1.32 PF · 5,101 trades

Slow MACD Slope

Best run on the same market, EUR/USD.

6.80 PF · 7,305 trades

ADX Filtered EMA Cross

Also a trend strategy.

1.15 PF · 607 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