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Strategies / Mean reversion / EMA Deviation Oversold Long

EMA Deviation Oversold Long

The strategy buys when the gap between price and its 200-period EMA falls below negative 1.7 standard deviations of that gap over 200 periods. It closes the long when the gap crosses zero.

Mean reversionLong onlyIntradayFTSE 1005 min
n/aProfit factor
1,191Net profit EUR
73.68%Win rate
684Trades
-1,151Max drawdown
1.74Avg trade

Best run of 30. FTSE 100, 5 min, spread 2, from run sweeps:2026-10-11-FTSE100-5m-opt.tsv:9.

Entry rules, long

  2. When no position is open, one contract is bought at market.

Exit rules

  1. An open long is sold at market when the gap to the 200-period EMA crosses zero in either direction.

Test conditions

PeriodUp to 2026-10-11
InstrumentFTSE 100, 5 minutes
Spread2 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
FTSE 100Best run5 minn/a 68473.681,191 EUR-1,151
Nikkei 2254 hoursn/a 7270.8320,747 USD-8,226
Nikkei 22515 minn/a 58472.0918,950 USD-9,551
Nikkei 2251 hourn/a 25971.0417,673 USD-9,280
Dow JonesDailyn/a 3180.6516,897 EUR-8,615
Nasdaq 1001 hourn/a 34873.2813,002 EUR-4,049
Dow Jones30 minn/a 24975.9011,823 EUR-7,643
Nikkei 22510 minn/a 57968.3911,317 USD-9,981
Nasdaq 10030 minn/a 56369.4510,243 EUR-4,728
EUR/USD5 minn/a 67468.849,276 USD-3,994
Dow Jones15 minn/a 50071.609,275 EUR-6,739
Dow Jones4 hoursn/a 2777.788,554 EUR-6,234
Nasdaq 1004 hoursn/a 8280.497,570 EUR-4,850
FTSE 1004 hoursn/a 10983.497,218 EUR-2,438
Nasdaq 10015 minn/a 57370.686,408 EUR-5,428
DAX 4015 minn/a 59672.826,368 EUR-3,674
Nasdaq 100Dailyn/a 2286.366,154 EUR-3,611
DAX 4030 minn/a 60174.046,146 EUR-4,933
SilverDailyn/a 3366.675,971 USD-4,709
FTSE 10015 minn/a 67275.603,749 EUR-1,869
EUR/USD3 minn/a 66968.313,581 USD-3,412
Dow Jones2 minn/a 68074.263,085 EUR-2,755
Dow Jones1 minn/a 65573.592,798 EUR-2,288
FTSE 10010 minn/a 68175.482,360 EUR-1,017
S&P 5004 hoursn/a 9178.022,295 EUR-1,134
S&P 5001 hourn/a 35675.282,284 EUR-986
S&P 50015 minn/a 59872.742,215 EUR-910
S&P 500Dailyn/a 3378.791,926 EUR-907
S&P 50030 minn/a 57571.481,829 EUR-1,084
S&P 5001 minn/a 67272.47369 EUR-366

Charts

Results by run

Top 10 of 30 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// EMA Deviation Oversold Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 5 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ema = ExponentialAverage[200](close)
myV = close - ema
dev = STD[200](myV)
devlimit = -1 * dev * 1.7

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

EMAStandard Deviation
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 1,151 EUR is large next to the net profit of 1,191 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run EMA Deviation Oversold Long 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 30 market and timeframe combinations. The best run by trade count was FTSE 100, 5 minutes, with 684 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,151 EUR at the tested position size, against a net result of 1,191 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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DAX Survivor

Best run on the same market, FTSE 100.

1.17 PF · 1,514 trades

ATR Band

Also a mean reversion strategy.

10.31 PF · 53 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.comStatsDocs