Strategies / Momentum / Moving Average RSI Long

Moving Average RSI Long

The idea buys when the 5 period high average is above the 20 period high average and RSI(11) is above 65. It sells the long when the 5 period high average falls below the 20 period low average and RSI(11) is below 35.

MomentumLong onlySwingS&P 500Daily

3.49Profit factor

5,214Net profit EUR

44.55%Win rate

110Trades

-819Max drawdown

47.40Avg trade

Best run of 35. S&P 500, Daily, spread 1, from run pf:2026-10-04-USA500-D.tsv:11.

Entry rules, long

The previous candle body is above 0, and the current body is less than 2 times the previous body.
No long position is open.

Exit rules

The 5 period average of highs is below the 20 period average of lows, and RSI(11) is below 35.

Test conditions

Period	Up to 2026-10-04
Instrument	S&P 500, Daily
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	2026-10-04

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	Daily	3.49	110	44.55	5,214 EUR	-819
USD/JPY	30 min	n/a	1,487	38.06	467,060 USD	-190,670
USD/JPY	1 hour	n/a	1,098	40.35	448,420 USD	-248,610
EUR/USD	Daily	n/a	110	41.82	38,612 USD	-38,140
Nikkei 225	Daily	n/a	90	38.89	35,614 USD	-13,961
Nikkei 225	4 hours	n/a	219	47.49	27,214 USD	-14,270
Nikkei 225	3 min	n/a	1,540	37.34	23,568 USD	-8,034
Dow Jones	Daily	n/a	126	40.48	20,216 EUR	-8,083
Nikkei 225	5 min	n/a	1,622	37.18	20,134 USD	-15,443
Nasdaq 100	Daily	n/a	88	59.09	15,272 EUR	-4,820
Nikkei 225	1 hour	n/a	805	39.75	14,471 USD	-10,401
US Crude Oil	Daily	n/a	99	50.51	13,216 EUR	-5,518
Dow Jones	4 hours	n/a	88	46.59	12,763 EUR	-6,615
Nasdaq 100	4 hours	n/a	301	44.19	12,463 EUR	-4,202
Nikkei 225	2 min	n/a	1,553	38.51	12,411 USD	-9,330
Nasdaq 100	30 min	n/a	1,500	41.53	11,603 EUR	-3,773
DAX 40	30 min	n/a	1,549	41.51	10,676 EUR	-4,116
Brent Crude	Daily	n/a	43	46.51	10,296 EUR	-5,988
Nasdaq 100	15 min	n/a	1,534	39.50	10,169 EUR	-4,084
Nasdaq 100	1 hour	n/a	980	42.35	10,132 EUR	-6,251
DAX 40	4 hours	n/a	281	43.06	9,947 EUR	-4,819
Nasdaq 100	10 min	n/a	1,536	35.68	9,500 EUR	-4,328
Nasdaq 100	5 min	n/a	1,504	38.36	8,479 EUR	-4,816
Dow Jones	30 min	n/a	646	39.78	8,238 EUR	-6,782
DAX 40	Daily	n/a	94	43.62	7,402 EUR	-4,985
DAX 40	15 min	n/a	1,546	39.72	4,072 EUR	-3,550
Gold	Daily	n/a	121	37.19	2,999 EUR	-886
Gold	1 hour	n/a	911	40.61	2,796 EUR	-1,056
Gold	30 min	n/a	1,463	37.05	2,781 EUR	-938
Gold	4 hours	n/a	276	40.22	2,456 EUR	-1,446
Gold	10 min	n/a	1,546	35.58	1,475 EUR	-756
S&P 500	30 min	n/a	1,538	39.47	1,441 EUR	-1,266
S&P 500	4 hours	n/a	300	41.00	1,213 EUR	-1,178
Gold	15 min	n/a	1,526	35.91	1,174 EUR	-909
Gold	5 min	n/a	1,568	36.54	904 EUR	-614

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

// ==============================================================
// Moving Average RSI Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

smahigh = Average[5](high)
smahighslow = Average[20](high)
smalowslow = Average[20](low)
myRsi = RSI[11](close)
body = abs(open - close)
prevbody = abs(open[1] - close[1])

13 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

SMARSI

Longer historyRe-run on up to 1,000,000 barsS&P 500 · Daily · older data 33.57 EUR

S&P 500 had no history beyond the standard run, so both runs used 14,000 bars.

S&P 500 · Daily

Bars available	14,000
Net, standard 200,000-bar run	5,213.58 EUR
Net, long run	5,247.15 EUR
Net on the older data alone	33.57 EUR

Read this firstKnown weaknesses2 points

The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Moving Average RSI 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 35 market and timeframe combinations. The best run was S&P 500, Daily, with a profit factor of 3.49 over 110 trades.

How large was the drawdown?

The best run had a maximum drawdown of 819 EUR at the tested position size, against a net result of 5,214 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 Filtered RSI Average Entry

Also a momentum strategy.

3.40 PF · 116 trades

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

Copy trading on US indices is available to ProRealAlgos members as spots open.

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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