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Strategies / Mean reversion / Filtered RSI Two Pullback

Filtered RSI Two Pullback

Buys one contract when RSI(2) is below 10, the close is above the 200-period SMA, and the 4-period SMA of RSI(2) is below 30. Sells when the close rises above the 5-period SMA.

Mean reversionLong onlySwingNasdaq 100Daily
2.70Profit factor
8,694Net profit EUR
67.76%Win rate
245Trades
-1,796Max drawdown
35.49Avg trade

Best run of 11. Nasdaq 100, Daily, spread 3, from run pf:2026-10-12-NAS100-D.tsv:20.

Entry rules, long

  2. The 4-period SMA of RSI(2) is below 30.
  3. Entries are checked only after bar 200, and only when no long is open.

Exit rules

  1. A long is sold at market when the close is above the 5-period SMA.

Test conditions

PeriodUp to 2026-10-12
InstrumentNasdaq 100, Daily
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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily2.70 24567.768,694 EUR-1,796
Dow JonesDaily2.01 31770.9815,047 EUR-3,691
USD/JPY30 minn/a 3,11267.06163,030 USD-85,460
USD/JPY1 hourn/a 2,14165.95155,320 USD-92,350
Nikkei 225Dailyn/a 18070.5629,759 USD-3,517
EUR/USD1 hourn/a 2,61864.8618,329 USD-8,320
Dow Jones4 hoursn/a 21970.782,875 EUR-2,808
Brent Crude4 hoursn/a 26268.702,545 EUR-1,434
FTSE 100Dailyn/a 22570.672,466 EUR-1,099
S&P 500Dailyn/a 31668.042,203 EUR-571
GBP/USD4 hoursn/a 68566.131,777 USD-1,153

Charts

Results by run

Top 10 of 11 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Filtered RSI Two Pullback
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

vrsi = RSI[2](close)
longma = Average[200](close)
shortma = Average[5](close)
mrsi = Average[4](vrsi)

9 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

RSISMA
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 Filtered RSI Two Pullback 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 Nasdaq 100, Daily, with a profit factor of 2.70 over 245 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,796 EUR at the tested position size, against a net result of 8,694 EUR.

Does it trade long, short or both?

It only takes long 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