Strategies / Mean reversion / Detrended Gaussian Crossover Reversion

Detrended Gaussian Crossover Reversion

The strategy smooths a detrended price oscillator with a weighted moving average and trades its crosses against a lagged copy of itself. It buys when the line crosses above its lag below zero and sells short when it crosses below its lag above zero.

Mean reversionLong & shortSwingUS Crude OilDaily

1.95Profit factor

32,194Net profit EUR

44.12%Win rate

170Trades

-8,017Max drawdown

189Avg trade

Best run of 6. US Crude Oil, Daily, spread 3, from run pf:2026-10-12-CRUDE-D.tsv:4.

Entry rules, long

Entries are only taken after the first 160 bars and when no long position is open.

Entry rules, short

Entries are only taken after the first 160 bars and when no short position is open.

Exit rules

A short is closed when the oscillator crosses over its 26-bar lag or over zero.
An opposite entry signal reverses the trade.

Test conditions

Period	Up to 2026-10-12
Instrument	US Crude Oil, Daily
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	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
US Crude OilBest run	Daily	1.95	170	44.12	32,194 EUR	-8,017
Silver	30 min	n/a	2,944	39.47	39,354 USD	-29,325
Brent Crude	Daily	n/a	69	50.72	32,934 EUR	-5,139
Nikkei 225	Daily	n/a	170	42.94	32,089 USD	-23,151
FTSE 100	4 hours	n/a	454	42.29	3,874 EUR	-2,438
Gold	30 min	n/a	2,909	41.87	2,287 EUR	-755

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Detrended Gaussian Crossover Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ma = ExponentialAverage[52](close)
dpo = close - ma[27]

alma = 0

34 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

EMA

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 Detrended Gaussian Crossover 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 6 market and timeframe combinations. The best run was US Crude Oil, Daily, with a profit factor of 1.95 over 170 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,017 EUR at the tested position size, against a net result of 32,194 EUR.

Does it trade long, short or both?

It trades both long and short.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

Short Term RSI Pullback Long Short

Best run on the same market, US Crude Oil.

1.33 PF · 493 trades

Overnight Dip

Also a mean reversion strategy.

1.95 PF · 219 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