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Strategies / Mean reversion / Long Term Extreme Reversal

Long Term Extreme Reversal

It buys when the close falls below the lowest close of the previous 750 bars and sells when it rises above the highest close of the previous 250 bars. Only one position is open at a time.

Mean reversionLong onlySwingUS Crude OilDaily
4.86Profit factor
13,643Net profit EUR
71.43%Win rate
7Trades
-8,607Max drawdown
1,949Avg trade

Best run of 2. US Crude Oil, Daily, spread 5, from run pf:2026-10-10-CRUDE-D.tsv:9.

Entry rules, long

Exit rules

  1. The close is above the highest close of the previous 250 bars, closing the long.

Test conditions

PeriodUp to 2026-10-10
InstrumentUS Crude Oil, Daily
Spread5 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 tested2026-10-10

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
US Crude OilBest runDaily4.86 771.4313,643 EUR-8,607
SilverDaily2.42 771.436,260 USD-4,716

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Long Term Extreme Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

18 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

Donchian Channel
Read this firstKnown weaknesses3 points
  • The best run has only 7 trades, which is a small sample to judge it on.
  • The maximum drawdown of 8,607 EUR is large next to the net profit of 13,643 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 Long Term Extreme Reversal 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 2 market and timeframe combinations. The best run was US Crude Oil, Daily, with a profit factor of 4.86 over 7 trades.

How large was the drawdown?

The best run had a maximum drawdown of 8,607 EUR at the tested position size, against a net result of 13,643 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Turtle Trade

Uses the same indicator.

2.42 PF · 6,324 trades

Short Term RSI Pullback Long Short

Best run on the same market, US Crude Oil.

1.33 PF · 493 trades

RSI Falling Streak Reversion

Also a mean reversion strategy.

4.80 PF · 118 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