Strategies / Mean reversion / MACD and CCI Dip Long

MACD and CCI Dip Long

The system buys 1 contract when MACD is above its signal line and the 35-period CCI is at or below -100. It exits when MACD falls below its signal and the 62-period CCI reaches 200 or more, with a 30% stop loss.

Mean reversionLong onlyIntradayFTSE 1003 min

n/aProfit factor

1,612Net profit EUR

50.00%Win rate

8Trades

-1,372Max drawdown

201Avg trade

Best run of 66. FTSE 100, 3 min, spread 2, from run sweeps:2026-10-04-FTSE100-3m-opt.tsv:14.

Entry rules, long

The CCI is calculated on the typical price.

Exit rules

A stop loss sits 30% below the entry price.

Test conditions

Period	Up to 2026-10-04
Instrument	FTSE 100, 3 minutes
Spread	2 points
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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
FTSE 100Best run	3 min	n/a	8	50.00	1,612 EUR	-1,372
USD/JPY	30 min	n/a	1	100.00	761,180 USD	-260,990
USD/JPY	1 hour	n/a	1	100.00	516,560 USD	-484,160
USD/JPY	4 hours	n/a	1	100.00	514,900 USD	-483,860
USD/JPY	10 min	n/a	3	100.00	480,620 USD	-246,630
USD/JPY	15 min	n/a	3	66.67	459,580 USD	-245,400
Nikkei 225	1 hour	n/a	1	100.00	60,648 USD	-12,691
Nikkei 225	4 hours	n/a	1	100.00	60,252 USD	-11,811
Nikkei 225	30 min	n/a	2	50.00	59,406 USD	-12,879
Dow Jones	Daily	n/a	2	50.00	49,858 EUR	-11,142
Nikkei 225	15 min	n/a	2	50.00	44,321 USD	-13,076
Nikkei 225	10 min	n/a	1	100.00	40,590 USD	-12,992
Nikkei 225	5 min	n/a	6	83.33	36,254 USD	-13,126
Nikkei 225	Daily	n/a	5	20.00	35,837 USD	-27,706
Nikkei 225	3 min	n/a	6	83.33	31,494 USD	-12,320
Nasdaq 100	Daily	n/a	1	100.00	30,479 EUR	-5,914
Nasdaq 100	4 hours	n/a	3	66.67	29,052 EUR	-5,975
Nasdaq 100	1 hour	n/a	3	66.67	29,003 EUR	-6,233
Nasdaq 100	30 min	n/a	2	100.00	28,776 EUR	-6,277
Nikkei 225	2 min	n/a	3	100.00	27,639 USD	-13,121
Dow Jones	4 hours	n/a	1	100.00	25,637 EUR	-8,850
DAX 40	Daily	n/a	1	100.00	24,543 EUR	-5,862
Nasdaq 100	15 min	n/a	1	100.00	23,346 EUR	-6,288
Dow Jones	15 min	n/a	6	66.67	22,740 EUR	-11,550
Dow Jones	1 hour	n/a	2	50.00	22,103 EUR	-10,920
Dow Jones	30 min	n/a	2	50.00	21,974 EUR	-11,228
DAX 40	30 min	n/a	5	60.00	20,202 EUR	-5,640
DAX 40	4 hours	n/a	2	50.00	19,731 EUR	-5,779
DAX 40	1 hour	n/a	2	50.00	19,396 EUR	-5,810
Dow Jones	10 min	n/a	4	100.00	18,247 EUR	-8,342
Nikkei 225	1 min	n/a	4	75.00	16,483 USD	-12,998
Nasdaq 100	10 min	n/a	2	100.00	16,158 EUR	-6,298
Nasdaq 100	5 min	n/a	6	100.00	14,377 EUR	-5,875
DAX 40	15 min	n/a	4	75.00	13,047 EUR	-5,644
Dow Jones	5 min	n/a	6	66.67	12,536 EUR	-8,439
DAX 40	10 min	n/a	4	75.00	10,152 EUR	-4,474
FTSE 100	Daily	n/a	1	100.00	9,234 EUR	-3,643
Nasdaq 100	3 min	n/a	2	100.00	8,739 EUR	-5,852
DAX 40	5 min	n/a	7	85.71	8,309 EUR	-4,025
S&P 500	Daily	n/a	2	50.00	7,570 EUR	-1,238
Nasdaq 100	2 min	n/a	3	100.00	7,442 EUR	-3,756
S&P 500	1 hour	n/a	2	50.00	6,451 EUR	-1,317
S&P 500	30 min	n/a	2	100.00	6,446 EUR	-1,319
S&P 500	4 hours	n/a	2	50.00	6,427 EUR	-1,298
FTSE 100	1 hour	n/a	1	100.00	6,192 EUR	-3,326
Nasdaq 100	1 min	n/a	3	100.00	5,984 EUR	-3,760
FTSE 100	4 hours	n/a	1	100.00	5,586 EUR	-3,319
FTSE 100	30 min	n/a	1	100.00	5,065 EUR	-3,080
S&P 500	15 min	n/a	1	100.00	4,913 EUR	-1,319
Dow Jones	1 min	n/a	3	66.67	4,906 EUR	-4,359
Gold	Daily	n/a	1	100.00	4,040 EUR	-1,534
Gold	4 hours	n/a	1	100.00	3,541 EUR	-1,586
Gold	1 hour	n/a	1	100.00	3,467 EUR	-1,599
FTSE 100	10 min	n/a	5	80.00	3,291 EUR	-1,320
FTSE 100	15 min	n/a	4	75.00	3,273 EUR	-2,886
S&P 500	10 min	n/a	7	57.14	3,161 EUR	-1,400
S&P 500	5 min	n/a	4	75.00	3,050 EUR	-1,332
Gold	30 min	n/a	1	100.00	2,988 EUR	-1,624
FTSE 100	5 min	n/a	6	66.67	2,877 EUR	-1,320
Gold	15 min	n/a	2	50.00	2,785 EUR	-1,628
Gold	10 min	n/a	1	100.00	2,301 EUR	-1,629
Gold	5 min	n/a	2	100.00	2,156 EUR	-1,631
DAX 40	1 min	n/a	2	100.00	2,148 EUR	-1,782
S&P 500	3 min	n/a	2	100.00	1,556 EUR	-1,338
S&P 500	2 min	n/a	1	100.00	1,227 EUR	-699
S&P 500	1 min	n/a	2	100.00	989 EUR	-396

Charts

Results by run

Top 10 of 66 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// MACD and CCI Dip Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 3 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

myMacd = MACDline[12,26,9](close)
signal = ExponentialAverage[9](myMacd)
ccibuy = CCI[35](typicalprice)
ccisell = CCI[62](typicalprice)

10 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

MACDCCI

Read this firstKnown weaknesses3 points

No profit factor is available, because only sweep results exist for this strategy.
The best run has only 8 trades, which is a small sample to judge it on.
The maximum drawdown of 1,372 EUR is large next to the net profit of 1,612 EUR.

Questions

About this strategy

Can I run MACD and CCI Dip 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 66 market and timeframe combinations. The best run by trade count was FTSE 100, 3 minutes, with 8 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,372 EUR at the tested position size, against a net result of 1,612 EUR.

Does it trade long, short or both?

It only takes long trades.

Slow MACD Slope

Uses the same indicator.

6.80 PF · 7,305 trades

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.com Stats Docs