Strategies / Mean reversion / Bollinger RSI Exhaustion Reversal

Bollinger RSI Exhaustion Reversal

Buys when close is at or below the lower band (265-bar SMA minus 3.3 standard deviations) and RSI(14) is at or below 23. Shorts at the upper band with RSI(14) at or above 77, or on bearish divergence.

Mean reversionLong & shortIntradayDow Jones2 min

n/aProfit factor

7,507Net profit EUR

64.53%Win rate

358Trades

-3,264Max drawdown

20.97Avg trade

Best run of 37. Dow Jones, 2 min, spread 3, from run sweeps:2026-10-03-DOW30-2m-opt.tsv:5.

Entry rules, long

The close is at or below the lower band, which is the 265-bar average minus 3.3 standard deviations.
RSI(7) is at or below 85.

Entry rules, short

Setup one: the close is at or above the upper band, the 265-bar average plus 3.3 standard deviations.
Setup two: bearish divergence, a new 20-bar closing high while RSI(14) or EMA(12) minus EMA(26) is below its prior 20-bar high.

Exit rules

The short closes when the close is at or below the lower band, or when RSI(14) and RSI(7) are both at or below 23.

Test conditions

Period	Up to 2026-10-03
Instrument	Dow Jones, 2 minutes
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	2026-10-03

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	2 min	n/a	358	64.53	7,507 EUR	-3,264
Silver	1 hour	n/a	190	64.74	1,133,654 USD	-568,760
Dow Jones	Daily	n/a	16	43.75	38,112 EUR	-11,142
Nikkei 225	Daily	n/a	18	55.56	33,739 USD	-27,957
Dow Jones	1 hour	n/a	44	63.64	32,396 EUR	-10,429
DAX 40	Daily	n/a	23	65.22	31,967 EUR	-4,675
Nasdaq 100	Daily	n/a	7	71.43	27,835 EUR	-5,914
Nasdaq 100	1 hour	n/a	113	60.18	24,717 EUR	-6,233
Dow Jones	15 min	n/a	247	62.75	23,067 EUR	-12,414
Nasdaq 100	4 hours	n/a	25	60.00	19,062 EUR	-7,533
Dow Jones	10 min	n/a	323	63.47	19,024 EUR	-11,451
Brent Crude	4 hours	n/a	34	64.71	15,052 EUR	-4,734
DAX 40	30 min	n/a	350	63.43	13,818 EUR	-6,097
Nasdaq 100	30 min	n/a	254	60.63	13,543 EUR	-9,088
DAX 40	1 hour	n/a	171	58.48	13,423 EUR	-5,810
DAX 40	4 hours	n/a	25	64.00	12,577 EUR	-5,779
DAX 40	15 min	n/a	316	64.24	9,821 EUR	-6,164
FTSE 100	30 min	n/a	296	65.54	9,547 EUR	-2,724
S&P 500	Daily	n/a	13	30.77	7,170 EUR	-1,238
DAX 40	5 min	n/a	327	62.39	6,926 EUR	-6,032
FTSE 100	1 hour	n/a	110	65.45	6,856 EUR	-3,326
DAX 40	10 min	n/a	279	57.71	6,811 EUR	-4,785
Dow Jones	1 min	n/a	326	65.64	6,795 EUR	-2,422
Nasdaq 100	5 min	n/a	318	61.95	6,785 EUR	-4,735
Brent Crude	1 min	n/a	323	65.63	5,694 EUR	-2,403
S&P 500	4 hours	n/a	16	62.50	3,849 EUR	-1,537
S&P 500	1 hour	n/a	107	53.27	3,417 EUR	-2,182
DAX 40	1 min	n/a	288	62.50	2,750 EUR	-1,709
S&P 500	5 min	n/a	322	61.18	2,589 EUR	-806
FTSE 100	5 min	n/a	317	64.35	2,583 EUR	-1,550
S&P 500	30 min	n/a	228	56.58	2,542 EUR	-2,341
FTSE 100	3 min	n/a	336	65.18	2,446 EUR	-1,103
FTSE 100	2 min	n/a	318	63.52	1,967 EUR	-963
FTSE 100	1 min	n/a	277	63.54	1,344 EUR	-722
Gold	1 min	n/a	292	65.07	1,223 EUR	-590
S&P 500	2 min	n/a	289	64.36	1,178 EUR	-591
S&P 500	1 min	n/a	261	64.75	1,086 EUR	-450

Charts

Results by run

Top 10 of 37 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Bollinger RSI Exhaustion Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 2 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

basis = Average[265](close)
dev = 3.3 * STD[265](close)
upper = basis + dev
lower = basis - dev
rsimain = RSI[14](close)
rsifast = RSI[7](close)
myMacd = ExponentialAverage[12](close) - ExponentialAverage[26](close)

27 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 BandsSMAStandard DeviationRSIMACD

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 Bollinger RSI Exhaustion Reversal 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 37 market and timeframe combinations. The best run by trade count was Dow Jones, 2 minutes, with 358 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,264 EUR at the tested position size, against a net result of 7,507 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

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Turtle Trade

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ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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

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