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Strategies / Mean reversion / Exhaustion Sweep Reversal Entry

Exhaustion Sweep Reversal Entry

Flags exhaustion bars with RSI(14) extremes, volume above 1.2 times its 20-period average, and a sweep of the prior 20-bar range. Enters after a close breaks the previous bar's high or low in the same direction, within 12 bars of the flag.

Mean reversionLong & shortIntradayDow Jones30 min
n/aProfit factor
13,480Net profit EUR
65.38%Win rate
1,118Trades
-11,189Max drawdown
12.06Avg trade

Best run of 3. Dow Jones, 30 min, spread 3, from run sweeps:2026-10-04-DOW30-30m-opt.tsv:81.

Entry rules, long

  1. A bull exhaustion bar occurred within the last 12 bars.
  2. That bar has RSI(14) below 35 and volume above 1.2 times its 20-period average.
  3. That bar also has a lower low than the prior bar, or a sweep below the prior 20-bar low that closes back above it.
  5. Entries only occur when no position is open.

Entry rules, short

  1. A bear exhaustion bar occurred within the last 12 bars.
  2. That bar has RSI(14) above 65 and volume above 1.2 times its 20-period average.
  3. That bar also has a higher high than the prior bar, or a sweep above the prior 20-bar high that closes back below it.
  5. Entries only occur when no position is open.

Exit rules

  2. A short closes on the next bull exhaustion bar.
  3. No stop loss or profit target is set.

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, 30 minutes
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 tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest run30 minn/a 1,11865.3813,480 EUR-11,189
Dow JonesDailyn/a 3073.3313,765 EUR-8,615
FTSE 100Dailyn/a 5074.006,432 EUR-2,806

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Exhaustion Sweep Reversal Entry
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE lastbull = 0
ONCE lastbear = 0

myRsi = RSI[14](close)
volavg = Average[20](volume)
poolhigh = highest[20](high)[1]
poollow = lowest[20](low)[1]
prevhigh = high[1]
prevlow = low[1]

32 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

RSISMAVolumeDonchian Channel
Read this firstKnown weaknesses2 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 11,189 EUR is large next to the net profit of 13,480 EUR.

Questions

About this strategy

Can I run Exhaustion Sweep Reversal Entry 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 by trade count was Dow Jones, 30 minutes, with 1,118 trades.

How large was the drawdown?

The best run had a maximum drawdown of 11,189 EUR at the tested position size, against a net result of 13,480 EUR.

Does it trade long, short or both?

It trades both long and short.

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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