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Strategies / Mean reversion / Cyclic Smoothed RSI Reversion

Cyclic Smoothed RSI Reversion

The strategy buys when a cyclic smoothed RSI rises back above a lower band calculated from its recent 40-bar range. It closes when the line falls below an upper band or the lower band.

Mean reversionLong onlySwingUSD/JPY4 hours
1.21Profit factor
845,770Net profit USD
46.45%Win rate
1,128Trades
-172,590Max drawdown
750Avg trade

Best run of 11. USD/JPY, 4 hours, spread 1, from run pf:2026-10-12-USDJPY-4h.tsv:3.

Entry rules, long

  2. The lower band is the lowest level where at least 0.1 of the last 40 values fall below it.
  3. A long position opens at market when that crossover happens and no long position is open.

Exit rules

  2. The upper band is the highest level where at least 0.1 of the last 40 values sit at or above it.

Test conditions

PeriodUp to 2026-10-13
InstrumentUSD/JPY, 4 hours
Spread1 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 tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
USD/JPYBest run4 hours1.21 1,12846.45845,770 USD-172,590
Dow JonesDailyn/a 46248.2724,887 EUR-8,800
Silver4 hoursn/a 92843.4322,870 USD-16,525
Nikkei 2254 hoursn/a 79645.7320,181 USD-13,882
Dow Jones1 hourn/a 1,22743.6013,722 EUR-6,482
DAX 404 hoursn/a 96544.979,588 EUR-4,559
Nasdaq 1004 hoursn/a 97544.319,398 EUR-5,133
DAX 40Dailyn/a 46444.406,972 EUR-5,224
FTSE 100Dailyn/a 37349.335,695 EUR-2,570
Gold4 hoursn/a 94045.211,941 EUR-1,139
GoldDailyn/a 42044.521,903 EUR-1,086

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

// ==============================================================
// Cyclic Smoothed RSI Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 4 hours
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE crsi = 0
ONCE db = 0
ONCE ub = 0

73 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

RSIWilder Average
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 Cyclic Smoothed RSI Reversion 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 USD/JPY, 4 hours, with a profit factor of 1.21 over 1,128 trades.

How large was the drawdown?

The best run had a maximum drawdown of 172,590 USD at the tested position size, against a net result of 845,770 USD.

Does it trade long, short or both?

It only takes long trades.

Related

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Keltner Lower Wick Fade

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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.comStatsDocs