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Strategies / Mean reversion / Band and RSI Extreme Fade

Band and RSI Extreme Fade

The system fades extreme moves beyond the Bollinger Bands when RSI confirms the stretch, buying lows and shorting highs. Each trade has a fixed 0.5 percent stop and 1.0 percent target, and no other exit.

Mean reversionLong & shortIntradayDow Jones15 min
n/aProfit factor
8,667Net profit EUR
34.31%Win rate
1,988Trades
-8,160Max drawdown
4.36Avg trade

Best run of 12. Dow Jones, 15 min, spread 3, from run sweeps:2026-10-04-DOW30-15m-opt.tsv:67.

Entry rules, long

  1. After bar 21, the close is below the lower Bollinger Band (20 periods, 2 standard deviations) and RSI (14) is below 30.

Entry rules, short

  1. After bar 21, the close is above the upper Bollinger Band (20 periods, 2 standard deviations) and RSI (14) is above 70.

Exit rules

  2. No other exit is used.

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, 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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run15 minn/a 1,98834.318,667 EUR-8,160
USD/JPY5 minn/a 45435.02148,620 USD-123,300
EUR/USD3 minn/a 15740.7620,127 USD-6,808
Dow Jones2 minn/a 35739.2214,038 EUR-5,873
Dow Jones1 hourn/a 1,04834.359,297 EUR-8,782
Dow Jones3 minn/a 58634.985,648 EUR-5,389
GBP/USD30 minn/a 1,75734.604,056 USD-3,606
Dow JonesDailyn/a 46525.593,794 EUR-1,657
GBP/USD3 minn/a 14540.691,977 USD-599
FTSE 1001 minn/a 17238.371,342 EUR-948
FTSE 100Dailyn/a 36535.891,292 EUR-386
FTSE 1002 minn/a 29436.051,164 EUR-1,010

Charts

Results by run

Top 10 of 12 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Band and RSI Extreme Fade
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 15 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[20](close)
dev = 2.0 * STD[20](close)
upper = basis + dev
lower = basis - dev
myRsi = RSI[14](close)

15 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

Bollinger BandsSMAStandard DeviationRSI
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 8,160 EUR is large next to the net profit of 8,667 EUR.

Questions

About this strategy

Can I run Band and RSI Extreme Fade 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 12 market and timeframe combinations. The best run by trade count was Dow Jones, 15 minutes, with 1,988 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,160 EUR at the tested position size, against a net result of 8,667 EUR.

Does it trade long, short or both?

It trades both long and short.

Related

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Turtle Trade

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2.42 PF · 6,324 trades

ATR Band

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10.31 PF · 53 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

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