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Strategies / Momentum / Volume Surge ATR Drift Long

Volume Surge ATR Drift Long

Buys when volume is more than 1.5 times its 20-bar average, ATR(14) is within one standard deviation of its mean, and a drift measure is rising. The long closes at market when the low touches or passes a trailing line 2 ATR below, which only moves higher.

MomentumLong onlyIntradayNasdaq 10015 min
n/aProfit factor
3,033Net profit EUR
35.94%Win rate
2,649Trades
-2,793Max drawdown
1.14Avg trade

Best run of 17. Nasdaq 100, 15 min, spread 3, from run sweeps:2026-10-10-NAS100-15m-opt.tsv:5.

Entry rules, long

  2. ATR(14) lies within one 14-bar standard deviation either side of its 14-bar average.
  3. The drift measure, a 50-bar average of log returns minus half their variance, is rising.
  4. A long is opened at market when all of the above conditions hold and no long position is open.

Exit rules

  2. The trailing line starts at the low minus 2 ATR(14) when flat, then moves up only while long.

Test conditions

PeriodUp to 2026-10-10
InstrumentNasdaq 100, 15 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best run15 minn/a 2,64935.943,033 EUR-2,793
USD/JPYDailyn/a 4443.18334,630 USD-163,600
USD/JPY4 hoursn/a 34041.76204,090 USD-107,500
Silver4 hoursn/a 54536.5123,236 USD-9,982
Nikkei 2251 hourn/a 1,16639.1917,555 USD-12,680
Nikkei 225Dailyn/a 4645.6513,646 USD-8,237
DAX 401 hourn/a 1,46441.4612,076 EUR-5,051
Nasdaq 1001 hourn/a 1,03544.4410,092 EUR-3,672
Nasdaq 1004 hoursn/a 43840.418,739 EUR-4,592
Dow Jones30 minn/a 1,58836.968,029 EUR-7,089
Brent Crude1 hourn/a 1,29140.056,968 EUR-4,689
US Crude Oil4 hoursn/a 61437.465,604 EUR-5,455
DAX 404 hoursn/a 44741.394,944 EUR-4,560
Brent CrudeDailyn/a 4843.753,759 EUR-2,831
FTSE 1004 hoursn/a 42740.052,222 EUR-1,512
S&P 500Dailyn/a 3865.791,803 EUR-920
S&P 5004 hoursn/a 44040.451,552 EUR-721

Charts

Results by run

Top 10 of 17 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Volume Surge ATR Drift Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE slp = 0

myAtr = AverageTrueRange[14](close)
avgatr = Average[14](myAtr)
stdatr = STD[14](myAtr)
tsldist = AverageTrueRange[14](close) * 2.0

IF NOT LongOnMarket THEN
    slp = low - tsldist
ELSE
    slp = MAX(slp, low - tsldist)
ENDIF

avgvol = Average[20](volume)

18 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

ATRVolumeSMAStandard Deviation
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 2,793 EUR is large next to the net profit of 3,033 EUR.
  • 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 Surge ATR Drift Long 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 17 market and timeframe combinations. The best run by trade count was Nasdaq 100, 15 minutes, with 2,649 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,793 EUR at the tested position size, against a net result of 3,033 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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ATR Momentum

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Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

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