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Strategies / Mean reversion / MACD Exhaustion Reversal (short only)

MACD Exhaustion Reversal (short only)

Sells short after the MACD line has risen for 4 consecutive bars above zero with the close above 0.85 of the bar's range. Exits when the close falls below the prior bar's low.

Mean reversionShort onlySwingUS Crude OilDaily
1.24Profit factor
9,161Net profit EUR
62.78%Win rate
309Trades
-7,106Max drawdown
29.65Avg trade

Best run of 1. US Crude Oil, Daily, spread 5, from run pf:2026-10-10-CRUDE-D.tsv:13.

Entry rules, short

  2. The MACD line is above 0
  3. (Close minus low) divided by the bar's range is above 0.85

Exit rules

  1. The close falls below the prior bar's low

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 runDaily1.24 30962.789,161 EUR-7,106

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// MACD Exhaustion Reversal (short only)
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Short only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false
ONCE capital = 10000

23 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

MACD
Read this firstKnown weaknesses3 points
  • The maximum drawdown of 7,106 EUR is large next to the net profit of 9,161 EUR.
  • It was only tested on US Crude Oil, so there is no evidence from other markets.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run MACD Exhaustion Reversal (short only) 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 one combination, US Crude Oil, Daily, with a profit factor of 1.24 over 309 trades.

How large was the drawdown?

The best run had a maximum drawdown of 7,106 EUR at the tested position size, against a net result of 9,161 EUR.

Does it trade long, short or both?

It only takes short trades.

Related

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Short Term RSI Pullback Long Short

Best run on the same market, US Crude Oil.

1.33 PF · 493 trades

Oversold Band Reversion Long

Also a mean reversion strategy.

1.25 PF · 1,210 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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