Strategies / Mean reversion / CCI Regression Typical Price Reversal

CCI Regression Typical Price Reversal

Buys when the CCI, measured against a 90 bar least squares regression line, falls to -30 or below. Closes the long when the CCI rises to 150 or above.

Mean reversionLong onlyIntradayS&P 50030 min

1.44Profit factor

5,215Net profit EUR

68.74%Win rate

803Trades

-1,224Max drawdown

6.49Avg trade

Best run of 42. S&P 500, 30 min, spread 1, from run pf:2026-10-04-USA500-30m.tsv:3.

Entry rules, long

Signals are only checked after bar 185.

Exit rules

The 90 bar CCI rises to 150 or above, closing the long.

Test conditions

Period	Up to 2026-10-04
Instrument	S&P 500, 30 minutes
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	30 min	1.44	803	68.74	5,215 EUR	-1,224
USD/JPY	15 min	n/a	715	64.20	199,590 USD	-198,510
Dow Jones	Daily	n/a	37	78.38	47,854 EUR	-11,142
Nikkei 225	4 hours	n/a	89	70.79	42,736 USD	-11,312
Nikkei 225	Daily	n/a	35	60.00	41,788 USD	-31,883
Nikkei 225	10 min	n/a	740	64.05	37,540 USD	-12,120
Nikkei 225	1 hour	n/a	326	63.50	32,119 USD	-13,035
Nikkei 225	30 min	n/a	728	64.97	30,055 USD	-11,230
Nikkei 225	15 min	n/a	694	62.39	27,290 USD	-14,655
Nasdaq 100	Daily	n/a	35	88.57	24,416 EUR	-5,520
DAX 40	Daily	n/a	45	71.11	24,119 EUR	-5,511
Nasdaq 100	1 hour	n/a	426	70.19	22,009 EUR	-7,069
Nasdaq 100	30 min	n/a	782	69.05	21,129 EUR	-6,525
Nasdaq 100	4 hours	n/a	104	76.92	20,862 EUR	-6,070
DAX 40	4 hours	n/a	100	75.00	19,633 EUR	-5,779
Nasdaq 100	15 min	n/a	826	67.07	19,416 EUR	-5,977
Dow Jones	30 min	n/a	325	68.92	19,241 EUR	-10,356
Dow Jones	4 hours	n/a	37	75.68	18,205 EUR	-9,647
Dow Jones	15 min	n/a	716	66.20	15,613 EUR	-10,656
Nasdaq 100	10 min	n/a	868	69.82	14,994 EUR	-4,907
Dow Jones	1 hour	n/a	152	74.34	14,393 EUR	-11,342
DAX 40	1 hour	n/a	422	67.30	13,957 EUR	-5,928
DAX 40	30 min	n/a	801	67.67	13,671 EUR	-5,818
Dow Jones	10 min	n/a	921	66.12	12,441 EUR	-9,731
FTSE 100	Daily	n/a	35	82.86	9,391 EUR	-3,621
DAX 40	15 min	n/a	767	66.36	8,701 EUR	-5,177
DAX 40	10 min	n/a	814	65.72	7,919 EUR	-4,935
Nasdaq 100	5 min	n/a	744	65.19	7,325 EUR	-5,263
S&P 500	Daily	n/a	32	84.38	6,972 EUR	-1,238
S&P 500	4 hours	n/a	99	77.78	5,594 EUR	-1,298
FTSE 100	4 hours	n/a	103	72.82	5,318 EUR	-3,390
FTSE 100	1 hour	n/a	402	65.92	4,895 EUR	-3,564
FTSE 100	15 min	n/a	820	67.56	4,455 EUR	-2,485
S&P 500	1 hour	n/a	420	71.90	4,319 EUR	-1,429
S&P 500	15 min	n/a	797	69.39	3,820 EUR	-1,294
FTSE 100	30 min	n/a	767	66.36	3,551 EUR	-2,807
FTSE 100	10 min	n/a	848	66.04	3,473 EUR	-1,238
Gold	4 hours	n/a	117	64.10	2,385 EUR	-1,445
FTSE 100	5 min	n/a	855	66.43	2,328 EUR	-1,260
S&P 500	10 min	n/a	819	68.86	1,648 EUR	-1,554
S&P 500	5 min	n/a	759	65.61	1,490 EUR	-1,343
Gold	Daily	n/a	58	63.79	1,436 EUR	-1,035

Charts

Results by run

Top 10 of 42 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// CCI Regression Typical Price Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE dir = 0

37 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

CCILinear Regression

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 Regression Typical Price 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 42 market and timeframe combinations. The best run was S&P 500, 30 minutes, with a profit factor of 1.44 over 803 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,224 EUR at the tested position size, against a net result of 5,215 EUR.

Does it trade long, short or both?

It only takes long trades.

CCI Breakout

Uses the same indicator.

1.08 PF · 6,065 trades

CCI Sign With EMA Alignment

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

1.23 PF · 1,253 trades

Smoothed RSI Reversal With Stops

Also a mean reversion strategy.

1.43 PF · 202 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