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Strategies / Mean reversion / Oversold Mean Reversion Long

Oversold Mean Reversion Long

The system buys when the 2-period Williams %R falls below -90, a reading in oversold territory. It closes the long when the close is above the prior bar's high or the indicator rises above -30.

Mean reversionLong onlySwingNasdaq 100Daily
1.73Profit factor
13,897Net profit EUR
56.30%Win rate
833Trades
-2,532Max drawdown
16.68Avg trade

Best run of 10. Nasdaq 100, Daily, spread 3, from run pf:2026-10-11-NAS100-D.tsv:4.

Entry rules, long

  1. 2-period Williams %R is below -90.

Exit rules

  2. The long is also closed when Williams %R rises above -30.

Test conditions

PeriodUp to 2026-10-11
InstrumentNasdaq 100, Daily
Spread3 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily1.73 83356.3013,897 EUR-2,532
S&P 500Daily1.54 90562.653,300 EUR-571
Dow JonesDaily1.43 78166.2022,383 EUR-5,488
USD/JPY4 hoursn/a 1,91765.78254,450 USD-146,780
EUR/USD1 hourn/a 11,21763.0440,484 USD-29,419
Nikkei 225Dailyn/a 94764.1039,881 USD-10,602
FTSE 100Dailyn/a 86166.906,610 EUR-1,983
US Crude OilDailyn/a 80164.046,467 EUR-4,424
GBP/USD1 hourn/a 11,29663.905,277 USD-2,542
DAX 40Dailyn/a 1,76550.034,360 EUR-4,071

Charts

Results by run

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Oversold Mean Reversion Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

hh = highest[2](high)
ll = lowest[2](low)

16 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

Williams %R
Longer historyRe-run on up to 1,000,000 barsNasdaq 100 · Daily · older data 0.00 EUR

Nasdaq 100 had no history beyond the standard run, so both runs used 10,000 bars.

Nasdaq 100 · Daily

Bars available10,000
Net, standard 200,000-bar run13,897.20 EUR
Net, long run13,897.20 EUR
Net on the older data alone0.00 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 Oversold Mean Reversion 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 10 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 1.73 over 833 trades.

How large was the drawdown?

The best run had a maximum drawdown of 2,532 EUR at the tested position size, against a net result of 13,897 EUR.

Does it trade long, short or both?

It only takes long trades.

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RSI(2) Trend Filter

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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.comStatsDocs