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Strategies / Mean reversion / Range Extreme Flip With SMA Exit

Range Extreme Flip With SMA Exit

Goes long on the bar after a bar closes in the top of its range (value above 70) following a recent low reading below 10. Closes a long on SMA(7) crossing under SMA(20), and a short on SMA(7) crossing over SMA(20).

Mean reversionLong & shortSwingDAX 40Daily
n/aProfit factor
7,535Net profit EUR
45.55%Win rate
1,730Trades
-6,940Max drawdown
4.36Avg trade

Best run of 2. DAX 40, Daily, spread 3, from run sweeps:2026-10-11-DAX40-D-opt.tsv:108.

Entry rules, long

  2. Within the previous 50 bars, the most recent value outside the 10 to 70 band was below 10.
  3. Entries start after bar 55 and when no long is open.

Entry rules, short

  2. Within the previous 50 bars, the most recent value outside the 10 to 70 band was above 70.
  3. Entries start after bar 55 and when no short is open.

Exit rules

  2. The short closes when SMA(7) crosses over SMA(20), unless an up label is active.

Test conditions

PeriodUp to 2026-10-11
InstrumentDAX 40, 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 tested2026-10-11

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
DAX 40Best runDailyn/a 1,73045.557,535 EUR-6,940
Dow Jones4 hoursn/a 1,54945.8425,012 EUR-14,655

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Range Extreme Flip With SMA Exit
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE prevup = 0
ONCE prevdn = 0

47 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

SMA
Read this firstKnown weaknesses3 points
  • No profit factor is available, because only sweep results exist for this strategy.
  • The maximum drawdown of 6,940 EUR is large next to the net profit of 7,535 EUR.
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.

Questions

About this strategy

Can I run Range Extreme Flip With SMA Exit 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 2 market and timeframe combinations. The best run by trade count was DAX 40, Daily, with 1,730 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,940 EUR at the tested position size, against a net result of 7,535 EUR.

Does it trade long, short or both?

It trades both long and short.

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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