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Strategies / Mean reversion / CCI Oversold Dip Buy

CCI Oversold Dip Buy

Buys when the 12-period CCI on the close falls below -90 and no position is open. Closes the long on the first bar that closes higher than the prior close.

Mean reversionLong onlySwingNasdaq 100Daily
1.77Profit factor
16,384Net profit EUR
54.45%Win rate
944Trades
-3,290Max drawdown
17.36Avg trade

Best run of 3. Nasdaq 100, Daily, spread 3, from run pf:2026-10-11-NAS100-D.tsv:6.

Entry rules, long

  1. CCI(12) of the close is below -90.

Exit rules

  2. No stop loss or profit target is set.

Test conditions

PeriodUp to 2026-10-11
InstrumentNasdaq 100, 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily1.77 94454.4516,384 EUR-3,290
Dow JonesDailyn/a 1,25858.2717,816 EUR-8,044
S&P 500Dailyn/a 1,28650.312,331 EUR-764

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// CCI Oversold Dip Buy
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

myCci = CCI[12](close)

11 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

CCI
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available10,000
Net, standard 200,000-bar run16,383.50 EUR
Net, long run16,383.50 EUR
Net on the older data alone0.00 EUR
Read this firstKnown weaknesses2 points
  • Results include the spread only. Commissions and overnight financing are not included.
  • The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run CCI Oversold Dip Buy 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 3 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 1.77 over 944 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,290 EUR at the tested position size, against a net result of 16,384 EUR.

Does it trade long, short or both?

It only takes long trades.

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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