Strategies / Mean reversion / CCI Extreme Reversal With Trend Filter

CCI Extreme Reversal With Trend Filter

Buys when CCI(14) crosses back above -100 after a deep oversold run, while price is above its 200 period SMA or EMA. Sells short on the mirrored overbought setup when price is below both averages.

Mean reversionLong & shortSwingS&P 5004 hours

2.08Profit factor

2,154Net profit EUR

67.39%Win rate

230Trades

-298Max drawdown

9.37Avg trade

Best run of 11. S&P 500, 4 hours, spread 1, from run pf:2026-10-04-USA500-4h.tsv:4.

Entry rules, long

The close is at or above the 200 period SMA or the 200 period EMA.
The contiguous run of CCI values below -100 over the three bars before the cross reached -200 or below.

Entry rules, short

The close is below both the 200 period SMA and the 200 period EMA.
The contiguous run of CCI values above 100 over the three bars before the cross reached 200 or above.

Exit rules

A short closes when CCI (14) rises from below -100 to above -100.
Exit signals take priority, and no new entry is opened on that bar.

Test conditions

Period	Up to 2026-10-04
Instrument	S&P 500, 4 hours
Spread	1 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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	4 hours	2.08	230	67.39	2,154 EUR	-298
USD/JPY	4 hours	n/a	219	63.93	174,450 USD	-163,070
Dow Jones	Daily	n/a	73	73.97	11,615 EUR	-3,890
Dow Jones	4 hours	n/a	66	63.64	10,234 EUR	-2,962
DAX 40	Daily	n/a	93	68.82	9,183 EUR	-2,012
GBP/USD	Daily	n/a	79	68.35	8,666 USD	-1,973
Nasdaq 100	4 hours	n/a	212	66.51	6,196 EUR	-2,061
DAX 40	4 hours	n/a	199	62.81	5,471 EUR	-1,747
Nasdaq 100	Daily	n/a	61	70.49	4,072 EUR	-2,292
GBP/USD	4 hours	n/a	250	61.20	2,860 USD	-1,255
S&P 500	Daily	n/a	81	76.54	1,674 EUR	-578

Charts

Results by run

Top 10 of 11 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// CCI Extreme Reversal With Trend Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

myCci = CCI[14](TypicalPrice)
sma = Average[200](close)
ema = ExponentialAverage[200](close)

52 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

CCISMAEMA

Longer historyRe-run on up to 1,000,000 barsS&P 500 · 4 hours · older data -6.68 EUR

S&P 500 had no history beyond the standard run, so both runs used 28,000 bars.

S&P 500 · 4 hours

Bars available	28,000
Net, standard 200,000-bar run	2,154.37 EUR
Net, long run	2,147.69 EUR
Net on the older data alone	-6.68 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 CCI Extreme Reversal With Trend 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 11 market and timeframe combinations. The best run was S&P 500, 4 hours, with a profit factor of 2.08 over 230 trades.

How large was the drawdown?

The best run had a maximum drawdown of 298 EUR at the tested position size, against a net result of 2,154 EUR.

Does it trade long, short or both?

It trades both long and short.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Slow RSI Recovery With Trend Filter

Also a mean reversion strategy.

2.08 PF · 199 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