The oscillator is a 5-day average of (close - open) / (high - low). When it drops below -0.2 while the 5-day SMA is above the 50-day SMA, the system buys, and the mirror setup sells short. Trades use a 50 point target and a 40 point stop, and an opposite signal reverses.
Best run of 6. S&P 500, Daily, spread 1, from run pf:2026-09-24-USA500-D.tsv:10.
| Period | Up to 2026-09-25 |
| Instrument | S&P 500, Daily |
| Spread | 1 points |
| Contracts | 1 |
| 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 | 2026-09-25 |
| positionSize Size per point | 1 |
| fastPeriod Fast SMA length | 5 |
| slowPeriod Slow SMA length | 50 |
| bodyRatioPeriod Days averaged for the body ratio | 5 |
| bodyRatioLevel Average body ratio must be beyond plus or minus this | 0.2 |
| takeProfitPoints Profit target in points | 50 |
| stopLossPoints Protective stop in points | 40 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| S&P 500Best run | Daily | 1.18 | 627 | 46.73 | 1,818 EUR | -382 |
| USD/JPY | Daily | n/a | 1,519 | 48.12 | 493,600 JPY | -142,000 |
| EUR/USD | Daily | n/a | 1,442 | 47.09 | 34,097 USD | -16,473 |
| Dow Jones | Daily | n/a | 1,407 | 46.62 | 2,608 EUR | -1,360 |
| Gold | 4 hours | n/a | 966 | 43.58 | 927 EUR | -924 |
| Gold | Daily | n/a | 478 | 46.03 | 888 EUR | -414 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Oscillator Mean Reversion // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: Daily // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // size per point fastPeriod = 5 // fast SMA length slowPeriod = 50 // slow SMA length bodyRatioPeriod = 5 // days averaged for the body ratio bodyRatioLevel = 0.2 // average body ratio must be beyond plus or minus this takeProfitPoints = 50 // profit target, points stopLossPoints = 40 // protective stop, points // --- Indicators --- maOscillator = Average[fastPeriod](close) - Average[slowPeriod](close) // Day body as a share of the day range: +1 closes at the high from the low, -1 the reverse. dayBodyRatio = (DClose(0) - DOpen(0)) / ABS(DHigh(0) - DLow(0)) avgBodyRatio = Summation[bodyRatioPeriod](dayBodyRatio) / bodyRatioPeriod
16 more lines: the entry and exit rules.
Read this first
Questions
Yes, it is fully automated and sized per point. The code was rewritten after testing and not compile-checked, so test it in ProBacktest first.
S&P 500 gave the best recorded run. USD/JPY daily made JPY 493,600 in a sweep with a JPY 142,000 drawdown, and EUR/USD, Dow Jones and Gold were also positive.
The S&P 500 daily best run had a max drawdown of EUR 381.56 at position size 1.
The trend and oscillator filters are built from daily averages, and the daily chart produced every listed result except Gold 4 hours.
Related
Copy trading on US indices is available to ProRealAlgos members as spots open.
