Strategies / Mean reversion / MACD Crossover Bollinger RSI Filter

MACD Crossover Bollinger RSI Filter

The strategy buys when the MACD line crosses above its 9 period signal line while RSI is below 50 and price is below the 20 period average. It sells when RSI is above 70 and price closes above the upper Bollinger Band.

Mean reversionLong onlyIntradayS&P 50030 min

1.48Profit factor

4,673Net profit EUR

71.61%Win rate

796Trades

-1,024Max drawdown

5.87Avg trade

Best run of 35. S&P 500, 30 min, spread 1, from run pf:2026-10-10-USA500-30m.tsv:1.

Entry rules, long

The 14 period RSI is below 50.
The close is below the 20 period simple moving average, the Bollinger basis.

Exit rules

The 14 period RSI is above 70 and the close is above the upper Bollinger Band (20 periods, 2 standard deviations).

Test conditions

Period	Up to 2026-10-10
Instrument	S&P 500, 30 minutes
Spread	1 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	2026-10-10

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	30 min	1.48	796	71.61	4,673 EUR	-1,024
Nikkei 225	1 hour	n/a	428	71.73	41,468 USD	-10,828
Nikkei 225	10 min	n/a	834	68.94	39,251 USD	-10,270
Nikkei 225	4 hours	n/a	105	72.38	29,223 USD	-8,960
EUR/USD	15 min	n/a	805	64.72	28,577 USD	-15,797
Dow Jones	Daily	n/a	46	86.96	27,574 EUR	-11,142
Nikkei 225	15 min	n/a	822	67.03	23,393 USD	-10,248
Dow Jones	15 min	n/a	658	71.43	20,231 EUR	-9,149
Dow Jones	1 hour	n/a	190	73.68	17,951 EUR	-9,739
Nasdaq 100	30 min	n/a	801	71.04	15,035 EUR	-4,210
Nasdaq 100	Daily	n/a	37	86.49	14,436 EUR	-4,516
DAX 40	Daily	n/a	52	75.00	13,314 EUR	-5,475
Dow Jones	30 min	n/a	344	71.80	12,768 EUR	-8,023
Nikkei 225	30 min	n/a	788	65.23	12,361 USD	-10,219
Nasdaq 100	4 hours	n/a	127	75.59	11,548 EUR	-5,693
Nasdaq 100	15 min	n/a	790	69.49	10,213 EUR	-5,498
DAX 40	4 hours	n/a	121	71.90	9,818 EUR	-4,306
Dow Jones	10 min	n/a	775	70.45	9,570 EUR	-6,812
Nasdaq 100	1 hour	n/a	555	70.09	9,189 EUR	-5,453
Dow Jones	4 hours	n/a	42	71.43	8,993 EUR	-8,850
DAX 40	30 min	n/a	819	68.13	7,391 EUR	-6,094
FTSE 100	30 min	n/a	808	69.31	6,120 EUR	-2,635
FTSE 100	Daily	n/a	36	83.33	5,940 EUR	-3,289
DAX 40	10 min	n/a	776	68.69	5,257 EUR	-3,890
S&P 500	4 hours	n/a	121	76.03	4,521 EUR	-1,205
FTSE 100	1 hour	n/a	466	71.24	3,727 EUR	-2,973
S&P 500	1 hour	n/a	552	73.37	3,451 EUR	-1,283
S&P 500	Daily	n/a	47	82.98	3,398 EUR	-1,124
Dow Jones	1 min	n/a	726	68.60	2,907 EUR	-2,469
S&P 500	15 min	n/a	786	70.74	2,794 EUR	-1,099
FTSE 100	10 min	n/a	762	68.77	2,334 EUR	-1,296
FTSE 100	5 min	n/a	777	66.15	2,253 EUR	-879
S&P 500	10 min	n/a	759	69.43	1,697 EUR	-1,025
Gold	1 hour	n/a	531	66.48	980 EUR	-914
S&P 500	1 min	n/a	654	68.35	500 EUR	-454

Charts

Results by run

Top 10 of 35 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// MACD Crossover Bollinger RSI Filter
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 30 minutes
// ==============================================================

DEFPARAM CumulateOrders = false

myMacd = ExponentialAverage[12](close) - ExponentialAverage[26](close)
signal = ExponentialAverage[9](myMacd)
basis = Average[20](close)
upper = basis + 2 * STD[20](close)
myRsi = RSI[14](close)

12 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

MACDRSIBollinger BandsSMA

Longer historyRe-run on up to 1,000,000 barsS&P 500 · 30 min · older data -466.00 EUR

On the long run with 228,000 bars the net result was 4,207 EUR, against 4,673 EUR on the standard 200,000-bar run. The older data alone gave -466 EUR.

S&P 500 · 30 min

Bars available	228,000
Net, standard 200,000-bar run	4,673.44 EUR
Net, long run	4,207.44 EUR
Net on the older data alone	-466.00 EUR

Read this firstKnown weaknesses2 points

The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
On the older part of the 1,000,000-bar history it lost -466 EUR.

Questions

About this strategy

Can I run MACD Crossover Bollinger RSI Filter 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 35 market and timeframe combinations. The best run was S&P 500, 30 minutes, with a profit factor of 1.48 over 796 trades.

How large was the drawdown?

The best run had a maximum drawdown of 1,024 EUR at the tested position size, against a net result of 4,673 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

CCI Sign With EMA Alignment

Best run on the same market, S&P 500.

1.23 PF · 1,253 trades

Trend Pullback Reversal

Also a mean reversion strategy.

1.47 PF · 849 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

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