Strategies / Mean reversion / Bollinger Band Dip RSI Filter

Bollinger Band Dip RSI Filter

The system buys when the close falls below the lower Bollinger Band (20 periods, 1 standard deviation) while RSI(14) is above 42. It exits when the close is above the upper band and RSI(14) is above 70, and it trades long only.

Mean reversionLong onlySwingDow JonesDaily

5.08Profit factor

49,694Net profit EUR

80.56%Win rate

108Trades

-11,142Max drawdown

460Avg trade

Best run of 41. Dow Jones, Daily, spread 3, from run pf:2026-10-12-DOW30-D.tsv:10.

Entry rules, long

RSI(14) is above 42.

Exit rules

The close is above the upper Bollinger Band (SMA 20, 1 standard deviation) and RSI(14) is above 70.

Test conditions

Period	Up to 2026-10-12
Instrument	Dow Jones, Daily
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
Dow JonesBest run	Daily	5.08	108	80.56	49,694 EUR	-11,142
Silver	1 hour	4.61	899	67.74	568,516 USD	-26,052
S&P 500	Daily	4.58	125	83.20	6,651 EUR	-1,238
USD/JPY	4 hours	n/a	264	68.94	385,870 USD	-297,390
USD/JPY	10 min	n/a	1,425	71.86	324,870 USD	-208,270
USD/JPY	15 min	n/a	1,389	70.84	217,790 USD	-192,580
Nikkei 225	4 hours	n/a	215	72.56	52,184 USD	-11,296
Nikkei 225	1 hour	n/a	789	71.86	42,639 USD	-9,926
Nikkei 225	15 min	n/a	1,485	68.89	33,645 USD	-11,691
Nikkei 225	30 min	n/a	1,462	68.26	27,345 USD	-11,033
Nikkei 225	10 min	n/a	1,474	68.45	24,653 USD	-11,273
Dow Jones	4 hours	n/a	95	73.68	23,858 EUR	-11,316
Nasdaq 100	4 hours	n/a	288	76.04	22,879 EUR	-5,741
Nasdaq 100	Daily	n/a	104	83.65	21,248 EUR	-5,558
DAX 40	4 hours	n/a	265	73.58	20,427 EUR	-5,779
Dow Jones	1 hour	n/a	333	70.57	19,096 EUR	-10,722
Dow Jones	30 min	n/a	639	71.67	18,899 EUR	-8,716
Dow Jones	15 min	n/a	1,188	70.45	17,745 EUR	-8,525
DAX 40	Daily	n/a	129	74.42	17,539 EUR	-5,511
Dow Jones	10 min	n/a	1,432	69.90	17,188 EUR	-8,165
Nasdaq 100	1 hour	n/a	1,074	72.25	15,688 EUR	-6,025
DAX 40	15 min	n/a	1,463	69.51	13,343 EUR	-5,436
Nasdaq 100	30 min	n/a	1,534	72.29	13,225 EUR	-4,711
Nasdaq 100	15 min	n/a	1,496	72.66	13,098 EUR	-5,373
DAX 40	10 min	n/a	1,410	70.78	9,973 EUR	-3,184
FTSE 100	Daily	n/a	84	83.33	9,405 EUR	-3,126
DAX 40	1 hour	n/a	913	70.87	8,703 EUR	-8,233
DAX 40	30 min	n/a	1,534	69.56	8,337 EUR	-5,671
Nasdaq 100	10 min	n/a	1,441	70.92	8,273 EUR	-4,789
FTSE 100	30 min	n/a	1,439	69.70	5,861 EUR	-2,586
FTSE 100	4 hours	n/a	222	67.57	5,803 EUR	-3,201
Dow Jones	1 min	n/a	1,297	69.24	5,200 EUR	-4,578
FTSE 100	15 min	n/a	1,408	69.32	5,056 EUR	-2,783
S&P 500	4 hours	n/a	275	77.09	5,014 EUR	-1,298
S&P 500	1 hour	n/a	1,076	73.33	4,854 EUR	-1,400
S&P 500	30 min	n/a	1,508	72.81	3,596 EUR	-975
S&P 500	15 min	n/a	1,479	72.68	2,890 EUR	-1,237
S&P 500	10 min	n/a	1,448	71.20	2,710 EUR	-1,327
FTSE 100	10 min	n/a	1,337	67.17	2,320 EUR	-1,702
Gold	4 hours	n/a	278	70.14	1,781 EUR	-1,378
Gold	Daily	n/a	113	65.49	1,438 EUR	-1,035

Charts

Results by run

Top 10 of 41 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

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

DEFPARAM CumulateOrders = false

mid = Average[20](close)
dev = 1 * STD[20](close)
upper = mid + dev
lower = mid - dev
myRsi = RSI[14](close)

10 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

Bollinger BandsRSI

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 Bollinger Band Dip RSI 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 41 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 5.08 over 108 trades.

How large was the drawdown?

The best run had a maximum drawdown of 11,142 EUR at the tested position size, against a net result of 49,694 EUR.

Does it trade long, short or both?

It only takes long trades.

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

RSI Six Bar Time Exit

Also a mean reversion strategy.

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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