Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos
Strategies / Mean reversion / Band Ratio Dip With RSI Exit

Band Ratio Dip With RSI Exit

The strategy buys when the %B value of Bollinger Bands (20 bars, 20 standard deviations) sits between 0.448 and 0.456, more than 7 and less than 57 bars after a local low setup. It sells when RSI(5) rises above 70.

Mean reversionLong onlySwingDow JonesDaily
2.87Profit factor
20,208Net profit EUR
72.79%Win rate
136Trades
-3,010Max drawdown
149Avg trade

Best run of 36. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:5.

Entry rules, long

  1. A setup needs the close 3 bars ago to be lower than the closes 6, 5, 4, 2, 1 and 0 bars ago.
  2. That bar also needs band width above 15% and %B below 0.45.

Exit rules

  1. The position is sold at market when RSI(5) rises above 70.

Test conditions

PeriodUp to 2026-10-12
InstrumentDow Jones, Daily
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
Dow JonesBest runDaily2.87 13672.7920,208 EUR-3,010
Nasdaq 1004 hours1.86 26666.9210,044 EUR-2,029
USD/JPY1 hourn/a 13268.18212,070 USD-59,940
USD/JPY4 hoursn/a 17066.47191,940 USD-138,820
EUR/USD4 hoursn/a 17562.8617,310 USD-13,500
Nikkei 2254 hoursn/a 20769.5716,147 USD-7,333
Nikkei 2251 hourn/a 43669.2715,827 USD-7,807
SilverDailyn/a 11767.5215,108 USD-6,320
Dow Jones4 hoursn/a 7974.6811,403 EUR-6,784
Nikkei 22530 minn/a 47266.9510,926 USD-8,424
USD/JPY5 minn/a 475.0010,590 USD-8,760
USD/JPY2 minn/a 1100.009,820 USD-3,070
EUR/USD1 hourn/a 12167.779,382 USD-7,985
Nasdaq 100Dailyn/a 9473.408,107 EUR-2,721
Dow Jones15 minn/a 13869.577,798 EUR-4,724
DAX 404 hoursn/a 25868.607,188 EUR-3,243
FTSE 100Dailyn/a 11375.226,430 EUR-2,643
DAX 40Dailyn/a 14565.526,322 EUR-5,365
Nasdaq 1001 hourn/a 53564.495,541 EUR-3,655
Nasdaq 10015 minn/a 28163.354,842 EUR-1,539
Brent Crude10 minn/a 49667.744,645 EUR-1,545
EUR/USD30 minn/a 1872.224,219 USD-2,396
US Crude Oil10 minn/a 54964.302,869 EUR-2,630
FTSE 1004 hoursn/a 22268.472,844 EUR-2,816
Dow Jones10 minn/a 5976.272,459 EUR-2,326
FTSE 1001 hourn/a 31566.981,934 EUR-1,351
S&P 5004 hoursn/a 21068.571,842 EUR-799
S&P 500Dailyn/a 13974.101,584 EUR-1,040
S&P 50030 minn/a 32368.11954 EUR-615
EUR/USD15 minn/a 666.67880 USD-349
S&P 5001 hourn/a 38564.16716 EUR-622
Gold4 hoursn/a 24365.84671 EUR-647
S&P 50010 minn/a 6465.62629 EUR-290
EUR/USD5 minn/a 2100.00474 USD-55.00
GBP/USD15 minn/a 977.78278 USD-98.00
Dow Jones2 minn/a 2100.00119 EUR-46.00

Charts

Results by run

Top 10 of 36 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Band Ratio Dip With RSI Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE since = -1
ONCE bbr = 0.5

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

22 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
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · 4 hours · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 28,000 bars.

Nasdaq 100 · 4 hours

Bars available28,000
Net, standard 200,000-bar run10,044.00 EUR
Net, long run10,044.00 EUR
Net on the older data alone0.00 EUR
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Band Ratio Dip With RSI Exit 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 36 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 2.87 over 136 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,010 EUR at the tested position size, against a net result of 20,208 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

Strategies like this one

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

Oversold Bollinger Band RSI Reversal

Also a mean reversion strategy.

2.87 PF · 118 trades

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