Two moving averages of RSI(14) drive this system, a 6 period and a 14 period. It does the opposite of the usual signal: it buys when the fast average crosses below the slow one and sells short on the cross above. It is always in the market after the first trade.
Best run of 3. Nasdaq 100, 4 hours, spread 3, from run sweeps:2026-09-22-NAS100-4h-opt.tsv:5.
| Period | Up to 2026-09-22 |
| Instrument | Nasdaq 100, 4 hours |
| Spread | 3 points |
| Contracts | 1 |
| 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 | 2026-09-22 |
| positionSize Contracts per trade | 1 |
| rsiPeriod RSI length | 14 |
| fastPeriod Fast SMA of the RSI | 6 |
| slowPeriod Slow SMA of the RSI | 14 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| Nasdaq 100Best run | 4 hours | n/a | 2,906 | 58.02 | 10,208 EUR | -6,493 |
| DAX 40 | 4 hours | n/a | 2,859 | 61.00 | 8,542 EUR | -8,350 |
| Nasdaq 100 | Daily | n/a | 1,063 | 57.76 | 7,840 EUR | -7,665 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Inverted RSI Cross // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: 4 hours // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade rsiPeriod = 14 // RSI length fastPeriod = 6 // fast SMA of the RSI slowPeriod = 14 // slow SMA of the RSI // --- Indicators --- fastRsiMA = Average[fastPeriod](RSI[rsiPeriod](close)) slowRsiMA = Average[slowPeriod](RSI[rsiPeriod](close))
22 more lines: the entry and exit rules.
Read this first
Questions
Yes. It is a stop and reverse system, so once started it always holds a position.
Nasdaq 100 4 hours was best with 10,207.5 EUR. DAX 40 4 hours and Nasdaq 100 Daily were also positive at 8,541.8 and 7,840.3 EUR.
On Nasdaq 100 4 hours the worst drawdown was 6,493.2 EUR at 1 contract. With no stop in the code, that figure could be exceeded live.
It gave the best sweep result. The daily chart made less and traded 1063 times over its test.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
